Wrong opening price of Eurex futures with eSignal

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HPF
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Wrong opening price of Eurex futures with eSignal

Postby HPF » 27 Apr 2015

Hello,

I'd be most grateful for some advice on the following problem with eSignal data at the opening auction of Eurex futures contracts.

We have MC 9.0 Build 10759. The problem appeared a few weeks ago out of the blue (without having updated any of the software involved).

For example, on April 27, 2015, around 08:00 local (Frankfurt) time, eSignal records the following ticks for "FDAX M5-EUX" (June 2015 contract, Dax Future at Eurex, Frankfurt) as shown in the attached screenshot. The opening auction is priced at 11863.0 with 206 contracts traded.

At that time, I ran the following PL signal code on a daily chart (combined chart with historical data from an ASCII mapping plus live data from eSignal symbol "FDAX M5-EUX"). Between 07:45 and 08:15, the PL code writes all updates of the daily bar to a log file, and in the absence of ticks it is called at least once every 10 minutes.

Code: Select all

[IntrabarOrderGeneration=true]

variables:
logfile ("somefile.log")

if ((CurrentTime > 745) and (CurrentTime < 815)) then begin
Print (File (logfile),FormatDate ("yyyy-MM-dd ",ELDateToDateTime (CurrentDate)) +
FormatTime ("HH:mm:ss: ",ELTimeToDateTime_s(CurrentTime_s)) +
GetSymbolName + " tick [D=" +
FormatDate ("yyyy-MM-dd",ELDateToDateTime (date)) + "; T=" +
FormatTime ("HH:mm",ELTimeToDateTime (time)) +
"; O=" + NumToStr (open,4) + "; H=" + NumToStr (high,4) +
"; L=" + NumToStr (low,4) + "; C=" + NumToStr (close,4) +
"; CurrentBar=" + NumToStr (CurrentBar,0) +
"; BarStatus=" + NumToStr (BarStatus,0) + "]");
end;

if (LastBarOnChart) then begin
RecalcLastBarAfter (600);
end;
The output was

Code: Select all

2015-04-27 07:35:19: FDAX M5-EUX tick [D=2015-04-24; T=22:30; O=11790.0000; H=11916.0000; L=11737.0000; C=11843.5000; CurrentBar=96; BarStatus=-1]
2015-04-27 07:45:19: FDAX M5-EUX tick [D=2015-04-24; T=22:30; O=11790.0000; H=11916.0000; L=11737.0000; C=11843.5000; CurrentBar=96; BarStatus=-1]
2015-04-27 07:55:19: FDAX M5-EUX tick [D=2015-04-24; T=22:30; O=11790.0000; H=11916.0000; L=11737.0000; C=11843.5000; CurrentBar=96; BarStatus=-1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11790.0000; H=11916.0000; L=11737.0000; C=11863.0000; CurrentBar=97; BarStatus=0]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11863.0000; L=11863.0000; C=11863.0000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11863.5000; L=11863.0000; C=11863.5000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11865.0000; L=11863.0000; C=11865.0000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11866.0000; L=11863.0000; C=11866.0000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11866.5000; L=11863.0000; C=11866.5000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11867.0000; L=11863.0000; C=11867.0000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11867.5000; L=11863.0000; C=11867.5000; CurrentBar=97; BarStatus=1]
2015-04-27 08:00:06: FDAX M5-EUX tick [D=2015-04-27; T=22:30; O=11863.0000; H=11867.5000; L=11863.0000; C=11867.5000; CurrentBar=97; BarStatus=1]
The values of the opening tick are wrong here. My signal was called at 08:00:06 with the wrong opening tick (BarStatus=0). The OLHC values are those of the previous trading day rather than the current ones. The same problem appears for other Eurex futures contracts such as FSXE M5-EUX or FGBL M5-EUX, but not for other exchanges (e.g. CME Globex).

In the quote manager, FDAX M5-EUX is defined with a custom session template with daily sessions from 08:00 to 22:30. The data source eSignal is configured with "Use settlement price for historical daily bars" - no; and "Use eSignal range checking filter for trades" - yes.

Since eSignal shows the correct opening tick, but MultiCharts does not, I assume this is a problem in MC. Judging from this test, I guess that about 4-6 weeks ago, either Eurex or eSignal changed the way they transmit ticks around the opening auction, and eSignal is able to deal with it, but MC is not.

Thank you very much for your help.

Kind regards,

HPF
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Henry MultiСharts
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Re: Wrong opening price of Eurex futures with eSignal

Postby Henry MultiСharts » 28 Apr 2015

Hello HPF,

MultiCharts plots realtime daily bar for eSignal using the OHLC values received from eSignal Data Manager. Please check the OHLC values streamed by eSignal in eSignal Data Manager->File->Symbol Monitor. If these values are incorrect and unexpected - you need to contact eSignal directly. If you want to review these realtime values in MultiCharts - you need to plot a chart for eSignal instument only (without merging with ASCII) to see the values in the status line (go to Format->Window->Status Line, make sure it is enabled. Make sure Time, Open, High, Low, Close, Last are enabled).

HPF
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Re: Wrong opening price of Eurex futures with eSignal

Postby HPF » 29 Apr 2015

Just to clarify, are you saying that when I work with daily bars in MC, then MC receives from the eSignal data manager a sequence of daily bars (time, OLHC, volume) that are continuously updated?

I'll then try a tick chart and a daily chart in parallel and see whether they are consistent or not.

Kind regards,

HPF

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Re: Wrong opening price of Eurex futures with eSignal

Postby Henry MultiСharts » 01 May 2015

Just to clarify, are you saying that when I work with daily bars in MC, then MC receives from the eSignal data manager a sequence of daily bars (time, OLHC, volume) that are continuously updated?
A historical daily bar is OHLC and volume values. Realtime daily bar is a snapshot OHLC and volume value which is being updated on tick by tick basis.


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