|
PureBytes Links
Trading Reference Links
|
Hello,
As for different tick counts from IB reported by different packages.
As you probably know IB TWS sends tickPrice and tickVolume
notifications separtately. Since IB cumulates ticks one never is able
"decompress" it to original. AB assumes that only tickVolume notifications
mark trades, while Sierra probably assumes that tickPrice and tickVolume
make separate transactions. I was checking this against tick by tick
feed in eSignal and problem is that then when trades occur in interval
higher than 0.2 sec then this approach is wrong (because two notifications
- tickPrice and tickVolume would be sent for single real trade),
with trades occuring more often - then one never knows how many real trades happened because
of tick compression that IB performs. The result is that depending on
how heavy trading you see you will get closer or less close tick counts from IB
as compared to real tick-by-tick feed.
As for volume charts being closer - yes that seems logical as cumulated ticks
volume is still correct. You may however lose some precision in finding actual open and
close prices of volume bars constructed that way.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "bj012859" <byronjames@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, June 26, 2005 5:03 AM
Subject: [amibroker] Re: So Long Amibroker, [No Volume Charts]
> Tomasz,
>
> I had looked in the wish list area and saw no new features, maybe I
> was just looking in the wrong area. I had no idea that volume
> charts would be added in the near future. I greatly look forward to
> the beta release. Like what someone else mentioned, I would like to
> use multiple time frames with volume charts 500V, 1000V, & 3000V and
> map the higher volume tfs studies onto the lower volume chart, as
> can be done with minute bar data.
>
> What you said about the tick feed from IB is correct. It sucks -
> but to my surprise it doesn't seem to matter with the trading
> technique I am using. On trade entries and exits, I get about the
> same values (if not better) as folks using TS, Mytrack, or Esignal.
> Intuitively it doesn't make sense, but the results are there.
>
> In order to get the equivalent of a Sierra w/Mytrack feed 133t chart
> (or a Tradestation 233t chart) I had to set Amibroker to 41 ticks.
> This is almost too embarassing to mention in a public forum, but it
> worked in generating the same entry/exit signals. Using Sierra w/IB
> feed, the match is at 109t versus 41t on Amibroker. I think the
> difference is that in the Amibroker plugin setting, I wasn't setting
> the "force update" option that uses more cpu bandwidth. I thought
> about it but everything was working fine so as long as I was using
> tick feed I just left well enough alone.
>
> I had a long discussion with one of the local trading group members
> about volume charts getting screwed up with a IB feed. I tried the
> Sierra chart trial, and to my surprise my 500V charts were the same
> as other 500V charts by other charting / data feed services as far
> as the same entry/exit trade signals. I look forward to verifing
> that the Amibroker volume charts also match.
>
> Thanks for a great product,
>
> bj012859
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
> wrote:
>> Hello,
>>
>> Of course volume-bars charts and backtesing in AB as promised
>> comes in next beta.
>> Release date for next beta is end of next week.
>>
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message -----
>> From: "scourt2000" <stevehite@xxxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Saturday, June 25, 2005 5:53 PM
>> Subject: [amibroker] Re: So Long Amibroker, [No Volume Charts]
>>
>>
>> >
>> >>If you think that you can get true volume charts from IB you
> should
>> >>think again.
>> >
>> > Right Tomasz.
>> >
>> > Most traders I know of who use IB are still using tick charts
> (and
>> > like you said, they're not seeing every tick either).
>> >
>> > Most futures traders I know who use eSignal have switched from
> tick
>> > charts to volume charts. They're smoother to work with, imho.
>> >
>> > I have so much collected historical tick data files from eSignal
> that
>> > it's going to be perfect for me to have Amibroker be able to
> backtest
>> > that with volume charts for the OHLC. eSignal backtesting
>> > capabilities are years, in development time, behind what
> Amibroker
>> > offers today.
>> >
>> > Steve
>> >
>> >
>> >
>> >
>> > Please note that this group is for discussion between users only.
>> >
>> > To get support from AmiBroker please send an e-mail directly to
>> > SUPPORT {at} amibroker.com
>> >
>> > For other support material please check also:
>> > http://www.amibroker.com/support.html
>> >
>> >
>> > Yahoo! Groups Links
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|