Errant ticks/trades

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ZaphodB
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Errant ticks/trades

Postby ZaphodB » 28 Jan 2022

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I started noticing crazy backtesting results and found the root of the cause to be these errant trades that are buying on these ticks way outside of the candles. I tried updating MC and reloading data but still having issues. There are ticks well outside the normal range of data. What's strange is these ticks aren't even being included in the candle. I'm using TS data for the ES mini continuous contract, 5 minute bars, IBOG is set to on in the Format dialog box, and the Bar Magnifier is on with updating every tick but skip identical ticks. What could be causing this? Snip attached with arrows pointing to two different strange trades.

Edit: I just turned off the strategy to declutter the screen and there's not even a tick at the price where it's making the trades. I think I've seen an errant tick be there in other places though. Why would it produce a backtesting trade at a price that's not even available?

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ZaphodB
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Re: Errant ticks/trades

Postby ZaphodB » 28 Jan 2022

I found a section that's even worse.. What's happening here?
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ZaphodB
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Re: Errant ticks/trades

Postby ZaphodB » 31 Jan 2022

A big thank you to Tammy who helped me out with this via chat! It turns out that I had old data for the ticks and new (updated) data for the minute based bars. Now I understand better how the bars are built etc.


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