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Using OnMarketData() on Historical data with a recording engine
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Using OnMarketData() on Historical data with a recording engine

  #41 (permalink)
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so if we use the millisecond version, there's no improvement in any way when compared to the binary format? The updates that you mentioned, that works with the binary format as well ?
( ie GomOnBarUpdateDone method to allow better performance).


I'm assuming based on your reply that the gom millisecond data is only to check for network jitter?

Sorry if these questions seem redundant, just try to figure out the best way to go at it. I also see the new converters on there, thank you.

For people playing around with the q collector version file format, i talked to tim and he said you can have it update every 5 seconds, but its not suitable for day trading. Its also a bit slow.. sorry guys.


Last edited by Michael.H; June 11th, 2010 at 06:20 PM.
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  #42 (permalink)
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Hi Gomi,

BigMike is having a programmer put together a new downloads module. I would like your permission, once it is complete, to begin putting all of your great work into this as my test/debugging project. The new downloads section will be thread like and have a lot of easy to use features. Including auto update notification and places for comments.

Am trying to envision a way to combined this with Sam BMCodex Project as a way to organize large coding projects.

More to come as I begin to get familiar with the new GUI.

R.I.P. Andy Zektzer (ZTR), 1960-2010.
Please visit this thread for more information.
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  #43 (permalink)
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Michael.H View Post
so if we use the millisecond version, there's no improvement in any way when compared to the binary format?

No. It's only useful if you design millisecond indicators.


Michael.H View Post
The updates that you mentioned, that works with the binary format as well ?
( ie GomOnBarUpdateDone method to allow better performance).

Yes


Michael.H View Post
I'm assuming based on your reply that the gom millisecond data is only to check for network jitter?

no, it records millisecond timestamps, but it is only useful if you have a more or less constant network delay (so low jitter)


ZTR View Post
I would like your permission, once it is complete, to begin putting all of your great work into this as my test/debugging project.

Yes, no problem. I'm honored ;-)

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  #44 (permalink)
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Gotcha, after reviewing some videos, the indicator shows a roughly a negative ~15000-16800 ms lag on es and ym with my dtn feed and internet connection. Is this something that the indicator might be useful for, or is that about standard in your opinion? My pc lock is pretty accurate. I've read your other posts, and noticed no delay( at least so far)


Thanks again.


Last edited by Michael.H; June 14th, 2010 at 05:49 AM.
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  #45 (permalink)
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IRT format does not work

I tried to use IRT format but does not working nor in reading nor in recording. I have tried anything but still not working.

What is the prob?

Thanks.

Luke.

Take your Pips, go out and Live.
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  #46 (permalink)
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hi Luke.

Not sure if you try these steps from MarketDelta.

- go to File / Export / History Data
- choose the symbol, select range and export
- save as filename "ES 09-10.IRT.txt" (or "ES 06-10.IRT.txt") under "My Documents"

For IRT, it's read-only. So to have data all in one place is to use Gom file convertor. *(i'm testing)

Slowpork

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  #47 (permalink)
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slowpork View Post
hi Luke.

Not sure if you try these steps from MarketDelta.

- go to File / Export / History Data
- choose the symbol, select range and export
- save as filename "ES 09-10.IRT.txt" (or "ES 06-10.IRT.txt") under "My Documents"

For IRT, it's read-only. So to have data all in one place is to use Gom file convertor. *(i'm testing)

Slowpork


Ja, I done it first.

Thanks.

Luke.

Take your Pips, go out and Live.
Luke.
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  #48 (permalink)
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While trying to develop something similar to your Volume Ladder, I felt that CalculateOnBarClose should be true, since all the live data is based on MarketData event. However, when rebuilding the information, I had an off by one error since the bar on which the data-was to be plotted was already completed before the Gom functions were call. I offset it by one, but then faced a problem when transitioning from historical to live data. The bar which is currently being built was part historical and part real-time.

Will the new updates help in the transition? I am not sure whether the setting for the CalculateOnBarClose would make any difference in overall performance for the Gom based indicators but wanted to optimize as much as I could.

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  #49 (permalink)
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gomi View Post
Here's a new version of the Recorder.

Added

File Formats


* Millisec format, which will try to use the current clock to record millisecond timestamps. The recorder will try to adapt the lag between the exchange and the PC to keep timestamps matched (see https://futures.io/elite-circle/3743-exchange-data-delay-test-2.html#post40819 for an indy that monitors the lag). And thanks Zondor, there was indeed a bug ;-)

Was so busy that i just don't see this before, cool, I play with it when have time, Thanks!

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  #50 (permalink)
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Millisec file format of GomRecorder


The millisec file format has time stamps with millisecond resolution instead of one second resolution. For most indicators that use the GomRecorder, this is not necessary, and unless otherwise stated, the preferred file format is generally binary.

The millisecond time stamps are helpful for indicators that do things such as counting the number of trades per unit of time. If the unit of time is less than one second, or for that matter less than a few seconds, one second time stamps would be too coarse to give meaningful results. For example, trying to determine the average volume traded within each of the 0.8 second time periods within a bar. So this is a great feature for indicators that measure TRADE INTENSITY.

For best results it's important to keep your computer clock synchronized with a reference clock using an NTP client such as Meinberg.

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