1-Tick chart vs. 5 min bar discrepancy...

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damageboy
Posts: 70
Joined: 15 Sep 2006
Been thanked: 14 times

1-Tick chart vs. 5 min bar discrepancy...

Postby damageboy » 01 Nov 2006

Hi,
I'm using the following indicator on a 1 tick chart of
Trade (Data1)
Bid (Data2)
Ask (Data3)

Code: Select all

Input:
   Interval(5);

Variables:
   Price(0),Bid(0),Ask(0),AtBid(True),AtAsk(True),N(0),
   MyUpVol(0), MyDownVol(0), MyErrVol(0),
   LastT(Time),
   TraceFile("X:\XXX.log");

if (TimeToMinutes(time) >= TimeToMinutes(LastT) + Interval) then
begin
   Print(File(TraceFile), Time, " N=", N, " Volume=", MyUpVol + MyDownVol + MyErrVol,  " / UpTicks=", MyUpVol, " / DownDicks=", MyDownVol, " / Errs=", MyErrVol, " Delta=", MyUpVol - MyDownVol);
   LastT = Time;
   MyUpVol = 0;
   MyDownVol = 0;
   MyErrVol = 0;
end;

N = N + 1;
Price = Close;
Bid = Close of Data2;
Ask = Close of Data3;
AtBid = Close = Bid;
AtAsk = Close = Ask;
if (AtAsk) then MyUpVol = MyUpVol + Ticks;
if (AtBid) then MyDownVol = MyDownVol + Ticks;
if (Price > Ask or Price < Bid) then MyErrVol = MyErrVol + Ticks;


This (unless I have a serious bug) should generate 5m bars ( in terms of volume activity) similar to what I get on a 5m chart..., for example,
first 3 bars on the logfile vs chart (both originate from eSignal):
Time Indicator Chart
835.00 V=30292.00 V=22352
840.00 V=39778.00 V=16390
845.00 V=24538.00 V=11763


The resulting file shows large discrepancies..., usually up to 50-100% on the total volume of the bar
Can anyone at TS Support explain how this is happening?
Is this a bug or misunderstanding on my side?
Attachments
ticks.txt
(7.89 KiB) Downloaded 101 times

User avatar
Alex Kramer
Posts: 834
Joined: 23 Feb 2006

Postby Alex Kramer » 02 Nov 2006

Dear damageboy

Thanks for pointing out an issue. There exists a problem with non-synchronous data arrival. When you’re checking for equality of bid and trade sometimes (not always) it may happen that the fresh value is compared to the old as not all kinds of data have updated at once.
We’re working on this issue to assure simultaneous data updating, this will solve the problem – of course, provided eSignal sends the 5 minutes volume exactly same as the sum of all ticks, there’s a possibility they do not match exactly.

damageboy
Posts: 70
Joined: 15 Sep 2006
Been thanked: 14 times

Postby damageboy » 02 Nov 2006

I understand there is a bid/ask sync issue with regard to last trade.

This is, "NORMAL", or at least, I've come to terms with it as I've seen no data provider that works "right", so if everyone messes up, I can relate to that as being normal.

My real issue is with volume discrepancy. I know (from viewing the logs) that MC builds my 5 minutes bars from 1 minute bars historically.
But if I understand correctly, the 5 minute bars are built from the same tick data that I'm supposed to receive in the tick chart, or am I mistaken?

Who should I rely when it comed to total volume? the tick chart or the historical bars?


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