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Hello,
You can create perfect reference ticker easily using ASCII import.
Just create the text file using format:
DATE,TIME,O,H,L,C,V
and import it
Such text file can be created programmatically very easily
Simple example (for simplicity it creates 24 hour (non-stop) 5-second data bars
for entire January 2007.
fh = fopen("refticker.txt", "w");
mo = 1; yr = 2007;
for( d = 1; d <= 31; d++ )
for( hr = 0; hr < 24; hr++ )
for( m = 0; m < 60; m++ )
for( s = 0; s < 60; s += 5 )
{
line = StrFormat("%04.0f-%02.0f-%02.0f,%02.0f:%02.0f:%02.0f,1,1,1,1,0\n", yr, mo, d, hr, m, s );
fputs( line, fh );
}
fclose( fh )
Generated file has 16 Megabytes and it takes about 3 seconds to run the above formula.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Dennis Brown" <see3d@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, December 29, 2007 7:01 PM
Subject: Re: [amibroker] Re: Time stamping an array
> Eric,
>
> I just need one "Perfect" reference ticker that covers my whole time
> span. I am not the only one who needs this.
>
> I am working on day trading futures like ES with indicators of my own
> design. I use a 5 second database so that I can get range bar and
> volume bar charts in the 2-4 minute average bar time. A tick
> database would take too much storage and time to process. I trade
> from the resultant charts. In order to optimize my parameters, I
> need 30 days of data. However, the contracts expire every 3 months
> and must be rolled. Data suppliers usually provide a continuous
> contract ticker that switches to the next months contract and
> prepends adjusted prices of the older contract to give a smooth
> transition to the rollover for indicators.
>
> However, THIS DATA IS FLAWED and my charts are ruined for 5 weeks
> each quarter.
>
> First, most suppliers only provide 8-10 calendar days of backfill
> data for 5 sec data (which is actually aggregated tick data at the
> local level). Since back prices are adjusted in the continuous
> contract, you can not simply collect 200K bars with AB and have a
> complete seamless 30 day database. When the contract rolls, the old
> prices in the database will not be adjusted and create a seam. A
> forced backfill to fix this will just move the bad seam 8-10 days back.
>
> Second, for about a week or two, the volume gets split between the
> old contract and the new contract as traders use different criteria
> to roll to the new contract. The supplied continuous contracts
> usually roll when the volume of the new contract is higher than the
> old contract. They simply switch contracts in the quotes. This has
> the effect of having the volume of the continuous contract look like
> it drops over a week to half the usual volume, then rises up again
> over the next week. However, if you look at the sum of the volumes
> for the two contracts, you see that it remains about the same as
> usual. This ruins constant volume charts and other volume based
> indicators.
>
> To solve both of these problems, I am making my own 30 day continuous
> contracts in AB. I collect the data from the individual contracts
> with no adjustments. Then I fill an OHLC array with one contract or
> the other depending on when the rollover criteria is met and adjust
> the old data to get rid of the price seam (like adjusting for
> dividends or splits). Finally I add the volumes of both contracts
> together for the final 5 second ticker and write it out with ATC.
> This creates a nice ATC ticker to use in another chart.
>
> I then have another chart (my actual main trading chart) that reads
> the ATC ticker and works in the timeframe desired for running
> indicators and trading.
>
> I should point out that writing out an ATC ticker every 5 seconds is
> slow. I actually only write it out when the main chart timeframe
> calls for a new bar which is once every 2-4 minutes. In the mean
> time, I just send the OHLCV of the current bar to the main chart to
> keep the realtime signals going.
>
> Right now, I have to use a supplied continuous contract as a
> template. However, because it is not seeing all the bars from both
> contracts, some of the volume has no bar to be registered in. The
> after hours loses a lot of bars. It also make switching to different
> futures a pain, because I have to switch the ATC ticker of the main
> chart, then, select the continuous contract chart and select the
> corresponding ticker there, then back to the main chart. Not the
> easy "just click on the ticker" to get the next chart.
>
> I just need one "Perfect" reference ticker that covers my whole time
> span. Then the continuous contract generating chart can stay out of
> sight and out of mind.
>
> Best regards,
> Dennis
>
>
> On Dec 29, 2007, at 10:40 AM, eric tao wrote:
>
>> Could you give a sample of what you were trying to do?
>> BR
>>
>> --- In amibroker@xxxxxxxxxxxxxxx, Dennis Brown <see3d@xxx> wrote:
>>>
>>> Herman,
>>>
>>> Thank you again for you reply. If what you say is true, then we need
>>> Tomasz to provide a solution to this problem. It is such a
>>> fundamental need for some of us, and workarounds do not seem
>>> adequate.
>>>
>>> Best regards,
>>> Dennis
>>>
>>> On Dec 29, 2007, at 4:55 AM, Herman wrote:
>>>
>>>> If you find one, please post your solution. Right now the only
>>>> solution is to create an array in Excel and import it each 5
>>>> sec :-) this is a rather daunting task in real-time. Tomasz
>>>> acknowledged the key problem in the AB Help for the foreign()
>>>> function:
>>>>
>>>> "Please note that if you have data holes in currently selected
>>>> symbol then in order to synchronize bars Foreign function will
>>>> remove bars that exist in Foreign symbol but do not exist in
>>>> currently selected symbol."
>>>>
>>>> This unscientific approach makes the accuracy of all TA analysis
>>>> depend on the underlying ticker. It assumes a perfect database
>>>> which, in EOD is rare, and in real time simply does not exist.
>>>>
>>>> What is needed is a real-time reference array that can be made
>>>> current and contains bars for all time periods, i.e. creates empty
>>>> bars in real-time when data doesn't exist.
>>>>
>>>> best regards,
>>>> herman
>>>>
>>>> For tips on developing Real-Time Auto-Trading systems visit:
>>>> http://www.amibroker.org/userkb/
>>>>
>>>> Friday, December 28, 2007, 11:59:48 PM, you wrote:
>>>>
>>>>> Hello,
>>>>
>>>>> Forgive me if it seems like I am restarting a thread out of my
>>>>> original, but the previous thread got badly broken when Yahoo
>>>> dropped
>>>>> a number of replies, so I thought to try again fresh.
>>>>
>>>>> I really need a reference ticker of 200k 5 second 24 x 7 bars. I
>>>>> need it as a template to make continuous contract futures data that
>>>>> RT charts can use.
>>>>
>>>>> For a reference ticker, all the data fields OHLCV OI can be set to
>>>>> one (1). The only data that I need to be able to change is the
>>>>> time
>>>>> stamp. Once made, every 5 seconds, the reference ticker would be
>>>>> read, all the bars shifted one bar, and the last bar time stamp
>>>>> increased by 5 seconds, then written back out (ATC). This is a bit
>>>>> of an over simplification, but you get the idea.
>>>>
>>>>> The only thing I don't know how to do is rewrite the time stamp
>>>>> on a
>>>>> bar.
>>>>
>>>>> I would appreciate any specific ideas as to how I could do this
>>>>> --or
>>>>> another way to get my continuous 5 second RT perfect reference
>>>>> ticker. Perhaps there is a dll way? Speed of maintaining the RT
>>>>> ticker is important.
>>>>
>>>>> I have tried many different approaches for a couple of weeks and
>>>>> end
>>>>> up with a roadblock with each way so far. Herman has discussed the
>>>>> problems in the UKB, but none of the solutions so far will work
>>>> for me.
>>>>
>>>>> Best regards,
>>>>> Dennis
>>>>
>>>>
>>>>
>>>>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>>>>> http://www.amibroker.com/devlog/
>>>>
>>>>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> http://www.amibroker.com/devlog/
>>
>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
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