Hi, I've had a week to play with AmiBroker and I believe we have to use eSignal 10.6 due to the Data Manager.
If I install eSignal 21, AmiBroker cannot find the esignal data manager.
Now, 10.6 for US stocks is completely unfiltered and pretty much unusable?
There are a ton of time shifted ticks (transactions that probably occured 5-10 seconds in the past) and they pollute every bar.
Amibroker allows up to 1mm bars in tick database. That's not enough to cover a full day of NVDA. I thought of doing my own filtering of tick data because it's not too hard to determine if a tick is outside the expected range, but if we can't make a db that big, that's out the window.
How is anyone using eSignal data at all? I use eSignal because it has all the markets of the world. Other markets are perfectly fine. Second/tick data are clean. No bad ticks at all. Only US symbols are full of bad ticks.
One critical thing I need is the correct price/volume of the opening bar and the closing bar for each day, when the opening and closing auctions occur. Do I have to refresh the db just after those moments, scan/explore to get the correct tick, then let the db fill up, possibly overwriting that data later?
I would preferably use 1 second bars because I don't need tick resolution, but > 50% of 1 second bars are bad.
eSignal has always been a filtered data feed. It is not an unfiltered tick feed.
The AmiBroker eSignal plugin works with any version of the eSignal Data Manager , as long as the Data Manager is installed and running on the system. It is not tied to a specific eSignal release.
The Data Manager version itself generally should not matter very much. Its primary role is to act as a pass-through that exposes market data through the eSignal API to third-party applications such as AmiBroker. The plugin communicates with the API rather than relying on version-specific functionality.
Regarding the 1 million bar limit, it is actually possible to store far more than 1 million ticks/bars in an AmiBroker database. Please see this forum post, which explains how to increase the database capacity:
I'd also like to understand more about your observation regarding the "delayed" ticks.
How did you determine that these trades are being reported 5–10 seconds late? Please note that some trades are legitimately reported with delays of up to around 10 seconds due to exchange reporting rules, so seeing delayed trade reports is not necessarily indicative of bad data.
Also, have you verified whether the same ticks appear in the eSignal application itself , or is this behavior only visible in AmiBroker? If the eSignal application displays the same trades, then the data is coming from the feed.
AmiBroker eSignal plugin just passes the data received, it doesn't do any data processing, it is 100% pure pass-thru.
If you have a specific symbol, date, and time where you believe the data is incorrect, please let us know so we can investigate further.
Overall it is difficult to answer posts that lack the details.
Here are 2 screenshots of eSignal 10.6 (unfiltered) and eSignal 21 (newest version), where the bars are clean. If you look the candle bodies, it's the same chart for the most part. The wicks all move in a pattern above or below the candle bodies, which makes me believe they're all time shifted.
When I installed both eSignal versions at the same time, Amibroker uses the data manager from 10.6. After I uninstalled 10.6 to see if it uses eSignal 21, Amibroker says no data manager.
There's nothing wrong with Amibroker. It's getting the data exactly as it's presented in the eSignal charting software itself. I'm just asking for help working with these bad bars.
As you observed eSignal own app 10.6 using old DM is displaying the same thing.
Well, I don't control what eSignal own app is doing, the only thing I can say, is that you might uninstall eSignal 10.6 and try newer version of stand-alone eSignal Data Manager:
All data come from and via eSignal API. Any third pary app must use the API. There is no way to get the data otherwise. The API is owned and controlled by eSignal. Exactly how it works internally is not known and it is solely proprietary knowledge of eSignal. The app doesn't choose anything. The app just calls functions provided by eSignal and precisely the way documented by eSignal and has absolutely no control on data delivered.
I can't offer you any more information because I don't have any.
You may ask eSignal but I guess they won't offer you any advice or information as their API is subject to NDA and license fees and not publicly available.
What you may ask them is to why their own app version 10.6 shows incorrect bars, but I guess they will just say it is obsolete.
At this point I can only suggest using IQFeed instead.
