bar differences between MC and other  [SOLVED]

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orion
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bar differences between MC and other

Postby orion » 31 Oct 2014

I am noticing some differences in bar OHLC and volume between bars formed by TS and MC. I have both running side by side with TS also serving as the datafeed. There were several bars that were different but the biggest discrepancy occurred at 15:59 (see below).

This discrepancy at 15:59 coincides with the QM log showing a pair of messages which say "Disconnecting from real time data for @ES" and then "Connecting to real time data for @ES". What gave rise to these messages and is this related to the bar discrepancy? Why did it disconnect for just the @ES data and not any other symbols?

I ran a diff across several symbols and found that there were differences in other symbols too and they seem to be correlated with event logs in QM (see below). I am attaching the results of diff for @CL and @ES bars for the entire day. The differences are printed by diff as pairs of lines with first line being the MC bar and the second line of the pair being the TS bar. While only a few bars for the day are different, big question is the underlying cause for these differences. Why the intermittent disconnects? The big difference in volume for the @ES bar at 1559 is unsettling.

The fields in the diff below should be read as: bar time (yyyyMMdd:HHmm:ss format), OHLC, upticks, downticks, volume

Code: Select all

@ES diff between MC and TS:

< 20141031:1228:00 , 2006.00 , 2006.50 , 2005.75 , 2006.00 , 1446 , 1134 , 1446
> 20141031:1228:00 , 2006.00 , 2006.50 , 2005.75 , 2006.00 , 1445 , 1136 , 1445

< 20141031:1247:00 , 2006.75 , 2007.00 , 2006.50 , 2007.00 , 604 , 823 , 604
> 20141031:1247:00 , 2006.75 , 2007.00 , 2006.50 , 2007.00 , 604 , 827 , 604

< 20141031:1352:00 , 2007.25 , 2007.25 , 2006.00 , 2006.00 , 1037 , 1495 , 1037
> 20141031:1352:00 , 2007.25 , 2007.25 , 2006.00 , 2006.00 , 1037 , 1498 , 1037

< 20141031:1520:00 , 2005.25 , 2005.50 , 2005.00 , 2005.25 , 1426 , 867 , 1426
> 20141031:1520:00 , 2005.25 , 2005.50 , 2005.00 , 2005.25 , 1426 , 902 , 1426

< 20141031:1527:00 , 2006.25 , 2006.75 , 2006.25 , 2006.50 , 1376 , 791 , 1376
> 20141031:1527:00 , 2006.25 , 2006.75 , 2006.25 , 2006.50 , 1381 , 796 , 1381

< 20141031:1559:00 , 2011.75 , 2012.25 , 2011.75 , 2012.00 , 3475 , 2822 , 3475
> 20141031:1559:00 , 2011.75 , 2012.50 , 2011.75 , 2012.25 , 5308 , 4163 , 5308

< 20141031:1600:00 , 2012.00 , 2012.00 , 2010.75 , 2011.00 , 15969 , 22455 , 15969
> 20141031:1600:00 , 2012.50 , 2012.50 , 2010.75 , 2011.00 , 31232 , 42177 , 31232

Code: Select all

@CL diff between MC and TS:

< 20141031:1229:00 , 79.93 , 79.97 , 79.82 , 79.88 , 579 , 1163 , 579
> 20141031:1229:00 , 79.93 , 79.97 , 79.82 , 79.88 , 579 , 1164 , 579

< 20141031:1247:00 , 80.02 , 80.04 , 80.02 , 80.04 , 15 , 35 , 15
> 20141031:1247:00 , 80.02 , 80.05 , 80.01 , 80.04 , 85 , 60 , 85

< 20141031:1352:00 , 79.95 , 79.97 , 79.94 , 79.96 , 28 , 38 , 28
> 20141031:1352:00 , 79.95 , 79.97 , 79.94 , 79.96 , 28 , 40 , 28

< 20141031:1527:00 , 80.60 , 80.61 , 80.57 , 80.61 , 52 , 61 , 52
> 20141031:1527:00 , 80.60 , 80.61 , 80.57 , 80.61 , 68 , 62 , 68
The above differences are correlated with QM event logs as follows. The following event log was produced in QM:

12:46:29 "Lost connection to data network"
12:46:30 "Connection is OK"

Same message pair as above occurs at following times:
(13:51:02, 13:51:04)
(15:19:40, 15:19:42)
(15:26:35, 15:26:37)

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Henry MultiСharts
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Re: bar differences between MC and other  [SOLVED]

Postby Henry MultiСharts » 03 Nov 2014

Hello orion,

1) What exact version and build number of MultiCharts are you running? (in MultiCharts go to Help tab-> About)
2) What is the version and build number of TS you are running ?

Please send us (support@multicharts.com) the following information for further investigation:
- workspace you are using;
- in QuoteManager select the symbols you are using, make a right click on any of them->Export data->Export instruments (without data). Send us the Qmd export file for analysis;
- in PowerLanguage editor->File->Export->export with dependent functions the study you are using for producing the output. Send us the study export file.


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