|
PureBytes Links
Trading Reference Links
|
the best you can do is:
Build your historical testing ascii database:
- pick a bar interval for your database, 1 min for instance.
- export your contract data to to ascii, easy to do by writing a file dump
in EL.
- merge individual contracts manually ( cut/paste ) or use fileappend for
automatic
operation.
- when back adjusting data you can use different contract merging
techniques.
your system code could contain rollover exit / reentry signals, no
backadjusting necessary
in this case or you can set up "ave tick volume match" rollover fairly
easily by using
data1, data2, dataN setup and dumping into a file from multiple data
streams.
- keep your "SP rollover" workspace saved and ready to be used at any time
- if you get holes in data, write it down in your database log, patch data
and append it
to your ascii database. same thing for bad ticks.
Maintain your database:
- keep appending contracts to and archiving your ascii database as you go.
- the best way is to use 1 minute ascii so that you can build any bar data
from it.
- back it up as you go along.
Use it:
- use ascii database for historical testing and real time data for trading
and appending
to your database.
Val.
----- Original Message -----
From: Larry Wright <lwright@xxxxxxxxxx>
To: Omega List <omega-list@xxxxxxxxxx>
Sent: Monday, November 22, 1999 11:25 PM
Subject: Re: Rollover workarounds for TS?
>
>
> On Mon, 22 Nov 1999, Larry Wright wrote:
>
> > I checked in TS2k, and the operation seems to be done through the
'split'
> > field in the data base. OK for stocks, I guess, but there is NO split
> > field in futures data. Makes it a bit hard... Can one add a split field
to
> > futures data without fouling anything up in TS2k? Anyone tried this in
> > TS2k?
>
> I tried adding a 'split' field to a TS2k futures contract, adding a split
> date and factor as described in the help files, but I can't seem to get
> any changes in the tick values as seen in the server. It's the same with
> or without the split, or with the box to view split data checked or not.
>
> Since there is no manual, it is not clear if I am missing a step
> somewhere, or perhaps this does not work for futures. If any of you stock
> folks have made this work, I'd appreciate any ideas on how to get this
> working for futures...
>
> Thanks,
>
> Larry
>
>
|