Missing Datas Monitor

Fabrice Daniel
Posts: 71
Joined: 25 Aug 2007
Been thanked: 2 times

Missing Datas Monitor

Postby Fabrice Daniel » 02 Jun 2008

Hello,

This is a first report on the missing datas on MCFX data feed. For the moment I have only reported 1 Hour on EURUSD but I will extent to all the Currency pairs on 1 Hour and 15 min :

I have checked datas from 28/06/2002 to 02/06/2008.

I exclude the Sunday and take into account the fact that a few weeks ago the trading was stoped at 2200 on friday (so 23 bars only on friday, based on 1 hour time scale).

See below the results :

Every day missing datas are detected I write :

Missing Datas: <Date> - <Number Of Bars> / <Expected Number>

Example :

Missing Datas: 28/11/2002 - 16 / 24

It means that we have found 16 bars only when 24 are expected. Please note that I always write 24 as expected even for friday but my code allows the number of bar to be as low as 22 on friday. If I detect 22 bars on friday I don't log it. Because of this tolerance, the number of real missing data could be higher.

Please note that had manually filtered out the end of year period excluding 24 to 27 december (depending on the year) and 31th December to 02 January that are natural shorter trading days.

Finaly 37 days with missing datas are detected on a 6 years period.


Missing Datas: 27/08/2002 - 22 / 24
Missing Datas: 04/09/2002 - 20 / 24
Missing Datas: 09/09/2002 - 19 / 24
Missing Datas: 12/09/2002 - 23 / 24
Missing Datas: 23/09/2002 - 23 / 24
Missing Datas: 01/11/2002 - 8 / 24
Missing Datas: 28/11/2002 - 16 / 24
Missing Datas: 22/01/2003 - 22 / 24
Missing Datas: 28/01/2003 - 17 / 24
Missing Datas: 17/02/2003 - 23 / 24
Missing Datas: 17/03/2003 - 22 / 24
Missing Datas: 31/03/2003 - 23 / 24
Missing Datas: 07/04/2003 - 23 / 24
Missing Datas: 18/04/2003 - 21 / 24
Missing Datas: 15/08/2003 - 4 / 24
Missing Datas: 10/09/2003 - 23 / 24
Missing Datas: 27/11/2003 - 20 / 24
Missing Datas: 28/11/2003 - 22 / 24
Missing Datas: 02/02/2004 - 23 / 24
Missing Datas: 30/03/2004 - 23 / 24
Missing Datas: 09/04/2004 - 21 / 24
Missing Datas: 12/04/2004 - 23 / 24
Missing Datas: 25/11/2004 - 16 / 24
Missing Datas: 26/11/2004 - 22 / 24
Missing Datas: 28/03/2005 - 21 / 24
Missing Datas: 14/04/2006 - 22 / 24
Missing Datas: 14/08/2006 - 18 / 24
Missing Datas: 11/09/2006 - 23 / 24
Missing Datas: 22/01/2007 - 20 / 24
Missing Datas: 23/03/2007 - 22 / 24
Missing Datas: 05/04/2007 - 10 / 24
Missing Datas: 06/04/2007 - 7 / 24
Missing Datas: 30/08/2007 - 23 / 24
Missing Datas: 31/08/2007 - 16 / 24
Missing Datas: 11/12/2007 - 23 / 24
Missing Datas: 11/01/2008 - 22 / 24
Missing Datas: 12/05/2008 - 19 / 24

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Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 03 Jun 2008

Dear Fabrice,

Thanks a lot for reporting.

We are launching a new cluster of servers in a couple of days. They won't have the gaps you pointed out.

Thanks!

Fabrice Daniel
Posts: 71
Joined: 25 Aug 2007
Been thanked: 2 times

Postby Fabrice Daniel » 03 Jun 2008

Ok so I will not lose more time checking the current status of historical datas. I will check it in two days and publish report.

I suppose that we will have to enter new connection parameters for this cluster?

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Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 06 Jun 2008

Dear Fabrice,

To use the new cluster, you would need the new client of MCFX. We'll make an announcement as soon as the new MCFX version for the new cluster of servers is available.

Regards.


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