How exactly is chart data built from merged data sources?

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PD Quig
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How exactly is chart data built from merged data sources?

Postby PD Quig » 17 Mar 2015

I am cross-posting this from this thread: http://www.multicharts.com/discussion/viewtopic.php?f=19&t=45735

How exactly is chart data built and merged when two data sources are used? I did not find a detailed description of how real time and historical data sources are merged in the documentation. Do both data sources have to match, i.e., for a minute chart do both the history- and real time data have to contain minute data? Can the history be minute data while the real time is only tick data, etc.?

I use IQFeed data for charting a variety of tick-based, minute, and daily charts and pass automated orders to my IB account from a 5-Range chart. IQFeed charges $101/month for the ICE real time data. Interactive Brokers charges an additional $97/month for ICE real time data otherwise you see delayed data in TWS--which is a pain in the rear, especially if you have to execute a manual order quickly for some reason.

The broker I'm moving to offers real time ICE data from Rithmic (at this point I am not sure if it is purely tick data or whether it includes minute data as well--perhaps somebody out there knows?). I am wondering whether I can use IQFeed's standard service (data delayed by 10 minutes) stitched together with Rithmic's real time data to get better performance and save $101/month (and dump surly Interactive Brokers to boot).

If Rithmic provides only tick data will my minute charts that use IQFeed for history and Rithmic for real time handle that properly? Will MC build minute bar data from tick data? For example, for a 5-min chart will the two most recent candles be built from the real time tick data--with older bars coming from IQFeed's ten minute delayed history?

Details?

wzero
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Re: How exactly is chart data built from merged data sources

Postby wzero » 18 Mar 2015

It seems "merged data sources" only a setting of chart but not watchlist. I can't find a way to make merged data sources work with charts linked with watchlist.

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Henry MultiСharts
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Re: How exactly is chart data built from merged data sources

Postby Henry MultiСharts » 25 Mar 2015

Hello PD Quig,

When you are using Merging - historical and real-time data is merged on the current bar. Historical data is loaded from the selected historical source, real-time data is plotted using selected real-time data source. That it is not possible to set a certain rollover point at which historical data will stop and realtime data will start. If your historical source does not provide data until current bar - missing data between the last data point of historical symbol and current moment using real-time data will not be backfilled using real-time source.

Rithmic provides the following amount of historical data: Tick-by-tick for the last trading session, minute bars 5 month back, daily bars constructed out of minute bars. All realtime bars for Rithmic are constructed using tick data. You should be able to use IQFeed for history and Rithmic for real time without any issues.
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PD Quig
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Re: How exactly is chart data built from merged data sources

Postby PD Quig » 25 Mar 2015

Excellent. Thank you, Henry.

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Henry MultiСharts
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Re: How exactly is chart data built from merged data sources

Postby Henry MultiСharts » 26 Mar 2015

wzero wrote:It seems "merged data sources" only a setting of chart but not watchlist. I can't find a way to make merged data sources work with charts linked with watchlist.
Hello wzero,

That is expected behavior.


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