OPEN vs. First Tick(s)

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lantama
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OPEN vs. First Tick(s)

Postby lantama » 02 Apr 2013

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
Attachments
IBEX Minutes.png
IBEX 35 APR FUT 1 Minute
(27.92 KiB) Downloaded 1193 times
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.

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Henry MultiСharts
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Re: OPEN vs. First Tick(s)

Postby Henry MultiСharts » 02 Apr 2013

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?

lantama
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Re: OPEN vs. First Tick(s)

Postby lantama » 02 Apr 2013

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

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Henry MultiСharts
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Re: OPEN vs. First Tick(s)

Postby Henry MultiСharts » 02 Apr 2013

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".

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Re: OPEN vs. First Tick(s)

Postby lantama » 02 Apr 2013

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?
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Fieldstocollect.png
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Re: OPEN vs. First Tick(s)

Postby Henry MultiСharts » 02 Apr 2013

At what time do you start QuoteManager/ start collecting the data?

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Re: OPEN vs. First Tick(s)

Postby lantama » 02 Apr 2013

Sunday late afternoon. For the whole week....

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Re: OPEN vs. First Tick(s)

Postby Henry MultiСharts » 02 Apr 2013

We will try to replicate this behavior in our environment.

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Re: OPEN vs. First Tick(s)

Postby lantama » 03 Apr 2013

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.
Attachments
DAX TICK.png
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DAX Minute.png
(80.22 KiB) Downloaded 1180 times

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Re: OPEN vs. First Tick(s)

Postby lantama » 04 Apr 2013

today everything (I was monitoring) was fine.

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Re: OPEN vs. First Tick(s)

Postby Henry MultiСharts » 04 Apr 2013

The problem has not been yet replicated in our environment as well.
I will keep the board posted.

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Re: OPEN vs. First Tick(s)

Postby lantama » 05 Apr 2013

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.
Attachments
ESIG FE.png
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ESTX Tick 2554.png
(70.48 KiB) Downloaded 1208 times
ESTX Minute 2553.png
(78.6 KiB) Downloaded 1200 times
DAX Ticks 7821.png
(57.22 KiB) Downloaded 1227 times
DAX MINUTE 7820.png
(57.17 KiB) Downloaded 1206 times

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Re: OPEN vs. First Tick(s)

Postby SUPER » 05 Apr 2013

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.

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Henry MultiСharts
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Re: OPEN vs. First Tick(s)

Postby Henry MultiСharts » 05 Apr 2013

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.
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.

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Re: OPEN vs. First Tick(s)

Postby lantama » 05 Apr 2013

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

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Re: OPEN vs. First Tick(s)

Postby Henry MultiСharts » 08 Apr 2013

The latest version of eSignal data dll with the latest improvements will be provided.

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Re: OPEN vs. First Tick(s)

Postby lantama » 31 May 2013

Henry , any news on this one?

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Re: OPEN vs. First Tick(s)

Postby Henry MultiСharts » 31 May 2013

This issue has been resolved in MultiCharts 8.7 beta 2. Please udpate.
>>>Go to Download page<<<


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