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    #31
    Gomi, this is extremely intelligent and generous work you are doing. Thank you.

    Comment


      #32
      GOM:
      (1) Thanks for your message and the pointers to QCollector and other tools. I will research them further. What data-vendors provide backfill capability for tick by tick data?

      (2) The command line version of the converter will be a great help.

      (3) I was briefly browzing the NT7 feature set and they seem to have an Tick By Tick database editor. Is it a true tick by tick store like your system?

      Comment


        #33
        overflow error

        Hi Gom

        With both 6.5 and beta i keep getting overflow errors.

        "ERROR: Error on plotting indicator 'GomCD'. Please check the 'OnBarUpdate' or the 'Plot' method: Overflow error."

        Is there a way to make it work?

        Comment


          #34
          Gomi, would it be possible for you to create a free version of TPO charts? Merci beaucoup!

          Comment


            #35
            Originally posted by pavve View Post
            Hi Gom

            With both 6.5 and beta i keep getting overflow errors.

            "ERROR: Error on plotting indicator 'GomCD'. Please check the 'OnBarUpdate' or the 'Plot' method: Overflow error."

            Is there a way to make it work?
            With the beta i've noticed that when i start NT with the chart open CD plot is there but after i connect it disapears and overflow error shows up.
            regards,

            Comment


              #36
              hi pavve,

              Really dunno what's happening here. What's your instrument ? Does it work on the ES or the NQ ?

              Originally posted by pavve View Post
              With the beta i've noticed that when i start NT with the chart open CD plot is there but after i connect it disapears and overflow error shows up.
              regards,

              Comment


                #37
                With Qcollector you can use eSignal, QCharts or IQ Feed. On eSignal you only get 10 days of tick backfill

                NT7 bid/ask is unusable on historical charts because it's not synchronized with the price. So you can't reconstruct the historical bid/ask at the time a tick happened.



                Originally posted by aviat72 View Post
                GOM:
                (1) Thanks for your message and the pointers to QCollector and other tools. I will research them further. What data-vendors provide backfill capability for tick by tick data?

                (2) The command line version of the converter will be a great help.

                (3) I was briefly browzing the NT7 feature set and they seem to have an Tick By Tick database editor. Is it a true tick by tick store like your system?

                Comment


                  #38
                  Originally posted by pavve View Post
                  With the beta i've noticed that when i start NT with the chart open CD plot is there but after i connect it disapears and overflow error shows up.
                  regards,
                  Gomi,

                  i,ve been testing it with the TDAmeritrade data using SPY as vehicle.
                  Thank you,

                  pavve

                  Comment


                    #39
                    Originally posted by gomifromparis View Post
                    With Qcollector you can use eSignal, QCharts or IQ Feed. On eSignal you only get 10 days of tick backfill

                    NT7 bid/ask is unusable on historical charts because it's not synchronized with the price. So you can't reconstruct the historical bid/ask at the time a tick happened.
                    I checked out QCollector and have singed up for DTNIQ.

                    I also noticed that NT7 imports bid, ask and price data separately. I can not understand why NT has this architecture. They can simply filter the data-stream when reading it if they want one, and not the other. However by separating them they are opening this synchronization can of worms. I think NT database supports single second resolution and multiple ticks within the second can cause a problem, which an integrated chronological ordered system will obviate.

                    I think the replay data-base stores the exact bid-ask sequence. Don't know why they would like to maintain multiple databases though...

                    Comment


                      #40
                      Dunno, seperating bid/ask from ticks makes it quite useless in my opinion.. Of course the NT recorder stores everything in sync, but I think the problems is that it eats up quite some space, and the database structure is not documented...

                      Comment


                        #41
                        New version 1.1 of package and file converter

                        On file converter :
                        • can run it in command line using GomFileConverter.exe inputfile inputformat outputformat
                        • the GOMFOLDER environment variable is read correctly

                        On GomRecorder:
                        • corrected a bug that caused that sometimes , 0.01 TickSize instruments were off by 1 tick. Bid/ask data was correct though.
                        • changed some stuff so I think it will minimize the Recorder KOs.

                        On GomCD:
                        • added a new delta calculation mode invented by rt-trader, which he called "hybrid". The idea is to use UpDownWithContinuation, but to look for reversals when the bid becomes the ask. For instance if you're going down and 1000 has been hit on the ask, and then 1000 is hit on the bid, we consider this as a reversal and start counting upwards. Funnily, the delta it gives is between the bid/ask mode and the UpDownWithContinuation mode.

                        On GomCDSMA
                        • corrected the bug in NT6.5 that prevented the change of SMA period
                        Last edited by gomifromparis; 12-29-2009, 03:37 PM.

                        Comment


                          #42
                          Hello Gomi,
                          Your work is really great. Thank you very much for sharing it.

                          I have small question about GomFileConvert.

                          I also use Qcollector (version 1.2.3 data from IQFeed), but I have only 3 possibilities as Data Field Separator – Comma, Tab or Space (see screenshot). No semicolon there.

                          My txt data file looks like this:
                          10/01/2010,18:00:00,1141.75,1,1,1141.75,1141.75,3664,0,0
                          10/01/2010,18:00:00,1141.75,7,8,1141.75,1141.75,3665,0,0

                          And ComFileConvert doesnt work (crushes).

                          Could you please help me how to get your format (DateTime;Price;Volume;Bid;Ask) from Qcollector?

                          Thank you,
                          Petr
                          Attached Files

                          Comment


                            #43
                            Hi,

                            Hi, I use QCollector 4 and there is semicolumn support (see pic).
                            Attached Files

                            Comment


                              #44
                              Hello Gomi,

                              thank you for the screenshot. Then you must use QCollector version for eSignal which has more options . What a pitty, version for IQFeed doesnt have that export setting needed for your utility.

                              I know you cannot make everyone happy, but wouldnt it be possible to add some switch in file import for IQFeed version of QCollector data?

                              The only difference is that this version of Qcollector separates Date and Time, you can use comma/tab/space as sepparator and there is TickID and TotVol column. The export is in format:

                              Date,Time,Last,LastSize,TotVol,Bid,Ask,TickID,BidS ize,AskSize

                              TotVol= Total volume of all trades in session so far, in shares or contracts.
                              BidSize, AskSize = Currently, DTN IQFeed does not store bid size and ask size with their history data, so these fields will hold zero values when historical data is downloaded.

                              Well, what a pity, there are such a differences in one program
                              Petr

                              Comment


                                #45
                                Gomi.
                                Thanks again for your wonderful work.
                                Anyway I submit to your attention the following link:
                                http://www.traderslaboratory.com/for...rent-7301.html



                                Seems that for Cumulative Delta ZenFire/NinjaTrader is no more reliable...
                                What do you think about ?

                                Comment

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