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Re: [amibroker] Re: Time stamping an array



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thanks Tomasz,


1) Is it possible to create and import this file automatically at 5 seconds intervals?


2) Instead of creating the entire  file each time would it be possible to just add a new bar to it at 5 sec interval?


...would this make a nice post for your KB?


seasons greetings,

herman


For tips on developing Real-Time Auto-Trading systems visit:

http://www.amibroker.org/userkb/


Saturday, December 29, 2007, 3:20:46 PM, you wrote:


> 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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