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
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)