Hello,
on Thursday November 29, 2012, EURUSD, 1 minute data feed via MCFX was interrupted from 03:15 until 05:13
However FXCM Trading Station does NOT show any lack of data on this same moments for EUR/USD 1 minute. see attached second screen shot.
Also, note that QuoteManager shows this disruption on 1 minute data, BUT NO disruption in Tick data, on my local data base.
Today 12/6/2012, I tried to use View/reload/2 weeks or 1 month on the same 1 minute chart, but no effect: same lack of data in 1 minute data base.
Since FCM native data base has no defect, in 1 minute ,
and my database in 1Tick has no defect,
should not it be possible to recover the missing data in 1 minute?
What can be done, please?
Yves BENOIT
MCFX data feed (FXCM) interruption. How to correct data
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Yves BENOIT
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MCFX data feed (FXCM) interruption. How to correct data
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- EURUSD1mA&B1211290321-0514FxcmTradingStation.jpg
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Andrew MultiCharts
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Re: MCFX data feed (FXCM) interruption. How to correct data
Hello Yves BENOIT,
Please follow next steps:
Go to Help -> About MultiCharts and let me know the version of MultiCharts.
Make a right-click on the chart -> Format Instruments... -> Settings -> What is the session setting?
Make a right-click on the symbol in QuoteManager -> Edit Symbol... -> Sessions -> Make a screenshot and attach it, please.
Export the symbol with tick and minute data and attach it.
Please follow next steps:
Go to Help -> About MultiCharts and let me know the version of MultiCharts.
Make a right-click on the chart -> Format Instruments... -> Settings -> What is the session setting?
Make a right-click on the symbol in QuoteManager -> Edit Symbol... -> Sessions -> Make a screenshot and attach it, please.
Export the symbol with tick and minute data and attach it.
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Yves BENOIT
- Posts: 30
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- Has thanked: 5 times
- Been thanked: 10 times
Re: MCFX data feed (FXCM) interruption. How to correct data
Thank you Andrew for looking at this problem.
Multicharts64 version 8.0 release (build 5622)
On I7 computer with Windows 7 64 bits.
Please note that the exact same data hole occured on another computer (Xeon) also with same windows, and same MC version, same settings, but different MCFX account ID.
I'll send you The .qmd File through your Mail
Yves
Multicharts64 version 8.0 release (build 5622)
On I7 computer with Windows 7 64 bits.
Please note that the exact same data hole occured on another computer (Xeon) also with same windows, and same MC version, same settings, but different MCFX account ID.
I'll send you The .qmd File through your Mail
Yves
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Andrew MultiCharts
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Re: MCFX data feed (FXCM) interruption. How to correct data
Yves, could you please try to reload the data again and then send us MultiCharts Logs?
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Andrew MultiCharts
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Re: MCFX data feed (FXCM) interruption. How to correct data
Yves, the issue should be resolved by now. Please try to reload the chart again and let me know if it helped or not.
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Yves BENOIT
- Posts: 30
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Re: MCFX data feed (FXCM) interruption. How to correct data
Andrew,
Actually, minute data are now correct, thank you.
Tick data are much more difficult to inspect, especially on long periods. It took me some time to build several scripts and control Ask & Bid Ticks.
Unfortunately I must say that many defects remain, even after reloading.
For instance, here is a screencapture of a period without AskTicks One of the scripts I wrote, looks for extreme spreads:
SpreadMax= Max of spread on the whole chart, Spreadmin= min of spread on the whole chart.
It gives exact moment and Tick number when spread crosses a fixed limit (by input).
Here is the log of the script (yields 175 warning lines on 6 months with minLimit=01): (When Asks or Bids are missing, the scripts gives the date &Time of both series.)
Apart from the period without Ask & Ticks previously mentionned, you will see many impossible zero spreads.
Can you solve this please?
Actually, minute data are now correct, thank you.
Tick data are much more difficult to inspect, especially on long periods. It took me some time to build several scripts and control Ask & Bid Ticks.
Unfortunately I must say that many defects remain, even after reloading.
For instance, here is a screencapture of a period without AskTicks One of the scripts I wrote, looks for extreme spreads:
SpreadMax= Max of spread on the whole chart, Spreadmin= min of spread on the whole chart.
It gives exact moment and Tick number when spread crosses a fixed limit (by input).
Here is the log of the script (yields 175 warning lines on 6 months with minLimit=01): (When Asks or Bids are missing, the scripts gives the date &Time of both series.)
Apart from the period without Ask & Ticks previously mentionned, you will see many impossible zero spreads.
Can you solve this please?
-
Andrew MultiCharts
- Posts: 1587
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Re: MCFX data feed (FXCM) interruption. How to correct data
Hello Yves,
I am sorry for the inconvenience. The issue was caused by a problem on our server. It is fixed now. Please reload data, it should be fine now.
I am sorry for the inconvenience. The issue was caused by a problem on our server. It is fixed now. Please reload data, it should be fine now.
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Yves BENOIT
- Posts: 30
- Joined: 17 Jul 2009
- Has thanked: 5 times
- Been thanked: 10 times
Re: MCFX data feed (FXCM) interruption. How to correct data
Hello Andrew,
Actually, the rather big Data Hole of 10/2/12 at 21:14-22:48 (missing asks) disappeared. So this is on the good way.
However, for the last 3 months , there remains about 40 trades with 0 spreads!
I observed also about 850 trades with spread below 1 , and 3500 spreads below 1.5.
After a first inquiry from FXCM, it sounds impossible to have spreads less than 1.5, even with technical fast exceptions.
I suppose it might be useful for everybody to attach the script that allow me to check these spreads .
I apologize because I hav'nt cleaned it; also, I use a very condensed Date & Time format (yyMMdd,first letter of day of week, HHmm); but it works. Next, I attach its log when SpreadminLimit=0.1 (83 lines):
Actually, the rather big Data Hole of 10/2/12 at 21:14-22:48 (missing asks) disappeared. So this is on the good way.
However, for the last 3 months , there remains about 40 trades with 0 spreads!
I observed also about 850 trades with spread below 1 , and 3500 spreads below 1.5.
After a first inquiry from FXCM, it sounds impossible to have spreads less than 1.5, even with technical fast exceptions.
I suppose it might be useful for everybody to attach the script that allow me to check these spreads .
I apologize because I hav'nt cleaned it; also, I use a very condensed Date & Time format (yyMMdd,first letter of day of week, HHmm); but it works. Next, I attach its log when SpreadminLimit=0.1 (83 lines):
- Attachments
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- EURUSD1T_A&B121001-0Spread-DiffSimple03-Limit0.1_I7_1212210104Log.TXT
- (13.23 KiB) Downloaded 420 times
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Andrew MultiCharts
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Re: MCFX data feed (FXCM) interruption. How to correct data
The MCFX data is FXCM data coming through our servers. It is standard retail spread data only.
If your FXCM account has different spread the data on chart may differ from data at broker end (different prices for order execution).
If your FXCM account has different spread the data on chart may differ from data at broker end (different prices for order execution).
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Andrew MultiCharts
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Re: MCFX data feed (FXCM) interruption. How to correct data
Hello Yves,
We have checked the data coming on our servers from FXCM and the data you have on your end is the same. Then we checked FXCM web interface and it seems the question should be forwarded to FXCM. Please see the screenshot below:
We have checked the data coming on our servers from FXCM and the data you have on your end is the same. Then we checked FXCM web interface and it seems the question should be forwarded to FXCM. Please see the screenshot below:
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Yves BENOIT
- Posts: 30
- Joined: 17 Jul 2009
- Has thanked: 5 times
- Been thanked: 10 times
Re: MCFX data feed (FXCM) interruption. How to correct data
Thank you Andrew for your checking of FXCM data on FXCM side.
I send to FXCM a set of screen shots showing all the strange behaviours of their data !(They strongly state that spread cannot be < 1.5, but I found 7000 ticks in that case during last 3 months)
However, there still remain problems that do not seem to come from FXCM but from Multicharts:
A rather big data hole in ask data only, that totally disturbs strategy (and causes fake negative spreads to be computed _ see spread indicator becoming red, below chart): .
I also noted that Ask & Bid ticks have been desynchronized on last weeks: .
We need to clarify the situation both on Multicharts and Fxcm side, because simulation and autotrading will be at random if such defects are not under control.
In any case, after the several correcting steps we went through, on Multicharts side, for the last weeks, it seems there is a need, on your server, for a script detecting holes and negative spreads on the whole history of your data.
I send to FXCM a set of screen shots showing all the strange behaviours of their data !(They strongly state that spread cannot be < 1.5, but I found 7000 ticks in that case during last 3 months)
However, there still remain problems that do not seem to come from FXCM but from Multicharts:
A rather big data hole in ask data only, that totally disturbs strategy (and causes fake negative spreads to be computed _ see spread indicator becoming red, below chart): .
I also noted that Ask & Bid ticks have been desynchronized on last weeks: .
We need to clarify the situation both on Multicharts and Fxcm side, because simulation and autotrading will be at random if such defects are not under control.
In any case, after the several correcting steps we went through, on Multicharts side, for the last weeks, it seems there is a need, on your server, for a script detecting holes and negative spreads on the whole history of your data.
-
Andrew MultiCharts
- Posts: 1587
- Joined: 11 Oct 2011
- Has thanked: 931 times
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Re: MCFX data feed (FXCM) interruption. How to correct data
Hello Yves,
Please reload the data, the gap should be filled. Could you explain more about asynchronization? What exactly is not in sync?
Please reload the data, the gap should be filled. Could you explain more about asynchronization? What exactly is not in sync?
-
Yves BENOIT
- Posts: 30
- Joined: 17 Jul 2009
- Has thanked: 5 times
- Been thanked: 10 times
Re: MCFX data feed (FXCM) interruption. How to correct data
Thank you Andrew,
I am reloading all Ticks and minutes for EURUSD since the beginning (1/1/2002).
To answer your question about sync problems with ticks:
On the last chart of my last post, you may notice that Ask Tick and Bid Tick do not occur on the same bar.
Sometimes you have several Ask Ticks then a single Bid Tick... and reversely, each on a different bar.
I noticed this sync problem on January 2, 2013, from 16:21:25 until 20:11:16, on some other dates, then on January 8, 2013 , 21:00:00-...
Previously, during the whole history, for each Ask Tick there was a bid Tick.
I am reloading all Ticks and minutes for EURUSD since the beginning (1/1/2002).
To answer your question about sync problems with ticks:
On the last chart of my last post, you may notice that Ask Tick and Bid Tick do not occur on the same bar.
Sometimes you have several Ask Ticks then a single Bid Tick... and reversely, each on a different bar.
I noticed this sync problem on January 2, 2013, from 16:21:25 until 20:11:16, on some other dates, then on January 8, 2013 , 21:00:00-...
Previously, during the whole history, for each Ask Tick there was a bid Tick.
-
Andrew MultiCharts
- Posts: 1587
- Joined: 11 Oct 2011
- Has thanked: 931 times
- Been thanked: 559 times
Re: MCFX data feed (FXCM) interruption. How to correct data
Hello Yves,
There is some filtering logic on our servers that possibly affects this (asynchronization).
There is some filtering logic on our servers that possibly affects this (asynchronization).