Help! Different OHLCV values in Signal vs. Indicator!

Hi all,

I am very surprised and perplexed to see the following:

When I compare the 1 Minute bars of CME GC, from Signal vs. Indicator, I got the following different values:

Singal: 1140220 43800 1314.4 1314.4 1313.1 1313.4 96
Indicator: 1140220 43800 1314.4 1314.5 1313.1 1313.4 96

There are a lot of such differences in OHLCV values.

Does anybody know why?

In fact, I believe the 1 Minute bars from Signal and the 1 Minute bars from Indicator are made from the same underlying tick source.

But then somehow they undergo different algos.

I found the 1 Minute bars in Indicators are correct, whereas the 1 Minute bars in Signals are not always correct.

For example, when there are only 2 ticks in one 1 Minute bar, the Signal data processing algo often filter out the 1st tick and then claim the 2nd tick is the Open of the 1 Minute bar.

I am puzzled.

Could anybody please shed some lights on me?

Thanks a lot!

Hi all,
I am very surprised and perplexed to see the following:
When I compare the 1 Minute bars of CME GC, from Signal vs. Indicator, I got the following different values:
Singal: 1140220 43800 1314.4 1314.4 1313.1 1313.4 96
Indicator: 1140220 43800 1314.4 1314.5 1313.1 1313.4 96
There are a lot of such differences in OHLCV values.
Does anybody know why?
::
Thanks a lot!

How did you arrive at those number?

I am very surprised and perplexed to see the following:

When I compare the 1 Minute bars of CME GC, from Signal vs. Indicator, I got the following different values:

Singal: 1140220 43800 1314.4 1314.4 1313.1 1313.4 96
Indicator: 1140220 43800 1314.4 1314.5 1313.1 1313.4 96

There are a lot of such differences in OHLCV values.

Does anybody know why?

Indicators are not calculated in the same way as signals. On historical data, indicators are calculated on bar close. Signals on historical data are calculated differently depending on the IOG setting, the Bar Magnifier, and these two combined. Furthermore, the Bar Magnifier granularity also influences how accurately a signal is calculated.

For more, see:
How signals are calculated.
How IOG affects strategy calculations.
How to make the indicator and signal results the same.
Bar Magnifier.

Regarding your output, this also depends on how you've coded it. Do both scripts (the indicator and signal) use `BarStatus` to only be evaluated on bar close, for example?