Ticks still come in after session end, normal ?

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benho
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Ticks still come in after session end, normal ?

Postby benho » 30 Dec 2015

Hi there,

My PC is on 24/7. I set all the session settings in QuoteManager for one of the instrument and the corresponding exchange to include the regular trading hours only, no after hours trading session included. But QuoteManager still collects after hours trading data ... is it normal or abnormal ? The chart shown in multicharts is correct, no after hours trading tick is included, but the data collected in QuoteManager includes the after hours trading data. How can I stop QuoteManager, without manual intervention, from collecting ticks data in after hours trading if it is not defined ? Or there is something wrong with my setting ?

Thanks.

PS. My platform is MultiCharts 9.1

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JoshM
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Re: Ticks still come in after session end, normal ?

Postby JoshM » 30 Dec 2015

I set all the session settings in QuoteManager for one of the instrument and the corresponding exchange to include the regular trading hours only, no after hours trading session included. But QuoteManager still collects after hours trading data ... is it normal or abnormal ?
The QuoteManager collects all data that comes from a data feed, so as long as the data feed sends data, it's collected in the QuoteManager.

In other words, the QuoteManager doesn't care about trading sessions -- session data is only used in the main MultiCharts program to plot price bars.
How can I stop QuoteManager, without manual intervention, from collecting ticks data in after hours trading if it is not defined ? Or there is something wrong with my setting ?
If you don't run the QuoteManager, it won't collect data for your connected symbols. But do you need to run the QuoteManager? Normally you only need to keep the QuoteManager running when you collect real-time data for symbols or quotes that aren't displayed on your chart (see collect real-time data in QuoteManager).

So if you want to collect bid and ask updates with a connected symbol in the QuoteManager, then yes you'll need to keep running the QuoteManager. But if you use the QuoteManager to collect tick data, but also have tick-based charts in MultiCharts for the same symbol, then you don't need to have the QuoteManager running -- the data will then be downloaded and collected by MultiCharts.

benho
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Re: Ticks still come in after session end, normal ?

Postby benho » 30 Dec 2015

Dear Josh,

Thank you very much for the detail information. So in order to collect tick data in regular trading hours ONLY, i need:

(1) I must have a tick-based chart open in multicharts, right ? And,

(2) set the session setting correctly in QuoteManager, right ?

Thanks again.

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JoshM
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Re: Ticks still come in after session end, normal ?

Postby JoshM » 02 Jan 2016

So in order to collect tick data in regular trading hours ONLY, i need:

(1) I must have a tick-based chart open in multicharts, right ? And,

(2) set the session setting correctly in QuoteManager, right ?
Yes, that's correct. And if any ticks are missing, then MultiCharts will backfill the data on the chart, and that historical data is then also saved in the database. So you can safely do without having the QuoteManager run continuous.

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Re: Ticks still come in after session end, normal ?

Postby benho » 21 Jan 2016

Yes, that's correct. And if any ticks are missing, then MultiCharts will backfill the data on the chart, and that historical data is then also saved in the database. So you can safely do without having the QuoteManager run continuous.
Hello JoshM,

In case of my PC is off for 1 trading day for whatever reason, MC will backfill the tick data on the chart (tick base) when I open it again, right ? My question is, are these back filled ticks identical to what those supposed to be collected in real-time ? I ask this question because I was told IB does not provide historical tick data. Is this correct ? I use IB as data source and I am ok with filtered tick data.

Thanks again.

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Re: Ticks still come in after session end, normal ?

Postby arnie » 22 Jan 2016

I use IB as data source and I am ok with filtered tick data.
That statement can be quite dangerous.
Are you using tick data for price bars or volume (bars/profile)?
If you're using it for price bars, sure, there shouldn't be any problems there, but if you're using it for volume, you should not use such data to support any market reading.

benho
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Re: Ticks still come in after session end, normal ?

Postby benho » 22 Jan 2016

I use IB as data source and I am ok with filtered tick data.
That statement can be quite dangerous.
Are you using tick data for price bars or volume (bars/profile)?
If you're using it for price bars, sure, there shouldn't be any problems there, but if you're using it for volume, you should not use such data to support any market reading.
Hello arnie,

Thank you and I know the problem you mentioned above. By the way, do you know if these back filled ticks identical to what those collected in real-time ? Thanks.

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Re: Ticks still come in after session end, normal ?

Postby arnie » 22 Jan 2016

Hello arnie,

Thank you and I know the problem you mentioned above. By the way, do you know if these back filled ticks identical to what those collected in real-time ? Thanks.
It depends.
If the data is unfiltered then one assumes that they will not fix any quote that might be off, any spike that might popped up.
If the data is filtered then one assumes that they do mess up the quotes, "cleaning" them of any weird spikes.

One easy way to check this is running the chart real time, export the data, OHLC and volume, and on the following day reload that same data, export it and do a comparison.
I remember many years ago, when I was using eSignal, bar prices would change by reloading the data on the following day. You could visually see the differences in the bars.
During the night their software would "clean" the data and in the morning you could have something slightly different than what you had the previous day.


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