Hi Herman, Thanks for the "direct" response. Those are excellent articles that you have written. I've read them before, but it's been a long time. I think what I'm seeing is different than the HFAT data issues that you explained so well. I'm comparing two tick charts using the exact same IB real-time datafeed captured at the exact same time on the same computer. Neither chart is using backfill data (IB doesn't really have tick level backfill data). The AB tick bars created all have a timestamps that are a multiple of 5 seconds and there are significantly less bars created than created by the other charting software. Since the AB tick bar timestamps don't look right to me under my current AB configuration, I'm suspecting the other charting package has a more correct tick chart display. I'm hoping there are AB settings that would make the two tick charts more similar.
Regards, David _____ From: Herman [mailto:[EMAIL PROTECTED] Sent: 12/24/2007 4:19 PM To: AmiBroker Users Group; Barry Scarborough; dbw451 Subject: Re: [amibroker] AB tick bar analysis It seems that all my emails to Yahoo are blocked... I try this more direct way. wrt to IB data you may want to read two posts on the Users' Knowledge <http://www.amibroker.org/userkb/> Base that report on my experience with IB data: High-Frequency Automated Trading: Part <http://www.amibroker.org/userkb/2007/11/28/high-frequency-automated-trading -systems-part-1/> 1 and Part <http://www.amibroker.org/userkb/2007/12/24/high-frequency-automated-trading -hfat-part-2/> 2 that deal with IB data. While I work in the 5 Sec timeframe the problems you experience may well be related. The first thing to consider is whether you are comparing real-time data with backfilled data. As the posts illustrate these two types of data are very different. Something not mentioned in the posts is that it would make sense for IB to calculate/stagger their snapshots to save bandwidth. This would mean that different traders would see slightly different data. If a few user got together this could be easily verified by collecting a data sample for the same time period. To compare data visually you might want to create a composite and plot the two (or more) types of data on the same chart. Easier to see than columns of numbers. See the posts on how to do that. Best regards, herman For tips on developing Real-Time Auto-Trading systems visit: http://www.amibroker.org/userkb/ Monday, December 24, 2007, 3:11:38 PM, you wrote:
