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Re: price() clarification
[Re: Sundance]
#435195
01/03/14 19:48
01/03/14 19:48
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liftoff
Unregistered
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liftoff
Unregistered
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So I am guessing you cant actually test a strategy with tick data in zorro. closest you can come to this is using 1 minute bars.
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Re: price() clarification
[Re: DdlV]
#435197
01/03/14 19:57
01/03/14 19:57
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acidburn
Unregistered
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acidburn
Unregistered
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I agree that discussions about what something "ought" to be called are sometimes superfluous. However, agreeing on the definitions of terms is rarely superfluous - in fact, it's usually critical to a useful discussion and good decisions. So, I start there:
Tick: Timestamp, Bid, and Ask provided whenever one of the latter 2 changes in live trading; or provided as historical data from live trading. (Or I suppose could be made up to simulate future trading...)
Bar: Timestamp, Open, Close, High, and Low built from the Ticks of whatever the Bar's historical time period is, possibly ending with the most recent live data, Open coming from the last Tick prior to the start of the time period. Also called Candle.
Is this correct? Is there any other useful term to define?
FWIW, I completely agree with your definitions, and that is how I have seen those terms, always. I also agree that the proper terminology is essential. Especially in complex topics, and automated trading is certainly complex.
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Re: price() clarification
[Re: ]
#435198
01/03/14 19:58
01/03/14 19:58
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acidburn
Unregistered
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acidburn
Unregistered
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So I am guessing you cant actually test a strategy with tick data in zorro. closest you can come to this is using 1 minute bars. That is correct.
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Re: price() clarification
[Re: ]
#435226
01/04/14 03:05
01/04/14 03:05
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Joined: Aug 2013
Posts: 22
pipclown
Newbie
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Newbie
Joined: Aug 2013
Posts: 22
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I put together a Python script that parses and counts wicks in the .bar history files. A wick is defined as high price > open price or low price < close price. Here's the output from that script:
_Asset | 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
--------------------------------------------------------------------------------
AUDUSD | 66 78 82 89 87 76 0 0 0 93 93 91
EURUSD | 71 81 84 0 0 0 0 0 0 96 94 92
EURCHF | - - - - - - - - - 94 78 87
GBPUSD | 73 80 85 90 91 0 0 0 0 93 92 92
GER30 | - - - - - - - 0 0 0 88 86
NAS100 | - - - - - - - 0 0 76 75 74
NZDUSD | 67 78 83 86 88 76 81 85 87 - 91 -
SPX500 | - - - - - - - 0 0 80 77 76
UK100 | - - - - - - - 0 0 88 83 82
US30 | - - - - - - - 0 0 87 85 84
USDCAD | 67 79 83 88 88 74 0 0 0 91 89 84
USDCHF | 78 81 82 87 90 0 0 0 0 93 92 91
USDJPY | 74 80 82 89 89 0 0 0 0 89 88 94
USOil | - - - - - - - 0 0 82 83 80
XAGUSD | - - - - - - - - 0 89 86 87
XAUUSD | - - - - - - - - 0 93 93 93
Entries marked with a dash ("-") are simply missing data (no .bar file found). Tried to download all .bar files found on the download page. The numbers represent the wick percentage (num wicks / total num of HLOCs). The wick percentage can of course vary from each asset and year depending on if the asset is trending or not. But what looks peculiar are the zeros. Seems strange these should be zero? jcl, do you know why this could be? Then there's the question what effect this has on backtesting, if any. Rarely do you test on the 1-min bar period IMHO. I included the script I used. Requires a working Python installation. Run from the History folder.
import sys
from struct import calcsize, unpack_from
from collections import namedtuple
Tick = namedtuple('Tick', ['open', 'close', 'high', 'low', 'time'])
YEARS = range(2002, 2013 + 1)
ASSETS = [
'AUDUSD', 'EURUSD', 'EURCHF', 'GBPUSD', 'GER30', 'NAS100',
'NZDUSD', 'SPX500', 'UK100', 'US30', 'USDCAD', 'USDCHF',
'USDJPY', 'USOil', 'XAGUSD', 'XAUUSD'
]
def parse_bar_file(filename):
ticks = open(filename, 'rb').read()
format = '<ffffd'
format_size = calcsize(format)
num_ticks = len(ticks) / format_size
return [Tick(*unpack_from(format, ticks, format_size * i)) for i in xrange(num_ticks)]
def count_wicks(ticks):
return len([t for t in ticks if t.high > t.open or t.low < t.close])
def print_summary_matrix():
print "%6s | %s" % ("Asset", " ".join(map(str, YEARS)))
print "-" * 80
for asset in ASSETS:
wick_percentages = []
for year in YEARS:
try:
ticks = parse_bar_file("%s_%d.bar" % (asset, year))
except IOError:
# Some years are missing
wick_percentages.append(" - ")
continue
num_wicks = count_wicks(ticks)
if len(ticks) == 0:
# Some files are empty
prc = wick_percentages.append(" - ")
continue
prc = num_wicks / float(len(ticks))
wick_percentages.append("%4.0f " % (prc * 100))
print "%6s | %s" % (asset, " ".join(wick_percentages))
print_summary_matrix()
Last edited by pipclown; 01/04/14 03:15.
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Re: price() clarification
[Re: jcl]
#435240
01/04/14 14:55
01/04/14 14:55
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Joined: Aug 2013
Posts: 22
pipclown
Newbie
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Newbie
Joined: Aug 2013
Posts: 22
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Re: price() clarification
[Re: DdlV]
#435286
01/05/14 17:27
01/05/14 17:27
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acidburn
Unregistered
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acidburn
Unregistered
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Bar: Timestamp, Open, Close, High, and Low built from the Ticks of whatever the Bar's historical time period is, possibly ending with the most recent live data, Open coming from the last Tick prior to the start of the time period. Also called Candle.
Actually, I see one mistake in the above. If Open came from the last tick prior to the start of the time period, then we would never have gaps. But we do. Open comes from the first tick in the new time period. At least that's how I see it.
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