Discrepancy in RT data between TS and CQG?

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jarym
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Discrepancy in RT data between TS and CQG?

Postby jarym » 16 Apr 2015

Hi,

I've been testing a suspected data issue and have downloaded MultiCharts64 9.0 Build 10759 (Trial) so I can compare data feeds. I normally use MC.NET Special Edition but it doesn't support TS.

I have created 5000 tick charts on ES - one from TS and one from CQG.

I've noticed that as real-time data is received there are times when the tick count for one of the feeds becomes wrong (I suspect CQG). The TS feed will see that 5000 ticks have been received and create a new bar but the CQG feed takes a lot longer and then the chart bars begin to diverge.

If I hit Ctrl+R on the CQG chart then the data once again matches up with the TS chart (well almost - there are tiny discrepancies in the most recent bars) - this leads me to think that perhaps the RealTime data coming from CQG is either incorrect or not being processed by MC as it should be (again I'm not sure which).

Please see attached a screenshot of the two charts with the issue highlighted.
CQGvsTS.png
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TJ
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Re: Discrepancy in RT data between TS and CQG?

Postby TJ » 16 Apr 2015

Hi,

I've been testing a suspected data issue and have downloaded MultiCharts64 9.0 Build 10759 (Trial) so I can compare data feeds. I normally use MC.NET Special Edition but it doesn't support TS.

I have created 5000 tick charts on ES - one from TS and one from CQG.

I've noticed that as real-time data is received there are times when the tick count for one of the feeds becomes wrong (I suspect CQG). The TS feed will see that 5000 ticks have been received and create a new bar but the CQG feed takes a lot longer and then the chart bars begin to diverge.

If I hit Ctrl+R on the CQG chart then the data once again matches up with the TS chart (well almost - there are tiny discrepancies in the most recent bars) - this leads me to think that perhaps the RealTime data coming from CQG is either incorrect or not being processed by MC as it should be (again I'm not sure which).

Please see attached a screenshot of the two charts with the issue highlighted.
CQGvsTS.png
Look up "tick aggregation" in your data providers' website.

Ticks are the most useless form of technical analysis today.

Tick chart was invented in the old days because the volume information was not available.

Today, almost ALL the data providers aggregate their ticks.
You will NEVER find 2 data providers with the same tick counts.

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Re: Discrepancy in RT data between TS and CQG?

Postby jarym » 16 Apr 2015

Look up "tick aggregation" in your data providers' website.

Ticks are the most useless form of technical analysis today.

Tick chart was invented in the old days because the volume information was not available.

Today, almost ALL the data providers aggregate their ticks.
You will NEVER find 2 data providers with the same tick counts.
Thanks TJ, that's a lot of opinion about tick charts but I've been trading them successfully via TS for a long time. Maybe they're the most useless form of TA but for me they consistently make positive returns where time-bars do not.

I don't expect all providers to be the same but equally I don't expect for charts to start diverging from the same start point and then look the same again after a refresh.

As far as I can judge, there is a problem here. Whether its with CQG or MC.NET I can't tell but I believe it is a serious issue.

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Re: Discrepancy in RT data between TS and CQG?

Postby TJ » 16 Apr 2015

Thanks TJ, that's a lot of opinion about tick charts but I've been trading them successfully via TS for a long time. Maybe they're the most useless form of TA but for me they consistently make positive returns where time-bars do not.
::
Maybe I used the wrong term;
I should have said "Ticks are the most INCONSISTENT form of technical analysis", due to the reason I cited above.

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Re: Discrepancy in RT data between TS and CQG?

Postby jarym » 16 Apr 2015

Thanks TJ, I appreciate your view and perhaps you're right but there still seems to be a problem with the data and I don't think it has anything to do with tick aggregation.

Just now at the start of the regular session my hourly ES chart printed a duplicate bar and it remains even when I reload the chart data.
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Re: Discrepancy in RT data between TS and CQG?

Postby TJ » 16 Apr 2015

::
As far as I can judge, there is a problem here. Whether its with CQG or MC.NET I can't tell but I believe it is a serious issue.
I don't think MultiCharts interprets data.
It merely plots whatever is received from your data provider.

Please use Live Chat to connect to Tech Support,
they can do an online diagnostic for you.

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Re: Discrepancy in RT data between TS and CQG?

Postby jarym » 16 Apr 2015

::
As far as I can judge, there is a problem here. Whether its with CQG or MC.NET I can't tell but I believe it is a serious issue.
I don't think MultiCharts interprets data.
It merely plots whatever is received from your data provider.

Please use Live Chat to connect to Tech Support,
they can do an online diagnostic for you.
Thanks again TJ, I think I will do that. Especially given what I'm seeing now - two different MC instances both feeding off CQG but showing different data.
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orion
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Re: Discrepancy in RT data between TS and CQG?

Postby orion » 16 Apr 2015

Very interesting. I would have expected differences for time charts but not volume charts. When you find the problem, can you please post back what you find.

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Re: Discrepancy in RT data between TS and CQG?

Postby jarym » 16 Apr 2015

Very interesting. I would have expected differences for time charts but not volume charts. When you find the problem, can you please post back what you find.
Multicharts have acknowledged that this is an issue but are unsure when it will get fixed.

As far as I'm concerned this issue needs priority resolution. I can't use my strategies since the signal data is wrong. Waiting to hear if a different data provider would resolve this problem.

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Re: Discrepancy in RT data between TS and CQG?

Postby hughesfleming » 17 Apr 2015

I don't think the data provider will be able to do anything as I had the same issue with E-signal.

The only way to solve this problem is to setup your charts on one computer and then copy the database to the other Multicharts instances. There is a recent thread about this.

If the database is very large then clean out connection manager and then run the batch files that can be downloaded from the Multicharts site and then run dataupdater.exe.

I now have three MC installations each updating correctly with tick data. If your machines are in different timezones like mine then syncing clocks and using a tool match your system clock against a time server every 15 minutes is not a bad idea. Lookup Dimension 4.

Try this and see if makes a difference.

Alex

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Re: Discrepancy in RT data between TS and CQG?

Postby jarym » 17 Apr 2015

Thanks Alex but in one of my tests I compared Multicharts with Multicharts.NET on the same computer and both pointing to CQG data.

The charts started with both looking the same but then as real-time data started coming in I could see both charts add new bars at different rates. As time went on both charts would look different. Finally, if I reload both charts they look the same again.

As a comparison, when I use TS data I see that the charts build as expected and if I refresh a chart it looks the same as before the refresh.

This is clearly a problem and has been acknowledged by MC support. I've asked them for a ticket number in their PM tool so I can track progress.
Last edited by jarym on 17 Apr 2015, edited 1 time in total.

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Re: Discrepancy in RT data between TS and CQG?

Postby hughesfleming » 17 Apr 2015

Wow, I get it now. I must have read your first post too quickly the first time.

I hope you can get a fix soon.

Alex

jarym
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Re: Discrepancy in RT data between TS and CQG?

Postby jarym » 17 Apr 2015

Wow, I get it now. I must have read your first post too quickly the first time.

I hope you can get a fix soon.

Alex
Thanks Alex, I am trying to understand how significant MC think it is but from their email response I don't think they see it as a priority "This issue that you reported with CQG data was confirmed. Unfortunately cannot give you any ETA regarding when it will be fixed, most likely it will be fixed in one of the future versions."

To be clear, here it is illustrated as clear as I can make it:

Image

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Re: Discrepancy in RT data between TS and CQG?

Postby orion » 17 Apr 2015

The last post referencing MC support has the phrase "this issue that you reported with CQG data". Does this issue where we have different volume charts with same data provider arise only with CQG or does MC have this issue with other data providers too?

Note that time charts even from same data provider and on same machine can be different. But that should never happen for tick/volume charts for same data provider even when charts are on different machines.

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Re: Discrepancy in RT data between TS and CQG?

Postby jarym » 17 Apr 2015

@Orion: I've asked but have not had any response as of yet.

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Re: Discrepancy in RT data between TS and CQG?

Postby Henry MultiСharts » 23 Apr 2015

in one of my tests I compared Multicharts with Multicharts.NET on the same computer and both pointing to CQG data.
Hello jarym,

Please specify the exact build numbers you have compared.
What account types were you using (demo or live)?
Did you configure the charts the same way?
Did you create/open/reload the charts at the same time?
Please attach a full-sized video demonstrating this behavior or come to our live chat to demonstrate it.

jarym
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Re: Discrepancy in RT data between TS and CQG?

Postby jarym » 23 Apr 2015

in one of my tests I compared Multicharts with Multicharts.NET on the same computer and both pointing to CQG data.
Hello jarym,

Please specify the exact build numbers you have compared.
What account types were you using (demo or live)?
Did you configure the charts the same way?
Did you create/open/reload the charts at the same time?
Please attach a full-sized video demonstrating this behavior or come to our live chat to demonstrate it.
Hi Henry,

I already engaged with your live support and email support. Christina acknowledged the issue and said a fix was planned for some future version but she wasn't sure when. I have subsequently exported my CQG data from one MC install and replaced it into the other so that at least my historic data matches up.

Therefore I can no longer reproduce the case. What I am doing is taking advice from my broker (AMP) who suggested I setup multiple data feeds (CQG+TT+Rithmic) so that I can manually perform consistency checks - this is our next step.


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