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On Tue, 23 Nov 1999, Val Clancy wrote:
> the best you can do is:
Unfortunately, I agree with you. If this is the best one can do with
TS/Omega, we're in trouble. Data manipulation should NOT have to be as
hard as you describe! It would NOT be this hard if TS would allow easier
data access in/out, especially for ***tick data***.
I forsee the Historybank as another you-will-do-it-our-way approach by
Omega. It will have only the most 'vanilla' data, and will not take into
account the *many* ways traders like to manipulate data. IMHO, a terrible
alternative to opening up TS *tick* data access.
> Build your historical testing ascii database:
> - pick a bar interval for your database, 1 min for instance.
This is a *lot* more work if you use tick charts...
> - merge individual contracts manually ( cut/paste ) or use fileappend for
> automatic
> operation.
> - when back adjusting data you can use different contract merging
> techniques.
It IS very important to provide several ways to merge contracts, and very
unlikely to happen with Omega's you-will-do-it-our-way approach to things.
Different traders have different needs. 'Merge contarcts' is easy to say,
much more work to do :-).
> your system code could contain rollover exit / reentry signals, no
> backadjusting necessary
Some of us like continuous contracts (but not all :-)...
> 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.
A good approach...
> - 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.
With the difficulty in working with TS, this is a real pain - also, I'd
rather not have to maintain two (or more) different data bases and try to
keep them in sync and up to date.
> - use ascii database for historical testing and real time data for trading
> and appending
> to your database.
This *still* does not leave us with an easy way to use rollover data in
*real time* for new contracts (a workaround has been suggested, though).
*Please* don't misinterpret this as an attack on what you said. Don't get
me wrong - I really do appreciate your detailed suggestion for the best
way to deal with this. It is, indeed, about the best one can do now. I do
believe this is a major area of concern for many traders, and has been for
MANY years, with NO adequate response from Omega despite years of asking.
Omega seems to stress how "easy" it is to use TS. For such a basic thing
as *tick* data input, output, or contract manipulation, I don't think
so...
Larry
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