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Yes, you are correct. What you mention is also the other problem I have been
stating, when backtesting, you backtest over such a long time that prices
has moved considerably. Newer prices might be in the magnitude of 100:s and
older prices in the magnitude of 1:s or even tenths. Converting all of these
using the same factor (100th, 1000th or whatever) causes you to lose
calculation precision due to compromises in the selected Pricescale value.
> -----Original Message-----
> From: Gary Fritz [mailto:fritz@xxxxxxxx]
> Sent: den 17 juli 2001 17:13
> To: Omega-List
> Subject: Re: Special thread for Pierre Orphelin, the man who
> do not want to see
>
>
> > This is what i learn while looking on TS 4.0 DDE protocol
> - there is
> > all quote (chart) data represented with WORDS (2bytes -
> 16bit) only
> > data!!! also they use special parameter, which mean there decimal
> > point should be located,
>
> Yes. The Server stores all data points as a 16-bit offset from the
> FIRST QUOTE of the day, using the PriceScale as the "special
> parameter" to scale it.
>
> So each price you see on your screen is calculated as:
>
> Price = FirstQuoteOfDay + PriceScale * 16BitOffset
>
> > All is ok, until special cases like that you showed below.
> :) that is
> > that at 5th significant digit sometimes numbers are lost.
>
> That's not what Mats is seeing. He's seeing roundoff errors in
> single-precision FLOAT variables.
>
> The price representation that Omega uses saves lots of room in the
> database, but it causes problems if a market starts to move a lot
> more than it used to. For example, the INDU and the NDX/ND symbols
> have a PriceScale of 1/100 in the default symbol universe. That
> worked fine until those markets started moving more than 327.67
> points in a day. A 16-bit value can represent numbers from -32767 to
> +32768, so 1/100 * 32767 gives a limit of 327.67 offset from the
> opening price. You have to change the PriceScale on those symbols to
> 1/10 to handle the wider range. This means you lose a digit of
> precision after the decimal point (the price is now XXX.X instead of
> XXX.XX) but you won't have garbage data on large-range days.
>
> Gary
>
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