|
PureBytes Links
Trading Reference Links
|
At 5:22 PM -0400 9/2/01, Gary Yakhnes wrote:
>I think this is an excellent point. It always much more informative to talk with
>concrete examples and numbers.
>
>I just performed most of the steps you described and here are the results:
>
>>Bob Fulks wrote:
>>Perhaps an example might clarify the issue. Assume you have TSPro and
>>an account with TRAD so that you can connect to their data. Assume
>>you have no data on your machine.
>>Now you want 500 days of 30 minute NDX data on a new chart so that
>>you can use it to develop a trading system and trade something. Can
>>you build such a chart by downloading the 500 days of data from TRAD?
>
>It took exactly 9 second for ts pro to open 30 minutes 500 days NDX
>Chart in TS Pro (cable modem with @home service). But, the first bar
>on the chart is dated 11/06/2000 so there is no data for NDX before
>11/06/2000, so it is not a 500 days chart.
Interesting. That is exactly the same date from which Quote.com QFeed
data is available. Interesting coincidence. Please check to see if
the data for 11/06/00 actually begins in mid morning. That will
confirm that it is the same data source.
That is about 2700 bars of OHLC data. I assume , like QCharts, it
sends the data in X-minute bars where X is one of several multiples.
Try loading 500 days of 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 minute bars and
time each of them. This data would allow us to calculate what bar
sizes they are actually sending in each case.
> >If so, can you disconnect from TRAD, turn off your computer, turn
>>your computer back on the next day and do backtesting on a system
>>using the 500 days of NDX data you downloaded the day before?
>
>I turned the computer off and turned it back then opened TS Pro in
>off-line mode. It took ~5 sec. to open the same chart in off-line
>mode. As long as option "Delete Data from Cache if not accessed for X
>days" set for at least 1 day you should be able to open the same
>chart on the next day in off-line mode.
Great! So at least the data is stored in a cache locally. For how many
symbols can you keep data in the cache? Specifically, can you open 20
different 10-minute charts and have them all retained after you shut
off the power?
Another question: If you originally asked for 10 minute bars and they
are stored in the cache, can you then ask for other chart
compressions, such as 1 minute, 2 minute, 20 minute, 30 minute, etc.,
bars without again connecting back to TRAD. This would tell us if it
can construct different size bars from the data in the cache.
> >If there is a bad tick that is say, 0.13 at 3:16pm on 8/13/01, that
>>makes one of the 10 minute bars have a low of 0.13, can you go into
>>the data stored on your machine and delete that single bad tick and
>>redraw the chart?
>
>No. You can not delete a bad tick from the cache or edit data in the
>cache (at least i do not know how). I can send you an ASCII file for
>ndx I just saved so you could evaluate the quality of the data
>(144Kb).
After editing the data in ASCII, can you import it back into TSPro?
If you used the HistoryCentre utility to convert the ASCII file to
OMZ or XPO format, can you then read it back in?
> >Then, 10 days later, can you reconnect to TRAD and download all the
>>10 minute data for the 10 days you missed and have it seamlessly
>>connect with the 500 days of data you downloaded previously - no
>>holes?
>
>As soon as you go to on-line mode ts pro would redownload all 500
>days again, but i am not sure if it really redownloading all data or
>add just newest data to the cache.
OK. I would assume it reloads all as does QCharts.
> >If you later notice that you are missing data for 4/13/01 for 75
>>minutes beginning at 11:20 am, can you get that missing data from
>>TRAD somehow?
>
>No, to my knowledge.
OK. But if it reloads all bars and the hole has been fixed, it
should be fixed also.
Can you also load a 1-tick charts of the NDX going back to 11/06/00?
There are about 4 ticks per minute on NDX so a 1-tick chart would
need to load about 4 * 30 = 120 times as many bars. That would be
about 48,000 bars. If it took 120 times as long, that would be 18
hours. Try timing some 1-tick NDX charts.
Thanks. Useful information. Perhaps there is hope...
Bob Fulks
|