Ken, I thought of a way that might work for backfilling via DDE from thinkorswim.
The DDE interface also works with thinkorswim's onDemand tick by tick playback capability. Thus you can start onDemand from a point in the past and play forward the tick and quote streams. The only problem I can see with this approach (beside the fact that the backfill is not time compressed) is that the date/time of each data point won't be correct because: - AmiBroker ignores the Time field (see "3. Time and Req fields are now ignored (this may change in the future) 4. The current system time is used to timestamp each tick. " on http://www.amibroker.com/dde.html ). I haven't been using AmiBroker long enough to have a sense of how quickly it might be enhanced to use the Time field. - thinkorswim DDE doesn't provide date/time. I have been using TOS long enough to suspect that its DDE could be enhanced quickly to provide date/time. Before both products are enhanced, I'm wondering if 1) a database backfilled via the above method can be edited to subtract the date/time offset or 2) if the "1.2.2 - includes "Time shift" field in the context dialog" feature mentioned on http://www.amibroker.com/dde.html can be used to correct the date/time offset. I'm new enough to AmiBroker that I don't have a sense for whether either of these is doable. Warm regards, David On Thu, Jul 8, 2010 at 3:48 PM, David <amibroker.ygro...@personalfreedom.com > wrote: You're welcome, Ken. Glad to hear the instructions worked for you. > > I don't believe there's currently a way to backfill from thinkorswim. I'm > pushing thinkorswim for backfilling and trading integration with AmiBroker. > As you are probably aware, TOS does have historical data back to 12/27/02, > as witnessed in thinkback. I'd be happy to have more TOS customers pushing > the same requirements! > > I'm more of an end of day trader, so don't use tick data. Sounds like your > 400 tick AmiBroker chart question would be a good one to post separately to > the AmiBroker list since it doesn't appear to be related to just thinkorswim > users. > > Warm regards, > David > > > > On Thu, Jul 8, 2010 at 10:19 AM, Ken Close <ken45...@gmail.com> wrote: > >> >> >> David: >> >> Thanks for the doc file with instructions. I just got my TOS data stream >> flowing into Amibroker. >> >> Did you find any way to backfill? Or did you just have to collect data >> each day until you had enough to make indicators useful, etc? >> >> Any other tricks? For example, I use 400 tick charts on TOS and want to >> use them in AB. How do I set up a 400 tick chart. I see the standard 10, >> 20, 50, 100 tick menu items. >> >> Ken >> >> ------------------------------ >> *From:* amibroker@yahoogroups.com [mailto:amibro...@yahoogroups.com] *On >> Behalf Of *David >> *Sent:* Thursday, July 08, 2010 6:19 AM >> *To:* chetan >> *Cc:* amibroker@yahoogroups.com >> *Subject:* Re: [amibroker] Re: Here's how to integrate AmiBroker with >> thinkorswim via DDE for real-time streaming quotes of options, etc. >> >> Yes, live futures data such as /ES is accessible via thinkorswim >> thinkDesktop's DDE interface. >> >> Warm regards, >> David >> >> >> On Wed, Jul 7, 2010 at 5:31 PM, chetan <chetan.abm...@gmail.com> wrote: >> >>> Is it possible to download streaming live futures data (say for ES) using >>> this link to TOS; i would love that as that would save me a bit more than >>> 100$ every month that i have to pay to a data vendor. >>> >>> thanks in advance! >>> >>> -gariki >>> >>> >>> >>> On Fri, 28 May 2010 01:55:44 -0700, David < >>> amibroker.ygro...@personalfreedom.com> wrote: >>> >>> Sure thing, Lance. I just posted my message, including the screen >>>> shot, at >>>> >>>> http://finance.groups.yahoo.com/group/amibroker/files/thinkDesktop%20integration/ >>>> . >>>> >>>> Warm regards, >>>> David >>>> >>>> >>>> On Thu, May 27, 2010 at 9:46 AM, smoothtrader6171 <growl...@yahoo.com >>>> >wrote: >>>> >>>> >>>>> >>>>> Hi David, >>>>> >>>>> I am very interested in this. Would you mind posting the image to the >>>>> files >>>>> areas of the group? I was not able to view the attached configuration >>>>> image >>>>> from your message. I appreciate it! >>>>> >>>>> Thank you, >>>>> Lance >>>>> >>>>> >>>>> --- In amibroker@yahoogroups.com <amibroker%40yahoogroups.com>, David >>>>> >>>>> <amibroker.ygro...@...> wrote: >>>>> > >>>>> > As one step along the path to determine whether I can back test >>>>> option >>>>> > strategies with AmiBroker even though AmiBroker isn't designed for >>>>> options >>>>> > traders, I've integrated AmiBroker with thinkorswim via DDE for >>>>> real-time >>>>> > streaming quotes of every instrument you can trade via thinkDesktop, >>>>> e.g. >>>>> > options, futures, stocks, ETFs, forex. >>>>> > >>>>> > To do the same, just follow the instructions on >>>>> > http://www.amibroker.com/dde.html and copy this screen after you >>>>> click >>>>> the >>>>> > CONFIGURE button. These entries are case sensitive. >>>>> > >>>>> > [image: Capture.PNG] >>>>> > >>>>> > Since AmiBroker doesn't use the last two fields anyway, I'm using >>>>> them >>>>> for >>>>> > additional data I want. I used the first field for the Strike of an >>>>> option >>>>> > so AmiBroker can find the option I'm looking for more quickly than >>>>> having >>>>> to >>>>> > parse the Ticker field for that info (I'm perhaps incorrectly >>>>> assuming >>>>> that >>>>> > AmiBroker indexes that first field). I used the second field for the >>>>> > VIX-style Implied Volatility index of the underlying stock, index, >>>>> future, >>>>> > etc. You can chose any of the thinkorswim DDE fields below instead of >>>>> the >>>>> > two I chose. >>>>> > >>>>> > 52HIGH >>>>> > 52LOW >>>>> > ASK >>>>> > ASKX >>>>> > ASK_SIZE >>>>> > AX >>>>> > BACK_VOL >>>>> > BA_SIZE >>>>> > BETA >>>>> > BID >>>>> > BIDX >>>>> > BID_SIZE >>>>> > BX >>>>> > CALL_VOLUME_INDEX >>>>> > CLOSE >>>>> > COVERED_RETURN >>>>> > CUSTOM1 >>>>> > CUSTOM2 >>>>> > CUSTOM3 >>>>> > CUSTOM4 >>>>> > CUSTOM5 >>>>> > CUSTOM6 >>>>> > CUSTOM7 >>>>> > CUSTOM8 >>>>> > CUSTOM9 >>>>> > DELTA >>>>> > DESCRIPTION >>>>> > DIV >>>>> > DIV_DATE >>>>> > DIV_FREQ >>>>> > DT >>>>> > EPS >>>>> > EXCHANGE >>>>> > EXPIRATION >>>>> > EXTRINSIC >>>>> > FRONT_VOL >>>>> > GAMMA >>>>> > HIGH >>>>> > HTB_ETB >>>>> > IMPL_VOL >>>>> > INTRINSIC >>>>> > LAST >>>>> > LASTX >>>>> > LAST_SIZE >>>>> > LOW >>>>> > LX >>>>> > MARK >>>>> > MARKET_CAP >>>>> > MAX_COVERED_RETURN >>>>> > NET_CHANGE >>>>> > OPEN >>>>> > OPEN_INT >>>>> > OPTION_VOLUME_INDEX >>>>> > PE >>>>> > PERCENT_CHANGE >>>>> > PROB_OF_EXPIRING >>>>> > PROB_OF_TOUCHING >>>>> > PUT_CALL_RATIO >>>>> > PUT_VOLUME_INDEX >>>>> > RHO >>>>> > ROC >>>>> > ROR >>>>> > SHARES >>>>> > STRIKE >>>>> > SYMBOL >>>>> > THETA >>>>> > VEGA >>>>> > VOLUME >>>>> > VOL_DIFF >>>>> > VOL_INDEX >>>>> > YIELD >>>>> > Warm regards, >>>>> > David >>>>> > >>>>> >>>>> >>>>> >>>>> >>> >>> -- >>> Using Opera's revolutionary e-mail client: http://www.opera.com/mail/ >>> >> >> >> > >
