Hello, I am still fighting with MC (8.5 now) and proper Opening prices. IB has Problems with this. However this is somewhat clear as they sample the data. Thus I ordered eSignal. Now I receive the proper ticks, but somehow the opening prices shown are still often wrong. Why is this?
Example today:
IBEX 35 April Futures. First Ticks out of opening Session: 7853
IBEX 35 April Futures. Opening Price of first minute (by MC made of ticks): 7842
Opening Price from Exchange Website: 7853 http://www.meff.es/aspx/Financiero/Fich ... FIE&id=ing
Screenshots attached. This is absolutely crucial for my trading approach. Please check!
lantama
OPEN vs. First Tick(s)
OPEN vs. First Tick(s)
- Attachments
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- IBEX Minutes.png
- IBEX 35 APR FUT 1 Minute
- (27.92 KiB) Downloaded 1193 times
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- IBEX Ticks.png
- IBEX 35 APR FUT Ticks
- (22.17 KiB) Downloaded 1192 times
Last edited by lantama on 02 Apr 2013, edited 1 time in total.
- Henry MultiСharts
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Re: OPEN vs. First Tick(s)
Hello lantama,
eSignal provides historical tick, minute and daily data. That means historical minute bars are not built from ticks, they are received as OHLC value provided by eSignal. Realtime minute bars plotted on the chart are built from ticks and not saved to the database. If you use Collect RT data w/o plotting option for collecting realtime minute bars-they will be saved to the database.
I have tried to plot the same symbol with minute resolution on my end and the opening price is correct = 7853.
Are these minute bars on your screenshots received in realtime or they are historical bars that were backfilled?
Please reload your chart using Ctrl+R-are you able to get the correct price now?
eSignal provides historical tick, minute and daily data. That means historical minute bars are not built from ticks, they are received as OHLC value provided by eSignal. Realtime minute bars plotted on the chart are built from ticks and not saved to the database. If you use Collect RT data w/o plotting option for collecting realtime minute bars-they will be saved to the database.
I have tried to plot the same symbol with minute resolution on my end and the opening price is correct = 7853.
Are these minute bars on your screenshots received in realtime or they are historical bars that were backfilled?
Please reload your chart using Ctrl+R-are you able to get the correct price now?
Re: OPEN vs. First Tick(s)
Henry,
the ticks are collected in realtime. No Backfill in this case. Live trading . MC makes minute samples out of the ticks in this case as far as i know.
Reloading makes no difference as the data is stored/cached. I would have to delete the minute data for backfill to solve this, but i need proper realtime minute data.
For me it looks a bug. And this is a major issue for my trading approach.
Cheers
lantama
the ticks are collected in realtime. No Backfill in this case. Live trading . MC makes minute samples out of the ticks in this case as far as i know.
Reloading makes no difference as the data is stored/cached. I would have to delete the minute data for backfill to solve this, but i need proper realtime minute data.
For me it looks a bug. And this is a major issue for my trading approach.
Cheers
lantama
- Henry MultiСharts
- Posts: 9165
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Re: OPEN vs. First Tick(s)
lantama, please describe the exact steps to replicate this behavior.
If you are using Collect RT data w/o plotting option then create a screenshot of "Fields to collect window".
If you are using Collect RT data w/o plotting option then create a screenshot of "Fields to collect window".
Re: OPEN vs. First Tick(s)
Henry, ok. eSignal connection. Collect RT data w/o plotting on. Fields: Only Trade: Tick, Minute, Day.
Plotting permenately a live Minute Chart of IBEX 35 APR (Esig: IBX J3-MRV). Data is wrong for first minute opening of today as you can see in the first screenshots.
What else do you need?
Plotting permenately a live Minute Chart of IBEX 35 APR (Esig: IBX J3-MRV). Data is wrong for first minute opening of today as you can see in the first screenshots.
What else do you need?
- Attachments
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- Fieldstocollect.png
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- Henry MultiСharts
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- Henry MultiСharts
- Posts: 9165
- Joined: 25 Aug 2011
- Has thanked: 1264 times
- Been thanked: 2957 times
Re: OPEN vs. First Tick(s)
Today, all was fine with the IBEX APR FUT. First ticks and the first minute have the same price (7952). This is also the official opening. I will monitor this on a daily basis.
But I saw some misbehaviour in the AX-M3-DT today. German Eurex Dax Future. Same fields to collect (All "Trade" nothing else)
First Tick: 7925
First Minute Open: 7927
Real Open http://www.eurexchange.com/exchange-en/ ... dax/17206/: 7923
When I look into Esignal know I see the right opening price (7923). Screenshots attached.
But I saw some misbehaviour in the AX-M3-DT today. German Eurex Dax Future. Same fields to collect (All "Trade" nothing else)
First Tick: 7925
First Minute Open: 7927
Real Open http://www.eurexchange.com/exchange-en/ ... dax/17206/: 7923
When I look into Esignal know I see the right opening price (7923). Screenshots attached.
- Attachments
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- DAX TICK.png
- (54.91 KiB) Downloaded 1222 times
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- DAX Minute.png
- (80.22 KiB) Downloaded 1180 times
- Henry MultiСharts
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Re: OPEN vs. First Tick(s)
The problem has not been yet replicated in our environment as well.
I will keep the board posted.
I will keep the board posted.
Re: OPEN vs. First Tick(s)
Today the IBEX was fine. But I saw some strange behaviour in DAX (AX M3-DT) and in ESTX50 (ET M3-DT) JUN Futures. Collecting TRADES, streaming live data from esignal.
DAX:
FIRST TICK: 7821
OPEN FIRST MIN: 7820
WEBSITE EXCHANGE: 7821
ESIGNAL FRONTEND: 7820
If I look at the DAX FUTURE only it seems that the minute open is the 2nd tick of the day received from esig. It was the same the day before yesterday.
But when I look at the prices from ESTX I have a minute open, which is right, but I never received this tick?!
ESTX:
FIRST TICK: 2554
OPEN FIRST MIN: 2553
WEBSITE EXCHANGE: 2553
ESIGNAL FRONTEND: 2553
Esignal is showing 7820 for DAX (which is not the website price from the exchange) and 2553 for ESTX. Screenshots attached.
Do I receive streaming minute prices from esignal? I thought that MC would sample the minute data out of the received streaming ticks? I am totally confused.
DAX:
FIRST TICK: 7821
OPEN FIRST MIN: 7820
WEBSITE EXCHANGE: 7821
ESIGNAL FRONTEND: 7820
If I look at the DAX FUTURE only it seems that the minute open is the 2nd tick of the day received from esig. It was the same the day before yesterday.
But when I look at the prices from ESTX I have a minute open, which is right, but I never received this tick?!
ESTX:
FIRST TICK: 2554
OPEN FIRST MIN: 2553
WEBSITE EXCHANGE: 2553
ESIGNAL FRONTEND: 2553
Esignal is showing 7820 for DAX (which is not the website price from the exchange) and 2553 for ESTX. Screenshots attached.
Do I receive streaming minute prices from esignal? I thought that MC would sample the minute data out of the received streaming ticks? I am totally confused.
- Attachments
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- ESIG FE.png
- (12.69 KiB) Downloaded 1198 times
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- ESTX Tick 2554.png
- (70.48 KiB) Downloaded 1208 times
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- ESTX Minute 2553.png
- (78.6 KiB) Downloaded 1200 times
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- DAX Ticks 7821.png
- (57.22 KiB) Downloaded 1227 times
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- DAX MINUTE 7820.png
- (57.17 KiB) Downloaded 1206 times
Re: OPEN vs. First Tick(s)
I had following reading for 4/4/2013 on DAX contract from IB feed
Trade
Open Tick: 7903.5
Open Minute: 7902
Bid
Open Tick: 7900
Open Minute: 7902
Today's Open 7820 (5/4/2013) are matching across the range.
Trade
Open Tick: 7903.5
Open Minute: 7902
Bid
Open Tick: 7900
Open Minute: 7902
Today's Open 7820 (5/4/2013) are matching across the range.
- Henry MultiСharts
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Re: OPEN vs. First Tick(s)
We have replicated the behavior with a missing first tick when collecting rt minute data in our environment. It will be fixed by our developers.If I look at the DAX FUTURE only it seems that the minute open is the 2nd tick of the day received from esig. It was the same the day before yesterday.
Re: OPEN vs. First Tick(s)
Henry, great to hear that you found the problem. Was it a special Esignal adapter or a generell issue? As far as I know there are some others bugfixes for Esignal for MC 8.5. Will you provide a cumulative fix?
have a nice weekend,
lantama
have a nice weekend,
lantama
- Henry MultiСharts
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Re: OPEN vs. First Tick(s)
The latest version of eSignal data dll with the latest improvements will be provided.
- Henry MultiСharts
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Re: OPEN vs. First Tick(s)
This issue has been resolved in MultiCharts 8.7 beta 2. Please udpate.
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