Real Time Data Different than End-of-Day Reload  [SOLVED]

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jdgw
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Real Time Data Different than End-of-Day Reload

Postby jdgw » 04 Apr 2014

Can anyone chime in as to why IB's realtime close data is slightly different than after the data is reloaded at the end of the day? Attached is screen shot showing the close data before (B) and after reloading (A). The closing values are different by 1/2 tick. This doesn't seem like much but it changes my strategy values between realtime and what is eventually used in backtesting after the data is reloaded. Therefore the backtested strategy value will be different than in realtime. And therefore I cannot use this at all.

Any suggestions on how to ensure the historical data matches the realtime data would be appreciated.
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TJ
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Re: Real Time Data Different than End-of-Day Reload  [SOLVED]

Postby TJ » 04 Apr 2014

Can anyone chime in as to why IB's realtime close data is slightly different than after the data is reloaded at the end of the day? Attached is screen shot showing the close data before (B) and after reloading (A). The closing values are different by 1/2 tick. This doesn't seem like much but it changes my strategy values between realtime and what is eventually used in backtesting after the data is reloaded. Therefore the backtested strategy value will be different than in realtime. And therefore I cannot use this at all.
Any suggestions on how to ensure the historical data matches the realtime data would be appreciated.
That is because the exchanges usually publish the settlement price 10~20 min after close.

In real time, MultiCharts collects real time quotes from your data provider. The time stamp is according to your computer time.
When you reload, MultiCharts gets the historic quotes, which has the time stamp from the exchange.

jdgw
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Re: Real Time Data Different than End-of-Day Reload

Postby jdgw » 05 Apr 2014

Now, if I could just trade on historic prices!
Thx TJ,


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