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ASCII format for intraday data - ASCII format for intraday data
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ifiaas  
#1 Posted : Sunday, May 6, 2007 3:02:28 AM(UTC)
ifiaas

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Hi forumners,

I download EOD data in ASCII format, and use Downloader to convert them into Metastock Database every day. Now I have a better source of data which provides fine-grained trading records, and I want to use them to generate intraday historical data every night, for better analytical-purpose. My question is related to the ASCII format of intraday data. As far as I know, intraday data can be imported in the following format:

<TICKER>,<NAME>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>,<OPENINT>
INTC*15,INTC*15,15,20040518,14:30:00,27.30000,27.31000,27.24000,27.28000,1900111,0
INTC*15,INTC*15,15,20040518,14:45:00,27.29000,27.30000,27.23000,27.24000,920000,0

Take the period length of 15min as an example, the question is, what if during a period, there is no deal at all? If I skip this 15min period in the ASCII file, metastock would complain about "invalid period". If I fill this 15min period with <VOL>=0, what should be the different price field? -- a different price could make indicators such as Stochastic (which depends on the price) behave differently. Is there a way to let Metastock know that, there is no trades during a period, and it should just skip this period...

Thank you!

ifiaas
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wabbit  
#2 Posted : Sunday, May 6, 2007 7:19:13 PM(UTC)
wabbit

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ifiaas,

I am no expert in creating intraday data sets for MS, so take these comments with a pinch of salt, but...

MS doesn't know or care about time issues. MS plots BARS of information. If a stock hasn't traded in a particular period there wil be no bar representing that period (although somehow some commercial data providers find some way to pad this data).

When you plot, for example, a 12 day moving average on daily data, it is not truly 12 days, but the last 12 daily BARS when that stock traded. If the stock is heavily traded, sure, this might be 12 consecutive trading days, but if the stock is thinly traded, it might take 13, 14, 20, or one hundred calendar days to have 12 bars of data on which to compute the indicator.

So, when creating your data, skip any bars when the stock didn't trade (I don't think the Downloader of MS will complain).

If you want to create truly time based indicators then you have opened another kettle of fish entirely!!!


I hope this helps.

wabbit [:D]

P.S. There is a way in the Downloader to view all of the conditions that it looks for in a data set. It escapes me right now, but use the built in help function and I am sure yuo will be able to find it.
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ifiaas  
#3 Posted : Sunday, May 6, 2007 10:44:21 PM(UTC)
ifiaas

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Groups: Registered, Registered Users
Joined: 2/3/2007(UTC)
Posts: 13

wabbit,

You are right! I made some mistake in generating the ASCII data source file -- the period field was not consistent in those files. Now they are corrected, the plots are correctly generated.

Thank you, pal!

ifiaas

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