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Additional fields for Candle table
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Hello everyone,
I would like to load some futures and currencies data (eod) in activequant. This data has the following fields:
Date/Time, Open, High, Low, Close, Volume, Open-Interest, Contract, Unadjusted Close.
(You can get this data here: http://www.tradingblox.com/tradingblox/free-historical-data.htm).
I noticed that the Candle table in activequant has no Open-Interest, Contract and Unadjusted Close -fields. Is there a special reason for this? Can these fields be added (null allowed)?
My second question is about multiple sources for the same datasets. Let's say I want to load two eod datasets in the Candle table for the same instrument (same time period) but from different sources. I can't load these two sets in activequant now without
losing the origin information of these sets. Would it not be a good idea if we had another field in the Candle table (null allowed), which could hold a reference to a record in a "candle context" table (not sure about the name). This new table could have the following fields: id, description, date?
Please let me know what you think,
Regards,
-Mark-
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Re: Additional fields for Candle table
Mark, to answer your last question: instruments coming from different vendors are considered different instruments in aq, see #vendor field in the InstrumentSpecification. In your case, the instrument you are working with will have two specs, which differ by vendor only. Database will be able to hold series originated from different vendors, as their foreign keys will be different.
Regards, -Mike On Fri, Sep 12, 2008 at 10:48 AM, Mark Breman <m.breman@...> wrote:
Hello everyone, I would like to load some futures and currencies data (eod) in activequant. This data has the following fields:
Date/Time, Open, High, Low, Close, Volume, Open-Interest, Contract, Unadjusted Close. (You can get this data here: http://www.tradingblox.com/tradingblox/free-historical-data.htm).
I noticed that the Candle table in activequant has no Open-Interest, Contract and Unadjusted Close -fields. Is there a special reason for this? Can these fields be added (null allowed)? My second question is about multiple sources for the same datasets. Let's say I want to load two eod datasets in the Candle table for the same instrument (same time period) but from different sources. I can't load these two sets in activequant now without
losing the origin information of these sets. Would it not be a good idea if we had another field in the Candle table (null allowed), which could hold a reference to a record in a "candle context" table (not sure about the name). This new table could have the following fields: id, description, date?
Please let me know what you think, Regards, -Mark-
_______________________________________________
ccapi mailing list
ccapi@...
http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
_______________________________________________
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ccapi@...
http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
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 Re: Additional fields for Candle table
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Learn more about Nabble's security policy.
Hi Mike,
Good idea to use InstrumentSpecification for this (never looked at it that way)! This will solve my problem for loading multiple datasets. Thank you. Do you have a opinion about adding the other fields to the Candle table (i.e. open-interest, contract and unadjusted close)? -Mark- ----- Original Message ---- From: Mike Kroutikov < pgmmpk@...> To: ccapi2 and activeQuant discussion list < ccapi@...> Sent: Friday, September 12, 2008 6:31:16 PM Subject: Re: [ccapi] Additional fields for Candle table
Mark, to answer your last question: instruments coming from different vendors are considered different instruments in aq, see #vendor field in the InstrumentSpecification. In your case, the instrument you are working with will have two specs, which differ by vendor only. Database will be able to hold series originated from different vendors, as their foreign keys will be different.
Regards, -Mike On Fri, Sep 12, 2008 at 10:48 AM, Mark Breman <m.breman@...> wrote:
Hello everyone, I would like to load some futures and currencies data (eod) in activequant. This data has the following fields:
Date/Time, Open, High, Low, Close, Volume, Open-Interest, Contract, Unadjusted Close. (You can get this data here: http://www.tradingblox.com/tradingblox/free-historical-data.htm).
I noticed that the Candle table in activequant has no Open-Interest, Contract and Unadjusted Close -fields. Is there a special reason for this? Can these fields be added (null allowed)? My second question is about multiple sources for the same datasets. Let's say I want to load two eod datasets in the Candle table for the same instrument (same time period) but from different sources. I can't load these two sets in activequant now without
losing the origin information of these sets. Would it not be a good idea if we had another field in the Candle table (null allowed), which could hold a reference to a record in a "candle context" table (not sure about the name). This new table could have the following fields: id, description, date?
Please let me know what you think, Regards, -Mark-
_______________________________________________
ccapi mailing list
ccapi@...
http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
_______________________________________________
ccapi mailing list
ccapi@...
http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
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Re: Additional fields for Candle table
Mark, I have no strong opinion regarding the extra fields.
From one hand, yahoo does supply "close" and "adjClose" as separate fields. From the other hand, dividends and splits are so rare, that it seems strange to keep them in the same timeseries (besides, splits would need more info - like ratio. not sure what yahoo means by "price adjusted for splits").
-Mike On Fri, Sep 12, 2008 at 3:06 PM, Mark Breman <m.breman@...> wrote:
Hi Mike,
Good idea to use InstrumentSpecification for this (never looked at it that way)! This will solve my problem for loading multiple datasets. Thank you.
Do you have a opinion about adding the other fields to the Candle table (i.e. open-interest, contract and unadjusted close)?
-Mark-
----- Original Message ---- From: Mike Kroutikov < pgmmpk@...> To: ccapi2 and activeQuant discussion list < ccapi@...>
Sent: Friday, September 12, 2008 6:31:16 PM Subject: Re: [ccapi] Additional fields for Candle table
Mark, to answer your last question: instruments coming from different vendors are considered different instruments in aq, see #vendor field in the InstrumentSpecification. In your case, the instrument you are working with will have two specs, which differ by vendor only. Database will be able to hold series originated from different vendors, as their foreign keys will be different.
Regards, -Mike On Fri, Sep 12, 2008 at 10:48 AM, Mark Breman <m.breman@...> wrote:
Hello everyone, I would like to load some futures and currencies data (eod) in activequant. This data has the following fields:
Date/Time, Open, High, Low, Close, Volume, Open-Interest, Contract, Unadjusted Close. (You can get this data here: http://www.tradingblox.com/tradingblox/free-historical-data.htm).
I noticed that the Candle table in activequant has no Open-Interest, Contract and Unadjusted Close -fields. Is there a special reason for this? Can these fields be added (null allowed)? My second question is about multiple sources for the same datasets. Let's say I want to load two eod datasets in the Candle table for the same instrument (same time period) but from different sources. I can't load these two sets in activequant now without
losing the origin information of these sets. Would it not be a good idea if we had another field in the Candle table (null allowed), which could hold a reference to a record in a "candle context" table (not sure about the name). This new table could have the following fields: id, description, date?
Please let me know what you think, Regards, -Mark-
_______________________________________________
ccapi mailing list
ccapi@...
http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
_______________________________________________
ccapi mailing list
ccapi@...
http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
_______________________________________________
ccapi mailing list
ccapi@...
http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
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