DANGEROUS, wrong data by IB vs CME&NASDAQ, o-h-l-c

Questions about MultiCharts and user contributed studies.
zukkaweb
Posts: 125
Joined: 08 Feb 2008

DANGEROUS, wrong data by IB vs CME&NASDAQ, o-h-l-c

Postby zukkaweb » 18 Feb 2008

I find this difference from many futures like nqh8... 8 feb 2008 and many other
with the real data of cme and nasdaq...terrible!!!

this make very big slippage so lose many money, the candle are wrong and trading system too. pfuuuu.

There is also that data are very often in late...

how it's possible to trade in this way.. .

Does no one see it before????

Nick
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Postby Nick » 19 Feb 2008

IB performs tick aggregation however as it is real broker data apart from the inaccuracies caused through aggregation I have found it to be as accurate and timely as any data I have used.

Cheers,
Nick

EDIT: Just because I am not having a problem I am not saying there is no problem :D I hate it when people do that.

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 19 Feb 2008

the problem there is, pay attention.

Nick
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Postby Nick » 19 Feb 2008

Perhaps you could narrow it down and give a particular time and date. Also I wonder what you are using for 'real data'. Are you saying that the problem is something beyond tick aggregation?

One thing I have found if the market is fast I have found IB to be far ahead of some data providers, I guess thats the upside of aggregation.

Cheers.

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 19 Feb 2008

look this, what do you think?

the really good data are only get by esignal, bloomberg, iqfeed, open cry,

No one see this, made a comparison of candle or value in excel file?
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drwar
Posts: 218
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Postby drwar » 20 Feb 2008

[quote]look this, what do you think?

the really good data are only get by esignal, bloomberg, iqfeed, open cry,

No one see this, made a comparison of candle or value in excel file?[/quote]

Are you sure you are comparing apples to apples. One says Globex futures the other does not. Globex is usually considered to run 24 hours. RTH is the day session, All daily bars are not necessarily created equal. It used to be that a daily bars were only considered to be RTH . Then some started to change that such that they offered globex bars or RTH or both. You need to first make sure your comparison compares the same time frames before crying foul.

J~

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 20 Feb 2008

i use globex trading 24 h, same configuration both, why don't you try to connect ib and try free open account with open cry and do the same that i do, and after see with your data. so with the same configuration we could speak, if you have skype or messenger we could make it easy.

What do you think, that i say this without reason?????

drwar
Posts: 218
Joined: 31 Jul 2005

Postby drwar » 20 Feb 2008

[quote]i use globex trading 24 h, same configuration both, why don't you try to connect ib and try free open account with open cry and do the same that i do, and after see with your data. so with the same configuration we could speak, if you have skype or messenger we could make it easy.

What do you think, that i say this without reason?????[/quote]

I will gladly help direct you to determine your issue but I am not going to do your work for you.

The next thing you need to do is pick a day which is in dispute. Compare the data for that symbol with the exchange data and report it back to the data source in error ask them this question. You are complaining to the wrong people.

J~

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 20 Feb 2008

i thank you, now i try how you tell me.

If i want trade nqh8, with europeam time market "NO GLOBEX" how do i change in setup?

Nick
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Postby Nick » 20 Feb 2008

In quote manager on the sessions tab I select

CME : Equity Index futures (Open Outcry).

That works for me if I just want the pit session for intraday charts.


To be honest I am not sure with daily bars, but think this will have no effect, perhaps someone else can help.

drwar
Posts: 218
Joined: 31 Jul 2005

Postby drwar » 20 Feb 2008

[quote]i thank you, now i try how you tell me.

If i want trade nqh8, with europeam time market "NO GLOBEX" how do i change in setup?[/quote]

If your data service sends daily bars that include Globex hours you can't change that but there is one way around it. create a minute bar which is equal to the session length.

Example: RTH for the NYSE is 9:30 to 4:00 EST . You set your sessions times up tor RTH and then plot 390 minute bars. Each bar will then be one day.

J~

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 21 Feb 2008

Example: RTH for the NYSE is 9:30 to 4:00 EST . You set your sessions times up tor RTH and then plot 390 minute bars. Each bar will then be one day.

J~


Why 390?
7 hours * 60= 420 minutes bar
420 + 30 = 450 minutes i think that is this 7He30min 9:30 to 4.00
while
420 -30 = 390 minutes i thimk that is wrong this 7 h 10.00 to 4.00 no cycle complete of a day

drwar
Posts: 218
Joined: 31 Jul 2005

Postby drwar » 21 Feb 2008

[quote][quote]
Example: RTH for the NYSE is 9:30 to 4:00 EST . You set your sessions times up tor RTH and then plot 390 minute bars. Each bar will then be one day.

J~[/quote]

Why 390?
7 hours * 60= 420 minutes bar
420 + 30 = 450 minutes i think that is this 7He30min 9:30 to 4.00
while
420 -30 = 390 minutes i thimk that is wrong this 7 h 10.00 to 4.00 no cycle complete of a day[/quote]

zukkaweb

For the example I gave: NYSE Stocks, RTH is 9:30 to 4:00 EST
Thats 6.5 hours = 390 minutes
Apply the correct session times to the exchange and symbol you are trading.

J~

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 22 Feb 2008

Is there a file excel with all hours of all markets, so all user are able to configure in well?

drwar
Posts: 218
Joined: 31 Jul 2005

Postby drwar » 22 Feb 2008

[quote]Is there a file excel with all hours of all markets, so all user are able to configure in well?[/quote]

You need to go to the website for each exhcange you are trading and lookup the trading hours for each symbol you are trading.

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 25 Feb 2008

i see that if you get data from ib, you could have from IB more markets to get data, for example ETF like XME or EWZ, which data i need to connect ?

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 28 Feb 2008


For the example I gave: NYSE Stocks, RTH is 9:30 to 4:00 EST
Thats 6.5 hours = 390 minutes
Apply the correct session times to the exchange and symbol you are trading.

J~


I discover another problem, that each ETF or Stocks are quotede on different markets, so which markets do i choice?
i try do this, i'am not sure that this could be the best. on TWS I use SMART, so for example MSFt microsoft, an order of buying or selling could go in different markets, but the smart data from IB doesn't plot on mc.

How could we do for right data?

The same is for etf .

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 29 Feb 2008

right settings for futures Hours TIME ITALY, CME GLOBEX

15:15 close Globex
15:30 open Wall Street e Sopen futures on index CME
22:00 close Wall Street
22:15 close section day futures on indici CME
22:30 open section Globex futures on index CME
23:00 close for dailt maintenance daily Globex section on futures index CME
24:00 open section afther finished maintenance Globex on futures index CME


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