Problem working with foreign data

AFL Programming
#1

Hi Guys!

I have problem working with foreign data captured from Quandl. None of the Data I’ m getting is a usual OHLC. All of them are various data sets showing different trading values, from OI to volume, floating or IV.
I’m getting 8 Data fields for every stock, so I stored them on a New ticket called Quandl-stock ticket using the two user fields provided, from Ami 4.6, and the regular OHLC,V, OI fields.
As I said before, none of the them are properly the stock price. The price, as always, is avalaible only on the usual stock ticket from Ami.
The problem I have is when I make a backtest using Foreign Function for getting those values to compare or look at, I always get the value stored on the Close, and sometimes is not what I need.
So, is there a way to get whatever of the six values, no matter where they are stored in a arbitrary way?

Thx!

#2

http://amibroker.com/guide/afl/foreign.html

Specify the exact field that you want to retrieve in Foreign()

Allowable data fields: "O" (open), "H" (high), "L" (low), "C" (close), "V" (volume), "I" (open Interest), and for v5.29 and above: "1" (aux1), "2" (aux2)

#4

The previous one had a bug.

Hello,

When I do a data import with the following configuration:

// Dato1, Dato2, Dato3, Dato4, Dato5, Dato6, Dato7, Dato8
// Open, High, Low, Close , Volume, OpenInt, Aux1, Aux2

// I initialize the variables
TickerO = Foreign ("DatosACTUALIZADOS-" + Name (), "O"); // Dato1
...

// Now I do another test changing the assignment from Open to Close

// I change the assignment of the values ​​in the .format file
// Dato1, Dato2, Dato3, Dato4, Dato5, Dato6, Dato7, Dato8
// Close, High, Low, Open, Volume, OpenInt, Aux1, Aux2

// I import the data with the change.
// I change the Open parameter to Close in the .afl file

TickerC = Foreign ("DatosACTUALIZADOS-" + Name (), "C"); // Dato1

I see that the backtest results are different.
Does the assignment of values ​​affect the backtest when I import them?
Should the backtest always be done with Close data?

Can you change the parameter from an .afl so you don't have to import every time?
Now Data1 is V or C or I, etc ...

Thanks for your help @NSM51.

Best regards,
Carlos

// Fichero DatosACTUALIZADOS-GOOGL.csv
DATE,Dato1,Dato2,Dato3,Dato4,Dato5,Dato6,Dato7,Dato8
9/21/2020,0.503,0.4951,0.499,0.0289,0.5049,0.5083,0.5066,0.0169
9/18/2020,0.4725,0.4704,0.4714,0.0274,0.4857,0.4918,0.4888,0.0164
9/17/2020,0.4816,0.4791,0.4804,0.0274,0.4875,0.4914,0.4894,0.0134
9/16/2020,0.4705,0.468,0.4692,0.0277,0.4799,0.4841,0.482,0.0129

1 Like
#5

When you did the import, did you specify that the data was not price data? Otherwise, AmiBroker will assume that all values are positive, and that H is greater than or equal to O, L, C and L is less than or equal to O, H, C.

3 Likes
#6

Good point mradtke, i had a similar problem some weeks ago importing data. How can we tell Ami those data fields are not price data on OHLC format?

#7

There are checkboxes for "No quotation data" and "Allow negative prices" in the Import Wizard, or you can use $NOQUOTES and/or "$ALLOWNEG in your import format file as described here: http://www.amibroker.com/guide/d_ascii.html

2 Likes
#8

Hi @mradtke,

I already use the two parameters in the .format file.

In the end I have created two import files changing the order:
1 - $ FORMAT Date_MDY, Close, High, Low, Open, Volume, OpenInt, Aux1, Aux2, Skip, Skip, Skip
2 - $ FORMAT Date_MDY, Open, High, Low, Close, Volume, OpenInt, Aux1, Aux2, Skip, Skip, Skip

Thanks for your help.

Best regards,
Carlos

#9

You should just use $ALLOWNEG 1.
$NOQUOTES 1 is for something else. Like when you do NOT import quotes (for example when importing fundamentals).

2 Likes
#10

Hi Tomasz,

I use this parameters:

# Format definition file generated automatically
# by AmiBroker's ASCII Import Wizard

$FORMAT Ticker, Fullname, Close, Skip, Skip, Skip, Skip
$SKIPLINES 1
$SEPARATOR ;
$CONT 1
$GROUP 255
$WATCHLIST 298
$AUTOADD 1
$DEBUG 1
$NOQUOTES 1
$ALLOWNEG 1

Thank you.

Best regards,

Carlos

1 Like
#11

Thanks both of you for the Info. I will consider it from now.

1 Like
#12

@Tomasz: The quote above is from the original post in this thread, so I thought $NOQUOTES would be appropriate.

1 Like
#13

I have created two import files and I have solved the problem.
Thanks for your help @mradtke.

I have put the two parameters that you have indicated.

Best regards,
Carlos

#14

With "quotes" I mean any data series that is put in OHLCV, OI, Aux1/2 fields regardless if they are really quotes or something else.

2 Likes
#15

Thank you @Tomasz.
I will consider it from now.

#16

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