Intra Day Data - how do people use it ?

[mfayaz]

Hello,

I was thinking of using the intra data posted on this forum for arriving at EW targets. In this context was trying to understand the format of the IEoD data hosted.

I notice that the open, high, low & close values for each distinct time stamps are same.
Ex:
NIFTY,12/15/2008,09:56:55,2977.15,2977.15,2977.15,2977.15,0
NIFTY,12/15/2008,09:57:01,2975.85,2975.85,2975.85,2975.85,0

1. What do people use this data for ?
2. And what is the last field suppose to indicate? (is it volume ?)

Regards,
Fayaz

[Ajay.Joglekar]

It would depend on the tool you use for your EW targets. I would recommend not using the IEOD charts in their usual time-frame. Instead go to a larger timeframe if you do want to use it anyways. I think IEOD is less than 5 mins. If your EW s/w allows it then compress this data to the 10 min time frame and use it. hope that helps.

[mfayaz]

Yes, I plan to roll it up (using some hand written code) into 5,10,15,30 min etc. And replace the date/timestamp with some fictitious running sequence of dates so that it can be fed into Adget EoD version.

However,
1. I was wondering how could the O, H, L, C values for each record be same in the intra day data files available here, irrespective of how granular the data is.
2. And the last field (which i am assuming to be volume) sometimes have negative values as well (first record of the day).

There seem to be something wrong with my understanding. I think the administrators of this file will be able to shed some light.

(At the end of this exercise, i know the charts might have too many gap ups/downs & the EW targets might not be reliable... but still want to give it a try)

Regards,
Fayaz

[Ajay.Joglekar]

1. I was wondering how could the O, H, L, C values for each record be same in the intra day data files available here, irrespective of how granular the data is.

Are you sure you understand the concept behind intraday data? If the data is given at each tick, the OHLC values are going to be the same. I am not sure that you understand the time frame of this data which brings me to the next question ...

2. And the last field (which i am assuming to be volume) sometimes have negative values as well (first record of the day).

If you are doing EW then why would you be concerned by volume? Do you understand EW theory or is this the first time you are playing with it. If you need the volume for something else i understand. In that case yes, I do feel the data is screwed up as far as volume is concerned. Not sure what those negative numbers mean but most probably it might mean some auction stuff ... who knows ... just a guess. I would suggest that the administrators remove the first quote of the day from the data.

There seem to be something wrong with my understanding. I think the administrators of this file will be able to shed some light.

(At the end of this exercise, i know the charts might have too many gap ups/downs & the EW targets might not be reliable... but still want to give it a try)

Regards,
Fayaz
I feel you are starting off on the wrong foot as far EW is concerned. You might want to look at larger trends as far as EW is concerned.Intraday is too short of a time frame to be looking for targets based on EW. You will spend most of your time figuring out the correct EW count and that too on past day's data. What's the use of that? Is this an academic exercise for you or are you really planning to trade based on this? If you do plan to trade please elaborate what kind of information with EW analysis on past day's data you might glean with big enough profit margins to justify such an approach. Trading is no rocket science and its first principle is that it should be simple and practical.

[Prashanth]

Hello Fayaz,


I notice that the open, high, low & close values for each distinct time stamps are same.

If there is no trade inbetween, the same OHLC appears next time too.

1. What do people use this data for ?


I personally use this for creating / testing out my Indicators and verify the time frames they can work.

If you are into Intraday Trading, this may just be a way to backfilll data, but if you are looking to trade intraday, data here can be used to figure out the best ways to trade.


2. And what is the last field suppose to indicate? (is it volume ?)

Yes, its Volume.

[Prashanth]

2. And the last field (which i am assuming to be volume) sometimes have negative values as well (first record of the day).


Negative Values appear in data for Futures only. We are working on multiple concepts where we can provide clean data, but as of now, you have to clean it yourself.

A perl script was provided by a member on our Yahoo Group which can be used to clean the data.

[mfayaz]

Prashanth / Ajay,

Thanks you for your responses.

Please find attached two EW charts for Nifty
1. Using intra day data rolled up to 15 mins
2. And for data rolled up to (15 x 5) mins

Well, that is what the tool had to say. And i would like to wait & watch if these readings are reliable (assuming there are no major news for next couple of days that would alter the course of Nifty).

I am doing this exercise only out of academic interest, not investing as yet based on this.

Do let me know if there are better ways at arriving at the targets for 1-2 week timeframe.

Regards,
Fayaz