tick data has a high 2017 but 5 minutes bar is not showing  [SOLVED]

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maisatomai
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tick data has a high 2017 but 5 minutes bar is not showing

Postby maisatomai » 03 Nov 2014

I am using CQG live feed. Symbol is mini S&P and the affected time frame is 3rd Nov 2014

Basically tick data has a 2017
5 min bar does not have it, and show tick of 2016.25

Why is it so?

If we choose 1 day resolution, MC has an option to build from 5 min bars. When I did not choose this, MC will show the right high of 2017. When I choose this, MC will show high of 2016.25. So did MC know this problem before hand and has put in this option to resolve this problem?
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maisatomai
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Re: tick data has a high 2017 but 5 minutes bar is not showi

Postby maisatomai » 03 Nov 2014

I wrote a small program to build the 5 mins bar from MC tick data that I exported

The red bar is the 5 mins bar I built myself and the green bar are from MC. I am using CQG as data feed provider. These bars are from quite long ago and I have refreshed a few times already.

Notice there are some discrepancies between the red and green bar and this may have serious consequence.

For example, today there is many trades @ 2017 but it is not showing in MC 5 mins bar. If we are using the autotrader and we are placing a short order at 2017, MC will assume that we are not short where in fact, our trades went through.

I emailed MC and the answer they gave is not satisfactory. I am awaiting their next reply. It took more than 2hr at least for the first problem mentioned to be resolved.

Their first reply
Tick and minute data comes from different servers. Also, data from historical servers may differ from real-time data. Please try to reload the charts: press Ctrl+R.
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TJ
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Re: tick data has a high 2017 but 5 minutes bar is not showi

Postby TJ » 03 Nov 2014

I wrote a small program to build the 5 mins bar from MC tick data that I exported
The red bar is the 5 mins bar I built myself and the green bar are from MC. I am using CQG as data feed provider. These bars are from quite long ago and I have refreshed a few times already.
Notice there are some discrepancies between the red and green bar and this may have serious consequence.
For example, today there is many trades @ 2017 but it is not showing in MC 5 mins bar. If we are using the autotrader and we are placing a short order at 2017, MC will assume that we are not short where in fact, our trades went through.
I emailed MC and the answer they gave is not satisfactory. I am awaiting their next reply. It took more than 2hr at least for the first problem mentioned to be resolved.
Their first reply
Tick and minute data comes from different servers. Also, data from historical servers may differ from real-time data. Please try to reload the charts: press Ctrl+R.
You should also ask your dataprovider what data have they sent out.

maisatomai
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Re: tick data has a high 2017 but 5 minutes bar is not showi

Postby maisatomai » 03 Nov 2014

@TJ: The tick data of MC also shows 2017 and I have a CQG client running and they are show 2017 for the high. Only MC 5 min chart show a high of 2016.25 but it was fixed to 2017 more than 2hr later

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bensat
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Re: tick data has a high 2017 but 5 minutes bar is not showi

Postby bensat » 03 Nov 2014

What was the issue ? Data problem ? Solved with STRG+R ?

Thank you.

Ben

maisatomai
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Re: tick data has a high 2017 but 5 minutes bar is not showi

Postby maisatomai » 03 Nov 2014

So can MC support stuff clarify how MC get the tick and 5min data if we are using live feed from CQG? Will it go through MC server first and MC server build the 5min bar? It seems impossible to connect to CQG as I did not find any CQG API in MC64 folder (the CQG dll is MC proprietary dll)

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Henry MultiСharts
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Re: tick data has a high 2017 but 5 minutes bar is not showi

Postby Henry MultiСharts » 04 Nov 2014

MultiCharts is a standalone application. All modules, configuration parameters and user data (workspaces, studies, data) are kept on your computer.
The data/broker connection is performed from your computer directly to your data/broker servers. CQG realtime bars are built by MultiCharts on your PC using the tick data stream from the data vendor. There are no MultiCharts data servers that build the bars and send them to your PC.

Since MultiCharts 9.0 Beta 1 CQG connection no longer requires installing the API, as the API is now integrated into MultiCharts.

Realtime minute bars are not saved to the database because the bar can be different from the actual historical minute bar. MultiCharts requests the minute data from CQG servers next time you request this information.

maisatomai
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Re: tick data has a high 2017 but 5 minutes bar is not showi

Postby maisatomai » 04 Nov 2014

when I do a .rld, do multichart reload tick data too?

I am confused about 3 questions

1) I have CQG pro feed using API and retail feed using IC. Both are showing a high of 2017 while MC is showing a high of 2016.25 (at least more than 1hr after this happen). How is it possible as Henry say that MC reload from CQG directly.

2) I reloaded and wrote a small tool to turn tick data into 5 min. Many bars that I built are not the same as the 5 mins bar shown in MC (see my previous post). How is it even possible when both are supposed to be correct after the reload

3) If you request the 1 day interval, you will have "build from minutes" option. Have you guys notice the discrepancy and therefore have this option.

Sorry for repeating myself.

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Henry MultiСharts
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Re: tick data has a high 2017 but 5 minutes bar is not showi  [SOLVED]

Postby Henry MultiСharts » 04 Nov 2014

when I do a .rld, do multichart reload tick data too?
If you reload a minute-based chart only minute data is requested from the data provider servers.
1) I have CQG pro feed using API and retail feed using IC. Both are showing a high of 2017 while MC is showing a high of 2016.25 (at least more than 1hr after this happen). How is it possible as Henry say that MC reload from CQG directly.
That means the data had not been yet corrected on the data vendor historical servers.
2) I reloaded and wrote a small tool to turn tick data into 5 min. Many bars that I built are not the same as the 5 mins bar shown in MC (see my previous post). How is it even possible when both are supposed to be correct after the reload
The logic of your tool can be different from the MultiCharts bar formation logic.
3) If you request the 1 day interval, you will have "build from minutes" option. Have you guys notice the discrepancy and therefore have this option.
Most data vendors provide daily bars as fixed OHLC values with the session settings defined on their end. In order to get a daily bar with customized sessions the option "build from minutes" was introduced.


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