[MAS: feature requests] greater data-input flexibility

[Jim C. <jt...@di...>]

Adding greater flexibility in the kind of data the server can use as
input, including being able to parse some form of raw data are probably
very useful features for the near future.

> > I did notice one thing you said in your email though, that I find
> > confusing:
> >
> > > By the way, I miss the following intraday periods: 15-min, 10-min,
> 5-min,
> > > 2-min, 1-min, tick-by-tick.
> >
> > I just tried it with a 5-minute data source and the following period-type
> > selections were available:
> >
> > 5-minute, 10-minute, 15-minute, 20-minute, 30-minute, hourly.
> >
> > What granularity is your data source and are you not seeing all of these
> > choices?  (I believe the server is also capable of processing 1- and
> > 2-minute data, if the granularity is 1-minute.)
> 
> I have 1-minute data. I keep the data in a database table.  Said that I have
> to add that:
> 1. The data is not very reliable in this sense that from time to time some
> minutes may be missing (a few per day)
> 2. I have only one quote per minute.  Because MAS SQL query requires four
> fields (open/high/low/close) I have written the query such that it returns
> rour times the same value. (I would prefer to return NULL values for the
> fields that are not present, but MAS does not like it).
> 
> >
> > Tick-by-tick data capability may be a worthwhile feature to add to MAS.
> > Would you mind sending a small sample of the tick-by-tick data you're
> > using so I can get an idea of the format?
> >
> 
> I do not have it operational yet - I intend it for options.  The format is:
> date, time, ask, bid, last, volume
> (date, time) may be not unique (even when time is including seconds).  Of
> course, more info is also possible (volumes at ask and bid, the depth of the
> book) but I do not have it and I do not intend to use it for Technical
> Analysis.
> 
> In case of options it becomes a little more complicated because there may be
> periods without trade but with changing ask/bid spreads - all being
> important to do the proper options analysis.  You see, if the last trade was
> $10.00 at 12:00 pm, but at day close the spread is $12.30/$12.90, you cannot
> take $10.00 as a day close quote.  You either take $12.30 (closer to last
> trade done quote) or $12.60 (average between ask/bid).  Those values better
> represent what the market thinks the option is worth at that moment,
> although no trade has been done. I propose to handle the data in the same
> format as above, but allowing NULL value returned by the query for "last"
> and "volume."
> 
> In general, I think it wolud be good if MAS accepted more cases of NULL
> values from various queries (currently it requires all fields to be not
> NULL).