Yes, I was thinking about it but same structure is used regardless of timeframe and in higher timeframes (such as 1 second) you won't have access to last bid/ask that way. New format has two auxilliary fields that can hold bid/ask without having to resort to tricks like that.
Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: "Paul Ho" <[email protected]> To: <[email protected]> Sent: Wednesday, August 05, 2009 1:13 PM Subject: [amibroker] Re: AmiBroker 5.27.0 ALPHA released > Tomasz > Are you considering using the HL fields to store bid and ask price. I think > this would be very useful, usually OHL = C for tick. > if we stored bid on H and ask on low as versus (H = ask and L = bid) then it > wont even compromise the integrity of timeframe > compression. What do you think? > /Paul. > --- In [email protected], "Tomasz Janeczko" <gro...@...> wrote: >> >> Hello, >> >> Sorry, but others have demanded storing Bid/Ask along with trade data so, >> contrary to your belief >> tick data is NOT smaller than bar data. Plus it does NOT need 44 bytes to >> store bar data. >> I don't know were you get this figure from. Single bar is 40 (fourty) bytes. >> >> As for tick data you get >> 64 bit date time (8 bytes), 4 bytes trade price, 4 byte trade volume, 4 byte >> bid, 4 byte bid size, 4 byte ask, 4 byte ask size. >> That's 32 bytes MINIMUM. There are other things that are comming as exchange >> code, tick number etc. >> >> So contrary to your belief tick data is not smaller than bar data. >> >> Best regards, >> Tomasz Janeczko >> amibroker.com >> ----- Original Message ----- >> From: "cpescho" <cpes...@...> >> To: <[email protected]> >> Sent: Wednesday, August 05, 2009 10:29 AM >> Subject: [amibroker] Re: AmiBroker 5.27.0 ALPHA released >> >> >> > Hello, >> > >> > are there any plans to account for large tick database backtesting? 44 >> > Bytes is great for storing a OHLC bar, but for a single >> > tick its still a lot since you dont have OHL with tick data. >> > >> > Right now my biggest problem backtesting tick data is memory limitation. >> > Wasting disk space is not my concern although i think >> > one >> > can eliminate the disk i/o bottleneck if a more compact format is stored >> > on disk. >> > >> > Regards, >> > >> > Chris >> > >> > >> > >> > >> > ------------------------------------ >> > >> > **** IMPORTANT PLEASE READ **** >> > This group is for the discussion between users only. >> > This is *NOT* technical support channel. >> > >> > TO GET TECHNICAL SUPPORT send an e-mail directly to >> > SUPPORT {at} amibroker.com >> > >> > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at >> > http://www.amibroker.com/feedback/ >> > (submissions sent via other channels won't be considered) >> > >> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >> > http://www.amibroker.com/devlog/ >> > >> > Yahoo! Groups Links >> > >> > >> > >> > > > > > ------------------------------------ > > **** IMPORTANT PLEASE READ **** > This group is for the discussion between users only. > This is *NOT* technical support channel. > > TO GET TECHNICAL SUPPORT send an e-mail directly to > SUPPORT {at} amibroker.com > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > http://www.amibroker.com/feedback/ > (submissions sent via other channels won't be considered) > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > Yahoo! Groups Links > > >
