I'd be most grateful for some advice on the following problem with eSignal data at the opening auction of Eurex futures contracts.
We have MC 9.0 Build 10759. The problem appeared a few weeks ago out of the blue (without having updated any of the software involved).
For example, on April 27, 2015, around 08:00 local (Frankfurt) time, eSignal records the following ticks for "FDAX M5-EUX" (June 2015 contract, Dax Future at Eurex, Frankfurt) as shown in the attached screenshot. The opening auction is priced at 11863.0 with 206 contracts traded.
At that time, I ran the following PL signal code on a daily chart (combined chart with historical data from an ASCII mapping plus live data from eSignal symbol "FDAX M5-EUX"). Between 07:45 and 08:15, the PL code writes all updates of the daily bar to a log file, and in the absence of ticks it is called at least once every 10 minutes.
Code: Select all
[IntrabarOrderGeneration=true]
variables:
logfile ("somefile.log")
if ((CurrentTime > 745) and (CurrentTime < 815)) then begin
Print (File (logfile),FormatDate ("yyyy-MM-dd ",ELDateToDateTime (CurrentDate)) +
FormatTime ("HH:mm:ss: ",ELTimeToDateTime_s(CurrentTime_s)) +
GetSymbolName + " tick [D=" +
FormatDate ("yyyy-MM-dd",ELDateToDateTime (date)) + "; T=" +
FormatTime ("HH:mm",ELTimeToDateTime (time)) +
"; O=" + NumToStr (open,4) + "; H=" + NumToStr (high,4) +
"; L=" + NumToStr (low,4) + "; C=" + NumToStr (close,4) +
"; CurrentBar=" + NumToStr (CurrentBar,0) +
"; BarStatus=" + NumToStr (BarStatus,0) + "]");
end;
if (LastBarOnChart) then begin
RecalcLastBarAfter (600);
end;
Code: Select all
2015-04-27 07:35:19: FDAX M5-EUX tick [D=2015-04-24; T=22:30; O=11790.0000; H=11916.0000; L=11737.0000; C=11843.5000; CurrentBar=96; BarStatus=-1]
2015-04-27 07:45:19: FDAX M5-EUX tick [D=2015-04-24; T=22:30; O=11790.0000; H=11916.0000; L=11737.0000; C=11843.5000; CurrentBar=96; BarStatus=-1]
2015-04-27 07:55:19: FDAX M5-EUX tick [D=2015-04-24; T=22:30; O=11790.0000; H=11916.0000; L=11737.0000; C=11843.5000; CurrentBar=96; BarStatus=-1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11790.0000; H=11916.0000; L=11737.0000; C=11863.0000; CurrentBar=97; BarStatus=0]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11863.0000; L=11863.0000; C=11863.0000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11863.5000; L=11863.0000; C=11863.5000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11865.0000; L=11863.0000; C=11865.0000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11866.0000; L=11863.0000; C=11866.0000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11866.5000; L=11863.0000; C=11866.5000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11867.0000; L=11863.0000; C=11867.0000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11867.5000; L=11863.0000; C=11867.5000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11867.5000; L=11863.0000; C=11867.5000; CurrentBar=97; BarStatus=1]
In the quote manager, FDAX M5-EUX is defined with a custom session template with daily sessions from 08:00 to 22:30. The data source eSignal is configured with "Use settlement price for historical daily bars" - no; and "Use eSignal range checking filter for trades" - yes.
Since eSignal shows the correct opening tick, but MultiCharts does not, I assume this is a problem in MC. Judging from this test, I guess that about 4-6 weeks ago, either Eurex or eSignal changed the way they transmit ticks around the opening auction, and eSignal is able to deal with it, but MC is not.
Thank you very much for your help.
Kind regards,
HPF