Hi there,
I found out a data accuracy problem in the 1-min bar chart during the trading session. The data provider is Interactive Broker. It happens at one of below situations.
1. When I open a chart in the middle of a trading session
2. For some reasons when I need to re-load a chart
I looked into the data carefully in Quote Manager and found that the real-time data contained tick data only, even though a 1-min chart was plotted. The data before the time I loaded the chart were historical minute data backfilled. That is where the problems happened. The tick data mapped to the time axis of the 1-min chart were 1 minute later than the actual time. E.g. A 1-min bar for ticks within 9:20am shows a time of 9:21am in the time axis. However, the historical data (1-min data) were mapped to a correct time in the time axis of the 1-min chart.
Because of such difference in time mapping, The tick data caused one missing bar in the chart. E.g. If I load a chart at 9:20am, MC will collect real-time tick data from IB and map them to 9:21am of the time axis. MC will also collect historical minute data up to 9:19am. There will be no bar for 9:20am in the chart. The OLHC data around the upload time may also be wrong.
Can the time mapping problem be solved by adjusting the setup?
Thanks,
McGeorge
1-min chart data mapping problem - Historical vs Real-time data from Interactive Brokers
- TJ
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Re: 1-min chart data mapping problem - Historical vs Real-time data from Interactive Brokers
Hi TJ,
I am afraid they are two separate issues. Mine is about MC loading historical and real-time data into 1-min chart differently. It is not likely a true data discrepancy between historical and real-time data like the one described in the thread.
Maybe MC support can answer the question. Anyway, thanks for your eagerness to help.
Thanks,
McGeorge
Re: 1-min chart data mapping problem - Historical vs Real-time data from Interactive Brokers
MC does not store real-time ticks (from which it constructs 1-min bars) to QM database by default. You need to "Flush" them to the database manually to be able to observe and compare the timestamps.
1-min bars up to the last full minute come from historical IB servers (and saved), the current "not-yet-closed" bars is created from ticks (cached).
With which instrument do you see this behavior?
1-min bars up to the last full minute come from historical IB servers (and saved), the current "not-yet-closed" bars is created from ticks (cached).
With which instrument do you see this behavior?
Re: 1-min chart data mapping problem - Historical vs Real-time data from Interactive Brokers
Hi Zheka,MC does not store real-time ticks (from which it constructs 1-min bars) to QM database by default. You need to "Flush" them to the database manually to be able to observe and compare the timestamps.
1-min bars up to the last full minute come from historical IB servers (and saved), the current "not-yet-closed" bars is created from ticks (cached).
With which instrument do you see this behavior?
I did not do any "flushing" but I was still able to see the tick data from "Edit Data" in Quote Manager. That was the place where I compared the historical minute data against the real-time tick data and understood how MC plotted the two sets of data in the 1-min chart. What I found was that MC mapped the tick data to a time axis value that was one minute later. However, that was not the case with minute data.
The instrument is @HSI.
Thanks,
McGeorge
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Re: 1-min chart data mapping problem - Historical vs Real-time data from Interactive Brokers
Hello McGeorge!
MultiCharts uses bar close timestamp. So a 1-min bar that opens at 9:20am will have the 9:21am timestamp.
MultiCharts uses bar close timestamp. So a 1-min bar that opens at 9:20am will have the 9:21am timestamp.