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Thanks Tomasz. I am not using the ASCII importer. I'm using the IB
plugin to receive data from IB TWS in realtime. For my analysis, I'm
running three programs on the same computer: IB TWS, AmiBroker Pro,
and Investor/RT. AB and IRT receive the same data stream from IB TWS
in real-time at the same time. I took a detailed look at the price
bars created on a 10 tick chart for a 10 minute period in both AB and
IRT. AB created 14 10t bars and IRT created 22 10t bars for the same
10 minute period using the exact same IB data feed. Total CPU
utilization stays under 10% for the entire test period. The total
volumes for the 10 minute period are approximately the same for both
AB and IRT 10t charts. The difference in the number of 10t bars
created between the two charting packages is what concerns me. I
suspect that I do not have something setup correctly with AB because
all the AB tick bars have a timestamp that are a multiple of 5
seconds.
Is there some AB setting that is forcing the timestamps to be
multiples of 5 seconds for a 10 tick chart created in realtime from
the IB TWS data feed?
Thanks,
David
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx>
wrote:
>
> Hello,
>
> If you are using ASCII importer and want to import tick data
> you must use special mode, because ticks are special in that meaning
> that ticks may have duplicate timestamps. For that reason you need
> to specify
>
> $TICKMODE 1
>
> in the ASCII importer definition.
>
> See the documentation of ASCII importer - it has very detailed docs
> in the User's Guide.
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "dbwyatt_1999" <dbw451@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, December 24, 2007 10:44 PM
> Subject: [amibroker] Re: AB tick bar analysis
>
>
> > Thanks Barry, you do have a point that IB data does not have a
> > timestamp which would make comparing different captures
difficult.
> > The Scottrade DJI tick data looks like it's 2 second snapshots.
> >
> > I'm not so much concerned about having exact timestamps, but the
> > number of tick bars for a time period for the exact same datafeed
> > should be very close regardless of the timestamps. I mean 10
ticks
> > is 10 trades, whether that took 0.23 seconds or 35 seconds. The
> > number of trades (i.e. number of bars) should be similar between
> > different charting packages. They may not match up depending on
> > where the tick counting starts, but overall the total number of
bars
> > should be very similar between all charts with the same tick
> > timeframe. If 1000 trades happened in a given time period, then
on a
> > 10 tick chart there should be close to 100 bars.
> >
> > Regards,
> >
> > David
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Barry Scarborough"
<razzbarry@>
> > wrote:
> >>
> >> I think the reason is that IB does not provide a time stamp with
> > the
> >> data it sends and AB has to use the computer clock. If that is
the
> >> case the data never will be in sync. That is what I have
noticed.
> > My
> >> last bar close on one minute intraday charts is never the same
as
> >> Scottrade or the EOD database from Yahoo. IB sends data before
the
> >> open and after the close and that can get shifted into the AB
> > charts
> >> depending on your computer clock. Try looking at a few bars
either
> >> way and see if the open and close is the same on them. But then
I
> >> guess when you are looking at really short term data even
different
> >> data feeds may not be in sync.
> >>
> >> I dumped the last 100 bars of DJI tick data from Scottrade. If
you
> >> have access to IB INDU tick data you could compare them. I can
send
> >> the file if that would help.
> >>
> >> Barry
> >>
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