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| Discuss Loading EOD Derivatives data into Amibroker at the AmiBroker within the Traderji.com - Discussion forum for Stocks Commodities & Forex; Trading Gurus, Need some help. I have a updated Amibroker database for NSE Cash data. ... |
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#1
11th October 2007, 07:52 AM
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Loading EOD Derivatives data into Amibroker
Trading Gurus,
Need some help. I have a updated Amibroker database for NSE Cash data. But I am getting confused on loading the Derivatives bhav copy into a new database. Derivatives data contains next 3 months expiry data. put call options etc.. Amibroker import wizard does not provide any columns to load all these data. How do I ensure I have all the relevant data in the database? Also how do I use it for analysis 1. Does expiry date?, put or call these fields make any difference in TA? 2. Can I apply Cash market TA into Derivatives TA? 
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#2
23rd October 2007, 11:06 PM
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Re: Loading EOD Derivatives data into Amibroker
AmiBroker does not support Options parameters like Strike Price, Expiry Date etc therefore you cannot import Options into AmiBroker.
Additionally, performing technical analysis on Options using well-known technical indicators is meaningless since Options will respond differently to price changes of underlying securities. As for futures, you can import the future quotes "as is", as long each future quote has a unique symbol ( a combination of underlying symbol and expiry). However, once again this is not very useful because the premium / discount of the future instrument changes over time and thus adds more "noise" to the data being considered for technical analysis. That being said, I import Futures quotes into AmiBroker but I process the Bhavcopy data before importing it into AmiBroker. I create a "Continuous Futures Contract" (CFC) based on (weighted) volume and open interest of the near month, next month and far month contracts. CFC theoretically has no expiry date and behaves similar to the underlying cash symbol except for premium and discount. If you are into hedging, spread-trading or arbitrage, CFC can be helpful to uncover the discrepancies in premium / discounts. For example, a simple method to calculate the CFC of Reliance futures is : Near Month (Vol x Avg Price ) + Next Month (Vol x Avg Price ) + Far Month ( Vol x Avg Price ) divided by combined volume of the 3 contracts. There are many other techniques to calculate CFC prices. http://www.premiumdata.net/support/f...continuous.php
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#3
27th January 2008, 12:16 PM
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Re: Loading EOD Derivatives data into Amibroker
Hello Adheer
Is there a programe that can give last 5months on data atleast? an alternative options much appreciated MJ--
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