Transact / AGN / Infinity data feed

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Transact / AGN / Infinity data feed

Postby Tresor » 07 Jan 2009

Hello Guys,

I am using TransAct data feed which delivers ''truly unfiltered tick data''. My TransAct data feed plots volume on daily bars in a way that far differs from the official exchange daily volume reports. Just an example from Eurex 7 Jan 2009:

Symbol --- Official exchange volume --- TransAct volume on MC

FESX ---------------------- 1,002,357 ------------------- 2,555,375
FDAX ------------------------ 121,242 ---------------------- 99,979
FGBL ------------------------ 766,733 ------------------- 1,505,720

My first guess was that the exchange reports 1 contract trade for both sellshort and buy, while TransAct treats this trade as 2 contracts, but then I looked at FDAX. Any ideas?

Anyway, TransAct is American so they may not be interested in providing good service for European markets.

Then I looked at US exchanges. I attach a screenshot with daily bars of ES (Transact) from the last few days with indication of volume (far lower than volume reported by the exchange). Can you please check your daily ES bars (on other than TransAct data) and report differences?

Thank you
Attachments
daily bar ES Volume.jpg
daily bar ES Volume.jpg (97.27 KiB) Viewed 1369 times
Last edited by Tresor on 13 Apr 2009, edited 2 times in total.

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Postby TJ » 07 Jan 2009

I would compare MC results with another program's result, to see if there is any difference.

if another program gives the same result as MC, then TransAct must be streaming bad data.

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Postby Tresor » 07 Jan 2009

I would compare MC results with another program's result, to see if there is any difference.

if another program gives the same result as MC, then TransAct must be streaming bad data.


Hello TJ,

Thanks. Could you please post your daily chart of ES, I would then be able to see the volume bar value for the last day and therefore judge.

Regards.

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Postby TJ » 07 Jan 2009

IB data feed
20090107 esh9 daily chart volume= 1,961,214


I don't know how much value is your request.

there are only 2 possible point of error:

1. TransAct is giving bad data
2. MC is not building volume properly on TransAct feed.

all datafeeds have different readings. IB is different from eSignal, eSignal is different from Genesis, etc.
by giving you my ib feed data, it does not prove anything.

you need to get another program and hook it up to TransAct... to see what volume you get from the program.

if MC's volume is the same as another program's volume data... then obviously MC is building the volume properly.

Otherwise... MC might be at fault.


BTW, what version of MC you are using?
I think one of the version was building wrong volume with IB feed.
Don't know the effect with other feed though.

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Postby Tresor » 07 Jan 2009

IB data feed
20090107 esh9 daily chart volume= 1,961,214



Hi TJ,

Thank you for the info on your ES volume. My volume is 1,272,154 as per attachment in the first post. IB volume is 54% higher than TransAct volume.

Must investigate further then to find the cause.

Regards

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Postby thehaul » 08 Jan 2009

I was asked to post this for educational purposes. Tresor will elaborate.
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Postby Tresor » 08 Jan 2009

ESH9 on 6 Jan 2009

CME official data -------- 1, 917,339 contracts traded (100%)
Transact / AGN ---------- 1,272,154 (66.35% of the official volume)
NT Zen-Fire ----------- 1,913,000 (99.77% of the official volume)
Interactive Brokers ----- 1,961,214 (102.29%of the official volume)

Zen-fire seems to be inaccurate by only 0.23%, IB by 2.29, Transact by 33.65%.

I will download Ensign tomorrow and check if it's Transact's or MC's fault.

Thanks thehaul for the screenshot.

Regards
Attachments
CME Volume.jpg
CME Volume.jpg (51.23 KiB) Viewed 1350 times

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Postby Tresor » 08 Jan 2009

Addendum:

I have just downloaded Ensign and accordingly adjusted the comparison of data feeds


ESH9 on 6 Jan 2009

CME official data ------------- 1, 917,339 contracts traded (100%)
MultiCharts / Transact ------ 1,272,154 (66.35% of the official volume)
TS ------------------1,912,293 (99.74% of the official volume)
Ensign / Transact -------------1,912,293 (99.74% of the official volume)
NT Zen-Fire ---------------- 1,913,000 (99.77% of the official volume)
Interactive Brokers -------- -- 1,961,214 (102.29%of the official volume)

NT / Zenfire seems to be inaccurate by only 0.23%, Ensign / TransAct by only 0.26%, IB by 2.29, but MC / Transact by as much as 33.65%.

AGN / Infinity / TransAct with Ensign is almost as good as NT with Zenfire, but AGN / Infinity / Transact with MultiCharts is a crap :I I enclose a comparison of Ensign volume (on the left) and MC volume (on the right) using the same data feed.

AGN / Infinity / Transact is for free and unlike Zenfire it backfills data.

Marina, do you think TSS can do anything to help MC users to have this data feed processed correctly by MC and enjoy this excellent free-of-charge data feed?

P.S. Can someone look at their DTN.IQ volume value for 6 Jan 2009?
Attachments
Ensign daily volume on 6 Jan 2009.jpg
Ensign daily volume on 6 Jan 2009.jpg (116.12 KiB) Viewed 1354 times
Ensign vs MC.jpg
Ensign vs MC.jpg (123.44 KiB) Viewed 1353 times

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Postby Geoff » 08 Jan 2009

DTN Iqfeed ES volume 6th Jan is 1,917,339.

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Postby TJ » 08 Jan 2009

note: the IB number I posted above is for 20090107

the IB number for 20090106 is 1,912,263

(exchange date)


for the record, my reading is from:
Version 4.0 Beta 1 (Build 1440)
Last edited by TJ on 08 Jan 2009, edited 1 time in total.

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Postby Tresor » 08 Jan 2009

Thank you for your valuable input in helping me and other users to grasp what the problem was with Transact / AGN / Infinity data feed. If I am not mistaken the data feed is okay, only MC fails to proccess it correctly.

The final comparison would be as follows:

ESH9 on 6 Jan 2009

CME official data ------------- 1, 917,339 contracts traded (100%)

MC / DTN.IQ ----------------- 1,917,339 (100% accuracy) - excellent
NT / ZenFire --------------- 1,913,000 (99.77% accuracy) - very good
TS ----------------- 1,912,293 (99.74% accuracy - very good
Ensign / Transact ----------- 1,912,293 (99.74% accuracy) - very good
MC / IB ----------------------- 1,912,263 (99.74% accuracy) - very good
MultiCharts / Transact ----- 1,272,154 (66.35% accuracy) - unacceptable

TSS, Can you please check these by yourselves and if the bug in Transact.dll detected, fix it asap?

Regards

BTW,
1.DTN.IQ seems to have good price to quality ratio. Don't you think so, Guys?
2. Is there any way to make Zenfire backfill?

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Postby Tresor » 08 Jan 2009

BTW, what version of MC you are using?


Latest beta

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Postby TJ » 08 Jan 2009

BTW, what version of MC you are using?


Latest beta


"Latest beta" has little meaning...

for the record, pls go to MC>Help>About

...copy the version and paste it here.

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Postby Tresor » 08 Jan 2009

Yes Sir,

Here you are, Sir: Version 5.0 Beta 1 (Build 1737)

Thank you Sir, for reprimending me, Sir :wink:

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Postby Tresor » 08 Jan 2009

oops, it's not the latest.

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Postby Tresor » 08 Jan 2009

When getting familiar with Ensign I noticed one small nice feature. It displays Open Interest with Transact data. I tried to do it in MC with Open Interest Indicator but failed. I could not find OI data in QM. The code below:


Code: Select all

if OpenInt <> 0 then
   Plot1( OpenInt, "OpenInt" ) ;


TSS please look at the sreenshot to get an idea of this feature.

Regards
Attachments
OI daily on MC with TransAct data.jpg
OI daily on MC with TransAct data.jpg (178.04 KiB) Viewed 1360 times

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Postby Tresor » 19 Jan 2009

Marina,

Any news?

Thanks

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Postby Marina Pashkova » 20 Jan 2009

Hi Tresor,

Did you try looking at volume in the latest 5.0 beta 2 version of MultiCharts with the option 'Generate a new tick if total volume changes' checked?

Regards.

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Postby Tresor » 20 Jan 2009

Hi Tresor,

Did you try looking at volume in the latest 5.0 beta 2 version of MultiCharts with the option 'Generate a new tick if total volume changes' checked?

Regards.


Hi Marina,

I am unable to try the newest MC beta with TransAct data, because my TransAct data feed demo expired.

I can get TransAct data feed now only when I set up the account and fund it with money. As I do not know if the new MC beta works good with this data feed I would be reluctant to fund the account only to find out that the data feed is misproccessed again. Vicious circle, sort of.

Can you please try this data feed with the newest MC and tell me the results?

Regards

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Postby Tresor » 21 Jan 2009

One can apply for a free one month TransAct data feed here:

http://www.infinityfutures.com/IATdemosignup.aspx

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Postby Marina Pashkova » 23 Jan 2009

Hi Tresor,

Gathering evidence that MultiCharts shows volume from TransAct correctly is prohibitively time-consuming given our tight schedule at the moment. The main problem is that we'd have to be gathering real-time data and adding up received values while doing the same in TransAct's sample.

I would like to be able to tell you that we'll give you this evidence, but I don't want to promise something that can't be delivered. All I can suggest at this point is that you should try and monitor data yourself.

Regards.

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Postby Tresor » 24 Jan 2009

OK, Marina, I arranged for the new TransAct data feed.

Here we go (MC Version 5.0 Beta 2 Build 1781; the newest available beta as of today). The evidence:

Eurex 23 Jan 2009 (screenshot attached):

Symbol---------Official Volume----------Volume by MC

FESX --------------- 1,559,992-------------- 3,311,515
FDAX ----------------- 199,537-----------------146,620
FGBM----------------- 427,388----------------- 808,970
FGBL------------------ 804,416-------------- 1,685,774

I also enclose a screenshot with a chart of one of the above symbols. ''Generate new tick....'' enabled.

Regards
Attachments
Generate new tick.jpg
Generate new tick.jpg (27.78 KiB) Viewed 1343 times
FGBM 23 Jan 2009.jpg
FGBM 23 Jan 2009.jpg (64.42 KiB) Viewed 1343 times
EUREX 23 Jan 2009.jpg
EUREX 23 Jan 2009.jpg (38.5 KiB) Viewed 1348 times

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Postby Tresor » 24 Jan 2009

CME Globex volume vs MC volume 22 Jan 2009

NQ----------- official volume: 356,854 ---------- MC volume: 334,002
EMD --------- official volume: 36,409 ----------- MC volume: 34,371
YM ---------- official volume: 242,337 ---------- MC volume: 238,052
TF (ICE)----- official volume: 146,468 ---------- MC volume: 125,672

ES - fails to plot daily, minute and hour bars are plotted without problem :?:

Hope this evidence suffices.

BTW, I noticed a strange behaviour. MC get angry and eats last daily bar. A few hours ago MC plotted the last daily bar (23 Jan 2009) of FGBM - see the previuos post and the screenshot. When I opened my MC again after a few hours, MC failed to plot 23 Jan 2009 daily but is able to plot 23 Jan 2009 hourly. Can this be the related to displaying volume improperly? Screenshots attached.

Regards
Attachments
FGBM last day hourly.jpg
FGBM last day hourly.jpg (66.93 KiB) Viewed 1335 times
FGBM last day missing.jpg
FGBM last day missing.jpg (60.41 KiB) Viewed 1345 times

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Postby gdm-glen » 25 Jan 2009

I have noticed strange things also with transact data on multicharts.

Tresor i was wondering what is the ticker symbol you use for a continious contract for the FE and ES as infinity tells me there isnt one with transact so i have to keep changing it every contract roll.

I have noticed a simular thing with the volume on the ESH9 contract but want to try it with the continiuos contract also. Mine also doesnt plot daily charts but will do everything else ok.

It seems like multicharts has the makings of a very good program. I have brought one of the 1st versions of multicharts ages ago and it seems like these problems are still happening and you wonder if they will ever get it right.

I can construct 2 350 tick charts on the same ticker and each shows different values, which in turn gives different indicator pictures.I cant work that one out.

If i install the latest version on D drive then the program wont find any data on my computer or go to any data provider..But if i uninstall it and re-install it on C drive then it works fine.
It just makes you wonder how accurate this program is. Its hard enough to be profitable in trading but when the charts arent accurate then thats not good..

With the talk of a GOLD version that will cost us to buy being already a buyer with "Lifetime Upgrades" i doubt the accuracy will get any better.

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Postby Tresor » 25 Jan 2009

I have noticed strange things also with transact data on multicharts.

I can construct 2 350 tick charts on the same ticker and each shows different values, which in turn gives different indicator pictures.I cant work that one out.



I do share your pain. I spend more time in front of computer trying to figure out what is going with MC and Transact then I spend with my girl-friend. This is SICK!!!

I share some of the problems that I have with MC charting here:
http://forum.tssupport.com/viewtopic.php?p=23957#23957

Regards

P.S. As far as I know Transact does not offer continous contracts

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Postby Marina Pashkova » 26 Jan 2009

OK, Marina, I arranged for the new TransAct data feed.

Here we go (MC Version 5.0 Beta 2 Build 1781; the newest available beta as of today). The evidence:

Eurex 23 Jan 2009 (screenshot attached):

Symbol---------Official Volume----------Volume by MC

FESX --------------- 1,559,992-------------- 3,311,515
FDAX ----------------- 199,537-----------------146,620
FGBM----------------- 427,388----------------- 808,970
FGBL------------------ 804,416-------------- 1,685,774

I also enclose a screenshot with a chart of one of the above symbols. ''Generate new tick....'' enabled.

Regards


Hi Tresor,

Could you please let me know how exactly you calculate volume received in MC? We'll need that to compare your results to ours.

Thank you.

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Postby Tresor » 26 Jan 2009

Hi Tresor,

Could you please let me know how exactly you calculate volume received in MC? We'll need that to compare your results to ours.

Thank you.


Hi Marina,

I do not calculate to volume. MC does it for me. I only point my cursor on the bar and read the volume. Reading the volume from the last day is easy, because it is displayed on the right scale in study called ''Volume''.

I use Build Volume On: Trade Volume.

When I used Ensign to compare MC with Transact to Ensign with Transact I also pointed my cursor on the bar to read the volume values calculated by Ensign. I posted such a screenshot with Ensign volume earlier. You can see for yourself.

It turned out that Ensign with Transact calculates volume with 99% (or better) accuracy. MC plots volume with far less accurately with Transact data.

In this thread it was proven that all data feeds are similar in their quality. MC plots volume well with Tradaestation, DTN IQ, IB, other, but fails to achieve the same level of accuracy with Transact.

As I am not an expert on computers, I cannot tell why this is so. The only thing I can say is that Ensign plots Transact data properly, while MC does not, ergo the problem is with MC, not with Transact.

Regards

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Postby Tresor » 26 Jan 2009

Marina,

Maybe these screenshots help to identify the problem. MC displays two different values for daily volume.
Attachments
Eurex data.jpg
Eurex data.jpg (84.48 KiB) Viewed 1344 times
Volume discrepancy FESX.jpg
Volume discrepancy FESX.jpg (88.83 KiB) Viewed 1343 times
Volume discrepancy.jpg
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Postby Tresor » 27 Jan 2009

Marina,

Please see the differences today after a few hours of the Eurex session. What do you think?

Regards
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Eurex today.jpg
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Postby TJ » 27 Jan 2009

this is from IB... I guess the difference is in microseconds.
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2009-01-27-02.gif
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Postby Tresor » 27 Jan 2009

Thanks TJ for sharing your screenshot, which confirms previous discoveries on MC miscalculating Transact / Infinity data.

Marina,

Come on, please admit there is a bug... A serious one.

Rafal

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Postby Tresor » 27 Jan 2009

this is from IB... I guess the difference is in microseconds.


TJ,

You are lucky with your IB data feed. Look at my ES chart. The volume is under-calculated by as much as 38.53%.

Regards
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ES miscalculation.jpg
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Postby Tresor » 27 Jan 2009

One can say that 38% is a high miscalculation. Look at this 122% miscalculation on DowJones Stoxxx 50.

Now let's suppose you have an EA that uses volume related functions... You would need to be very lucky in order to omit a financial disaster.

Regards
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122%.jpg
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Postby Tresor » 27 Jan 2009

Marina + Transact / Infinity clients,

This is yet another screenshot, this time Transact / Infinity execution platform was added, that illustrates the problem with MC.

Transact / Infinity execution platform and MC status bar are diplaying correct volume values, while the volume subchart in MC is very wrong.

Regards
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Volume again.jpg
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Postby Tresor » 28 Jan 2009

Hi Tresor,

Could you please let me know how exactly you calculate volume received in MC? We'll need that to compare your results to ours.

Thank you.


Marina,

Were you able to compare the results?

Regards

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Postby Marina Pashkova » 28 Jan 2009

Hi Tresor,

In your MC charts you were plotting daily bars. TransAct does not provide daily bars as a resolution, therefore MultiCharts plots daily bars from TransAct using minutes. The daily volume for such bars will be a sum of all the volumes for minute data. If the sessions in QuoteManager are set incorrectly, the number of minutes in a session will be wrong and, therefore, the resulting daily volume in MC will be wrong.

The volume value that you see in the status line in MC is received from a different source - using a direct real-time request from TransAct.

In our tests, when sessions were set correctly, the value in the status line was very close to that seen when a cursor is placed on a daily bar. When sessions were wrong, the discrepancies between the two volumes were quite serious.

Please make sure that the regular sessions are set correctly in QuoteManager.

Regards.

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Postby Tresor » 28 Jan 2009

In our tests, when sessions were set correctly, the value in the status line was very close to that seen when a cursor is placed on a daily bar. When sessions were wrong, the discrepancies between the two volumes were quite serious.

Please make sure that the regular sessions are set correctly in QuoteManager.

Regards.


Marina,

I attach a screenshot to prove that the session hours for Eurex were set correctly. Monday - Friday (08:00 - 22:00).

How ''very close'' were the two values in ''your tests''? As you can see in my test (proven with a screenshot) the two values differ by 112%. Your comments?
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correct session hours.jpg
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Postby Tresor » 28 Jan 2009

Marina,

I attach two screenshots of today:

1. FESX (MC miraclously added 2+ million contracts to the daily volume) - as you can see from the screenshot the session hours are set properly in QM;

2. ES (MC miraclously removed almost 300 thousand contracts from the daily volume) - as you can see from the screenshot the session hours are set properly.

I hope this evidence suffices for you to admit that MC misprocesses Transact / Infinity / AGN data feed.

I asked another MC user to get Transact data feed and to run the same test. His today's results are 100% the same as mine.

Now, Marina, can you admit that MC mishandles Transact / Infinity / AGN data feed?

If NOT, I can arrange for other MC users to try Transact data feed and post their results here.

If YES, can you take appropriate actions (either remove Transact and AGN from the list of supported data vendors or finally solve the problem to the satisfaction of Transact / Infinity / AGN clients)?

Regards
Attachments
FESX day end.jpg
FESX day end.jpg (163.94 KiB) Viewed 1334 times
ES day end.jpg
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Postby Marina Pashkova » 29 Jan 2009

Hi Tresor,

I am afraid I misrepresented some of the information on how the data received from TransAct should be analyzed. The values transmitted in the status line are irrelevant for our analysis. We are not even sure what value it is that they send in the status line.

If you would like to see whether the daily volume is calculated in MC correctly, please run the following test:

--------------------------------

TransAct does not provide historical daily bars. We have to build them using minutes and ticks (ticks are used for the last minute). The value shown in the status line is provided by TransAct. Therefore, comparing the volume of daily bars and the volume shown in the status line would be incorrect.

TransAct FESXH9

1) Create a 1 Minute chart and apply the following indicator:

Code: Select all

if date = currentdate then
begin
   value1 = Ticks + value1;
   plot1(value1);
end;

This indicator adds up the volume from all the bars that have the same date as the current day.

2) Create a 1 Day chart and apply the Volume indicator

3) The latest values of the indicator on minute bars will be very close to the value of the Volume indicator on daily bars (minor differences might be caused by a different starting point on the two charts)

++++++
Why the summarized volume of minute bars as sent by TransAct is different from the value of the volume provided in the status line is something TransAct must to be asked about.

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Postby Tresor » 29 Jan 2009

The values transmitted in the status line are irrelevant for our analysis. We are not even sure what value it is that they send in the status line.


Marina,

the issue of volume values have made my nights sleepless for about 1 month now. The values transmitted in the status line, according to my research SHOULD be the only relevant to you as far as volume goes.

If you are interested, please make the following excercise:
1. during the Eurex session go to: www.eurexchange.com/index.html
2. the website displays 15 min delayed volume for major instruments like FDAX, FESX and others.
3. You will see that the volume values displayed on the website:
(i) MATCH the values diplayed in MC status bar - meaning this value and only this value should be relevant to you (at least it is relevant for Ensign),
(ii) MISMATCH the values (sometimes by as much as 100+% values displayed in MC volume subchart). If the volume is wrong by such great number all volume based studies, like VWAP must be wrong.


Why the summarized volume of minute bars as sent by TransAct is different from the value of the volume provided in the status line is something TransAct must to be asked about.


All I know is that Ensign managed to deal with this issue perfectly. I know it. I downloaded the 7 day trial of Ensign and was able to see it with my eyes. Now before asking Transact, and Infinity and AGN, which I will for sure do, I will also download SC to see how SC manages the volume issue.

Regards

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Postby Tresor » 29 Jan 2009

I downloaded SC. This software is just as wrong as MC is when it comes to displaying volume. Sreenshot attached.

Ensign with Transact - very good
MC with Transact - disaster
SC with Transact - disaster

I will write to Transact today and will cc Marina

Regards
Attachments
Sierra volume.jpg
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Postby Marina Pashkova » 30 Jan 2009

Once we have connected to a new, better working API from TransAct, the problem should go.

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Postby Tresor » 30 Jan 2009

This is a good news, Marina.

Regards

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Postby Tresor » 09 Feb 2009

Once we have connected to a new, better working API from TransAct, the problem should go.


Marina,

Are you close to make the problem go?

Regards

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Postby Marina Pashkova » 10 Feb 2009

Hi Tresor,

According to our estimates, the new connection to work with TransAct's new API should be completed within the next two weeks.

Regards.

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Postby Tresor » 10 Feb 2009

Hi Tresor,

According to our estimates, the new connection to work with TransAct's new API should be completed within the next two weeks.

Regards.


I owe you and your engineers a beer :D

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Postby Marina Pashkova » 13 Feb 2009

Hi Tresor,

We might take you up on that:-)

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Postby Tresor » 13 Feb 2009

My pleasure

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Postby Tresor » 24 Feb 2009

Hi Tresor,

According to our estimates, the new connection to work with TransAct's new API should be completed within the next two weeks.

Regards.


Hi Marina,

Two weeks elapsed and finally the new beta was released. Does this new beta solve the problem with Transact / Infinity / AGN data feed processing?

I noticed ''Rithmic01'' in a list of new features - is this equivalent to Transact / Infinity / AGN?

Regards

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Postby Marina Pashkova » 04 Mar 2009

Hi Tresor,

We are working on yet another TransAct's API. In the next version of MultiCharts (most probably it will be the release) the volume shown for the last daily bar in the status line and the one shown on the chart will have the same values.

As for Rithmic01, this is a deployement for a number of brokers (such as AMPFutures, for example) developed by the same company that provides deployment to Zen-Fire.

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Postby Tresor » 04 Mar 2009

Thanks Marina

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Postby Andrew Kirillov » 13 Mar 2009

The bug has been fixed and a fix will be available in the next beta.

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Postby Tresor » 13 Mar 2009

The bug has been fixed and a fix will be available in the next beta.


COOL :D

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Postby Tresor » 30 Mar 2009

Hello TSS,

I downloaded beta 5. It looks the issue with the volume was fixed. I will confirm it definitely tomorrow after I have run additional tests with other symbols.

Please have a look at the two screenshots. It seems that now MC (with correct volume) stopped plotting price bars correctly. Ctrl + R doesn't help. Can you guys check it (maybe with other data feed)?

Regards
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Postby Andrew Kirillov » 31 Mar 2009

Tresor,
You are right. There is an issue.
Currently we are using the latest Transact API. We construct the last daily bar from status line fields. The latest version of Transact API doesn't give an Open field. So we create a similar value by subtracting Net Change from Last. The problem with DAX symbol is that Transact doesn't give Net change of this symbol and we get a wrong value. If you check ES it should work better.
We are going to send a request to transact team to resolve this issue.

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Postby Andrew Kirillov » 31 Mar 2009

Tresor,
You are right. There is an issue.
Currently we are using the latest Transact API. We construct the last daily bar from status line fields. The latest version of Transact API doesn't give an Open field. So we create a similar value by subtracting Net Change from Last. The problem with DAX symbol is that Transact doesn't give Net change of this symbol and we get a wrong value. If you check ES it should work better.
We are going to send a request to transact team to resolve this issue.

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Postby Tresor » 31 Mar 2009

The bug has been fixed and a fix will be available in the next beta.


Andrew,

I am sorry to say what I have to say, but the bug was not fixed. Here's why:

1. During the trading hours the volume study based on daily bars shows correct volume values (identical with the volume value in the status line) - bravissimo,

2. During the trading hours the volume study based on hourly /minute bars shows incorrect values. When you add hourly or minute volume, you will see that the volume is incorrect. Yesterday FDAX's daily volume built on daily bars was 160 k while the volume built on hourly bars was only 98k.

3. In point 1. I mentioned that the volume study plots correct volume values on daily bars. Cool, but it plots correct volume only for the current day. When you open MC the next day you will see that yesterday's current day volume shows different value than it showed yesterday. In fact it shows 98k - the same volume that I calculated yesterday by adding hourly volumes.


Andrew or Marina, please chceck it and confirm the bug was not fixed.

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Postby Andrew Kirillov » 31 Mar 2009

Tresor,
[1] We receive volume for minutes and hours from Transact. We don't modify it. Don't expect to have the same volume if you sum up hour bars volume and compare it to Total Volume from status line. It is not the same for eSignal and TS too. I assume there is a reasonable explanation, but I don't have a key.
[2] The last day volume will not be equal to Total volume, because we construct daily bars from minutes (Transact doesn't give daily history) and all issues I have described above applied to daily bars.

Good news.
Transact expects to provide Open field soon.

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Postby Tresor » 31 Mar 2009

Tresor,
[1] We receive volume for minutes and hours from Transact. We don't modify it. Don't expect to have the same volume if you sum up hour bars volume and compare it to Total Volume from status line. It is not the same for eSignal and TS too. I assume there is a reasonable explanation, but I don't have a key.


I compared daily volume shown in the volume study (which happens to be the same as the value shown on the status line). When I set resolution to ''Daily'', the volume study (and volume on the status line) showed value of 160k contracts traded.

I expected that when I change the resolution from ''Daily'' to ''Hourly'' and then add all hourly volumes to one another I will get the same volume as on Daily bar. This would be logical because there are only regular sessions on FDAX. Don't you think that the sum of all hourly volumes during the day should equal the number of the daily volume?

[2] The last day volume will not be equal to Total volume, because we construct daily bars from minutes (Transact doesn't give daily history) and all issues I have described above applied to daily bars.

Good news.
Transact expects to provide Open field soon.


Andrew, imagine you trade FDAX on daily bars and for your trading purposes you need to read volume from the volume study in the subchart.

Today is 31st March. Let's assume that the volume study in the subchart will show 160k on today's session close. You close your MC and wake up tomorrow on 1st April. You open MC and look at yesterday's bar and yesterday's volume on the subchart.

What you will see is that during the night the volume study changed its value (on daily bars) from 160k to 98k. How is that possible? I do not know for sure what causes this but I can assure you it is not an April's fool joke. I will show it on the screenshots when the session ends.

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Postby Tresor » 31 Mar 2009

We are going to send a request to transact team to resolve this issue.


If you contact Transact you may also want to ask them about yet another issue. Almost everyday (when you set hours to: from 00:00 to 23:59) all Eurex instruments give one bad tick. Screenshot attached. This bad tick is at 00:00:01. I do not know why this happens.

Regards
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Postby Tresor » 31 Mar 2009

There is one more issue that you might discuss with Transact when contacting them (or check if it is an issue with MC). Namely, MC with Transact shows price action on Saturday (Saturdays are days off for trading). When I set in QM Sun - Fri (no Saturday here), MC plots price and volume on Saturday :roll:

Screenshot attached.

Regards
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Postby Tresor » 31 Mar 2009

A picture is worth a thousand words, so as promised earlier I am posting a series of screenshots to explain the issues that Beta 5 has with volume.

Screenshots:

1. FDAX daily - look at this one first. MC plotted volume of 149,352 contracts of FDAX for the day 31st March 2009. The volume on subchart equals volume in the status line. This is what we were after. MC now plots the same value as transmitted by Transact in the status bar.

2. FDAX hourly - MC plotted volume of only 92,447 contracts of FDAX for the same day 31st March 2009 when the resolution is set to 1 Hour. The intraday volume is plotted incorrectly on this resolution by 61%.

There will be one more post with a screenshot today and one more tomorrow for the purposes described in the screenshots.

Regards
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Postby Tresor » 31 Mar 2009

This is the last screenshot for today.

It proves that volume calculation in MC with Transact data feed is 100.00% accurate. Job well done!
This accuracy is however accomplished only on 1 Day resolution. With other resolutions MC fails to plot volume correctly.

If TSS wishes to run additional tests, please use this link to Eurex statistics http://www.eurexchange.com/market/stati ... ymbol=FDAX Please make sure you select the right date.

There will be one more screenshot tomorrow which will show how MC gets hungry the next day it plotted perfect volume and eats some portion of volume.

Regards
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Postby Tresor » 31 Mar 2009

This is the last screenshot. It proves that MC is getting hungry and eats volume. As you remember from previous screenshots FDAXM9 volume on daily bars on 31st March in MC was 149,352 contracts.

After I shut down MC and reopened it after 1 minute from shutting down, MC no longer plots volume of 149,352 on daily resolution. Now it plots only 91,042 contracts for day 31st March 2009 :roll:

TSS, I would appreciate if you could confirm all of the above issues with beta 5 and Transact.

Regards
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Postby Tresor » 31 Mar 2009

This one is for sure the last screenshot :mrgreen:

I just noticed that MC also ate volume from the last 1 hour bar. I adjusted the last volume accordingly and guess what? - Now (i) the daily volume on 1 day bar and (ii) the daily volume on 1 hour bars ARE THE SAME VALUES.

Unfortunately both these values are wrong!

Regards
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Postby Tresor » 01 Apr 2009

Marina and Andrew,

Were you able to reproduce the problem of MC ereasing the volume from historic bars after restarting MC?

Regards

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Postby Andrew Kirillov » 02 Apr 2009

Tresor,
I apologize for the delay - We need more time to analyze the problem. Moreover we are in touch with Transact and waiting for information from their side.
I will post information ASAP.

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Postby Andrew Kirillov » 02 Apr 2009

I expected that when I change the resolution from ''Daily'' to ''Hourly'' and then add all hourly volumes to one another I will get the same volume as on Daily bar. This would be logical because there are only regular sessions on FDAX. Don't you think that the sum of all hourly volumes during the day should equal the number of the daily volume?


Your expectation sounds reasonable to me, but I think you don't take into account some hidden factors. I made my small research and found that sum of minute bars and total volume indicated in the status line (exchange info) differs for other data vendors too.
I made a screenshot. You can see that sessions affect sum of volume, but nevertheless of the sessions it is not equal to the status line.
It is possible that exchange correct their total volume by deducting canceled trades, but data vendors don't do it. It is just a guess. Other factors may contribute as well.

Andrew, imagine you trade FDAX on daily bars and for your trading purposes you need to read volume from the volume study in the subchart.

Today is 31st March. Let's assume that the volume study in the subchart will show 160k on today's session close. You close your MC and wake up tomorrow on 1st April. You open MC and look at yesterday's bar and yesterday's volume on the subchart.

What you will see is that during the night the volume study changed its value (on daily bars) from 160k to 98k. How is that possible? I do not know for sure what causes this but I can assure you it is not an April's fool joke. I will show it on the screenshots when the session ends.


Your objection is understandable, but i don't know what we can do here as a developer. Do you have a solution?
We will ask Transact to provide daily bars as a raw data, but I’m not sure they can do it and I'm not sure it will solve the issue.
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Postby Andrew Kirillov » 02 Apr 2009

We are going to send a request to transact team to resolve this issue.


If you contact Transact you may also want to ask them about yet another issue. Almost everyday (when you set hours to: from 00:00 to 23:59) all Eurex instruments give one bad tick. Screenshot attached. This bad tick is at 00:00:01. I do not know why this happens.

Regards

Transact has confirmed the bad tick and will fix it soon.

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Postby Andrew Kirillov » 02 Apr 2009

There is one more issue that you might discuss with Transact when contacting them (or check if it is an issue with MC). Namely, MC with Transact shows price action on Saturday (Saturdays are days off for trading). When I set in QM Sun - Fri (no Saturday here), MC plots price and volume on Saturday :roll:

Screenshot attached.

Regards


Transact has confirmed that the exchange sends them some technical/test data. You should set correct sessions in QM AND use Regular in MC because Regular means that the program takes sessions data from QM. Otherwise it uses 24/7 and ignores all sessions in QM. Thus you will have the garbage data.
We will add a filter on our side soon .

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Postby Tresor » 02 Apr 2009

Your expectation sounds reasonable to me, but I think you don't take into account some hidden factors. I made my small research and found that sum of minute bars and total volume indicated in the status line (exchange info) differs for other data vendors too.


Andrew, Look at these screenshot (made after MC ate some volume) http://forum.tssupport.com/download.php?id=2069 The sum of hourly bars' volume and daily bar volume did not differ (91,042 contracts). It is just the way it should be, except for it missed the official volume transmitted in the status line.


I made a screenshot. You can see that sessions affect sum of volume, but nevertheless of the sessions it is not equal to the status line.
It is possible that exchange correct their total volume by deducting canceled trades, but data vendors don't do it. It is just a guess. Other factors may contribute as well.


One of the problems shown on your screenshot (the lower chart) is comparing total 24h volume to volume generated during regular trading hours. Of course the values will differ. And that's why I made the excercise on FDAX. As you know Eurex has only regular sessions (there is no overnight trading).

What causes the problem in the middle chart of your screenshot? I have no idea. I never used TS.


Your objection is understandable, but i don't know what we can do here as a developer. Do you have a solution?
We will ask Transact to provide daily bars as a raw data, but I’m not sure they can do it and I'm not sure it will solve the issue.


Andrew, I am not a programmer. The only solution I can suggest would be to download Ensign trial and copycat the way they managed to solve the problem.

Just out of curiosity: Can't you build daily bars (+ anything else) out of ticks? To the best of my knowledge, Transact data feed is a tick one, not a snapshot one, not 1 minute one.

Regards

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Postby Andrew Kirillov » 02 Apr 2009

Tresor,
I will see Enisgn and let you know soon.

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Postby Tresor » 02 Apr 2009

Thanks Andrew

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Postby Andrew Kirillov » 02 Apr 2009


I can construct 2 350 tick charts on the same ticker and each shows different values, which in turn gives different indicator pictures.I cant work that one out.

Could you illustrate it with a screenshot?

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Postby Andrew Kirillov » 02 Apr 2009


I can construct 2 350 tick charts on the same ticker and each shows different values, which in turn gives different indicator pictures.I cant work that one out.

Could you illustrate it with a screenshot?

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Postby Andrew Kirillov » 02 Apr 2009

I’ve deleted two posts by mistake. Sorry. If you can post it again please do.
Tresor why did you indicate the link with the bar/volume problems if they are either resolved or commented? I'm talking about your research regarding wrong bar building.
What doesn’t work for you exactly?

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Postby Tresor » 02 Apr 2009

I’ve deleted two posts by mistake. Sorry. If you can post it again please do.


The post about ''2 350 tick charts'' wasn't mine.


Tresor why did you indicate the link with the bar/volume problems if they are either resolved or commented? I'm talking about your research regarding wrong bar building.
What doesn’t work for you exactly?


I posted the link http://forum.tssupport.com/download.php?id=2069 only to show that MC does great because FDAX daily volume build on daily bars of 91,042 (green highlight) matches the daily volume of 91,042 built on hourly bars.

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Postby Andrew Kirillov » 03 Apr 2009

Tresor,
OK. Let us compare apples to apples. Ensign uses two methods of data download:
1. Ensign Data Server (EDS). Their data maybe accurate, because they get it from some quality sources. It is NOT a transact history.
2. The second method should be the same as we use. It is called Transact Beta. The data should be delivered from Transact server. However according to our observations the data comes from Ensign Data Server too.

Ensign has 1 minute data very close to what we have. And this data has wrong volume too. This is why you observe a significant difference between real volume collected in real time and what you have when you create a chart and data is downloaded.
Summary:
1. MultiCharts doesn’t eat the volume. However the volume is incorrect since Transact minute bars volume is wrong. We reported the issue and I trust it will be resolved.
2. You say that your correct charts with correct volume becomes wrong after you change resolution or recreate it within a few minutes after chart was fine. It has an explanation: when you collect real-time data tick by tick you have CORRECT data and correct minute/hourly and daily bars. When you change a chart or recreate a chart, the program requests data from transact historical servers and it is wrong. MultiCharts saves tick by tick data in the storage, but doesn’t create minute data on the fly. It thinks that it is better to request data from the datafeed, because minutes are lightweight. If you set File->Preferences-> offline mode after end of the trading session you will see that MC samples daily bars properly, because it will create it from raw ticks.
Resolution:
We are looking forward to hear from Transact soon and if they can’t help us we will program MultiCharts to save minutes to the storage when they collected in real-time and it will produce correct volume for the collected data. However it will not help if you if download daily data from scratch, because the minute data will be downloaded from transact server s and thus daily bars will wrong.
I hope this is clear.

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Postby Tresor » 03 Apr 2009

Andrew,

Thank you for these explanations. Having gathered the essence of this thread my knowledge is the following (please correct me if I am wrong on any point):

1. MultiCharts works properly with data feeds which send at the same time:
(i) tick data
(ii) minute data
(iii) daily data

2. Transact data feed is not good for Multicharts because it:
(i) sends incorrect minute data from historical servers (that's why volume is wrong)
(ii) does not send daily data (that's why you tried to make daily bars from Net Change from Last - for some symbols Transact does not give Net Change which results in wrong daily bars)

3. The only charting software that Transact can work properly with is the one that can work only with tick data to produce other resolutions than tick.


To the best of my guess there are three solutions:

1. TSS can redesign MC in a way that MC can build minute, hour and daily bars out of raw tick data - this would be excellent, provided this does not slow MC too much

2. Transact data feed (i) will continue to send its tick data they way they have, (ii) will start sending correct minute data and (iii) will start sending daily data as well - this sounds okay provided Transact can make it.

3. The third solution would be:
We are looking forward to hear from Transact soon and if they can’t help us we will program MultiCharts to save minutes to the storage when they collected in real-time and it will produce correct volume for the collected data. However it will not help if you if download daily data from scratch, because the minute data will be downloaded from transact server s and thus daily bars will wrong.


Andrew, please do not implement he third solution, beacuse this would be a waste of resources and - as you said - ''daily bars would be wrong''. Instead give your programmers a few days off so that they could gain strength to focus on Trading Technologies or other tasks.


I hope I covered all possible solutions.

Regards.

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Postby Tresor » 05 Apr 2009

There is one more issue that concerns me as far as Multicharts with Transact data feed goes.

The problem was already raised in this forum and on Elitetrader and Traderslaboratory, namely:
(i) MC fails to backfill historical data from Transact from time to time, OR
(ii) Transact does not send historical data to MC from time to time.

I attach two screenshot to explain this issue. On one screenshot there is correct ES 24h (from a website service) and on the other screenshot ES 24h with no backfill is shown (Mulicharts).

I hope TSS addresses this issue while speaking to Transact.

Regards
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Postby Andrew Kirillov » 06 Apr 2009



Thank you for these explanations. Having gathered the essence of this thread my knowledge is the following (please correct me if I am wrong on any point):

1. MultiCharts works properly with data feeds which send at the same time:
(i) tick data
(ii) minute data
(iii) daily data




That is not correct. MultiCharts works properly with any data feed that provide correct data. The minute data is not correct now it is a source of the problem. We are working closely with transact guys and I think we will have a solution soon.

2. Transact data feed is not good for Multicharts because it:
(i) sends incorrect minute data from historical servers (that's why volume is wrong)
(ii) does not send daily data (that's why you tried to make daily bars from Net Change from Last - f
or some symbols Transact does not give Net Change which results in wrong daily bars)



I would say it is too categorical statement. Transact is fine in 90% of cases, but it doesn’t work well in some aspects. I think it will be fixed by developers soon. Moreover it is a free data and it is relatively good considering this fact.


3. The only charting software that Transact can work properly with is the one that can work only with tick data to produce other resolutions than tick.


Ensign and SC use their own data to feed as a history. It solves the issues.
If Transact fixes the issues soon “the tick resolutions” will not be necessary.



To the best of my guess there are three solutions:

1. TSS can redesign MC in a way that MC can build minute, hour and daily bars out of raw tick data - this would be excellent, provided this does not slow MC too much

2. Transact data feed (i) will continue to send its tick data they way they have, (ii) will start sending correct minute data and (iii) will start sending daily data as well - this sounds okay provided Transact can make it.

3. The third solution would be:
Quote:
We are looking forward to hear from Transact soon and if they can’t help us we will program MultiCharts to save minutes to the storage when they collected in real-time and it will produce correct volume for the collected data. However it will not help if you if download daily data from scratch, because the minute data will be downloaded from transact server s and thus daily bars will wrong.


Andrew, please do not implement he third solution, beacuse this would be a waste of resources and - as you said - ''daily bars would be wrong''. Instead give your programmers a few days off so that they could gain strength to focus on Trading Technologies or other tasks.


It will not be a waste. ''daily bars would be wrong'' only if you download minutes as a base resolution. If you indicate that you want to use ticks a base resolution you will have correct bars. The only problem here is that ticks are available for a few days, but minutes for longer period.

Let us wait for Transact response.

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Postby Tresor » 06 Apr 2009

Andrew,

Many thanks for keeping me updated. I am glad to read the close co-operation with Transact may result in the right solution soon.

Warm regards.

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Postby Andrew Kirillov » 07 Apr 2009

There is one more issue that concerns me as far as Multicharts with Transact data feed goes.

The problem was already raised in this forum and on Elitetrader and Traderslaboratory, namely:
(i) MC fails to backfill historical data from Transact from time to time, OR
(ii) Transact does not send historical data to MC from time to time.

I attach two screenshot to explain this issue. On one screenshot there is correct ES 24h (from a website service) and on the other screenshot ES 24h with no backfill is shown (Mulicharts).

I hope TSS addresses this issue while speaking to Transact.

Regards


We’ve discussed this issue with Transact guys and they told us that this data gap will not be backfilled since they provide only 5 days of intraday quotes.

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Postby Andrew Kirillov » 07 Apr 2009

Tresor and all Transact users,
I have good news.
We've reported the volume issue and Transact guys were able to identify a reason why it works improperly. So they've fixed it on their side in timely manner and we really appreciate it.
So the volume difference is less than 1% in our tests now. This difference could be due to canceled trades or other corrections.
Make your research and let us know.
Tresor I want to thank you for your contribution!

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Postby Tresor » 07 Apr 2009

Hello Andrew,

Thanks for the great news! I will run my tests and will let you know the findings.

Regards

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Postby Tresor » 07 Apr 2009

So the volume difference is less than 1% in our tests now. This difference could be due to canceled trades or other corrections.


Actually, the difference is less than 0.5%! At least on FDAX. This is a great achievement for a free-of-charge data feed.

I want to thank all TSS employees for their contribution. It would be perfect if you could revert to the old way of plotting daily bars when you release the new beta (at the moment they are plotted based on Net Change) .

I will need 2 more days to run tests on other symbols than FDAX. What I noticed are minor and truly unimportant differences in volume on hourly bars when running MC real-time and after restarting. These as I said are unimportant.

Regards :D

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Postby Andrew Kirillov » 08 Apr 2009

The next version of Transact API will have open field in the status line so there is no need to use net change.
Tresor, I'm happy we resolved all your issues.

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Postby Tresor » 08 Apr 2009

Hello Andrew,

I still cannot confirm that all the problems were solved. I didn't run all the tests I wanted. I hoped to do it today, but Transact servers were down. My MC did not plot FDAX today untill I got Marina via live chat.

The only solution to get FDAX plotted historically and currently was to uncheck ''download missing historical data'' (Marina knows the details), but this in turn resulted in a lack of today's one hour bar (screenshot attached). I sincerely hope that once Transact fixes problems at their side, I will be able to confirm that all the problems are gone.

I am positive about this confirmation soon.

Regards
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Postby Tresor » 09 Apr 2009

The next version of Transact API will have open field in the status line so there is no need to use net change.


When will this be, do you think?

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Postby Andrew Kirillov » 09 Apr 2009

it depends on transact.

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Postby Tresor » 10 Apr 2009

it depends on transact.


I had a short e-mail exchange with a person who is responsible for data feed and API developement at Transact. He told me the daily open field is on a development list for MC. It will however not be done soon.

If I understood the person correctly:
(i) SC uses Transact historical data and avails it to its customers via own backfill server,
(ii) Ensign avails backfill data to its customers through Transact backfill API,
(iii) MC does not get Transact backfill data.

Is it true that the backfill data that MC receives are not from Transact's historical data servers?

Regards

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Postby Tresor » 13 Apr 2009

I did an exercise today.

I compared the speed of Transact data feed vs. the speed of Open ECry (OEC) data feed. Transact data feed is intraday 10 - 12 seconds more slowly than Open ECry. Please see the screenshot ''Transact is very slow''

Then I shut down MC, opend it again and since then I have been waiting to see any action on ES. Transact fails to backfill and plot. On the other hand OEC backfills and plots nicely. Please see the screenshot ''Transact no action''.

This thread was started 4 months ago and it must come to an end asap.

My findings are:

1. Transact data feed have been giving bad data. Transact support explained the reason to me: ''If a Trade happened at a price of 100.00 for 20. I would get a trade message from the exchange that read 100.00 for 20. If the next trade was done at the same price 100.00 for 10. We expect the exchange to send us 100.00 for 10, however they were sending 100.00
for 30.This issue effected the Real-time and the Backfill.''

Transact knew about this problem since January 2009 from this thread and from the thread on SC website: https://www.SC.com/supportboar ... hp?t=14742 From my earlier posts you know that SC also plotted gibberish with Transact data feed. Here's the link to a screenshot http://forum.tssupport.com/download.php?id=1928

2. Transact partially solved the problem with volume on 6th / 7th April.

3. Transact is slow in resolving issues. It will take at least 3 weeks before they change their data feed to have daily open price. Without this MC cannot plot proper daily charts.

4. Transact is slowler than other free data feed (OEC) by 10 - 12 seconds, at least with Multicharts. Measured with a watch-stop.

5. Transact data feed does not backfill correctly, at least with Multicharts.

6. Transact shows ticks on historic data although historic data made of 1 minute bars should not show ticks at all (to check this please set volume build on: tick count and look at volume study). OEC does not show ticks.

7. ... other small issues that I have become tired of.


I am finished with Transact data feed :evil:

TSS, Can you please list data feeds that do not have issues reported with Transact and the data feeds operated by guys who are quick in resolving issues, if such issues arise?

Regards

P.S. I renamed the thread title as it was not MC who were at fault.
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Postby Andrew Kirillov » 14 Apr 2009

Tresor,
We are waiting for the response from Transact. It will affect my answer.
We are very tired of the transact issues and hoping it will be resolved very soon. We sent them an e-mail on Friday and resent it today.

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Postby Andrew Kirillov » 14 Apr 2009

I think eSignal, IQfeed and IB the best. IB do have a limit on data downloads, bit in general their all quite good. eSignal is my favorite.

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Postby Tresor » 14 Apr 2009

Thanks Andrew

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Postby Andrew Kirillov » 13 May 2009

Transact guys finally confirmed that they had an issue with volume sampling. They've fixed it and it looks like it works fine.

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Postby Tresor » 13 May 2009

Thank you Andrew for updating.

In this case they might be worth trying again. Do you think in view of the issue reported here http://forum.tssupport.com/viewtopic.php?t=6314 one should I wait till the next release of MC?

Regards

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Postby Andrew Kirillov » 13 May 2009

Try it - it works.

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Postby Tresor » 26 May 2009

MC Version 5.0 Release (Build 2369) does not plot price bars and volume for the current day on any symbol and any resolution.

Regards
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Postby Tresor » 26 May 2009

I closed MC, opened again after a few hours and there is no backfill (14 x 30 minute bars are missing). CTRL+R doesn't help.

Regards
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Postby Andrew Kirillov » 26 May 2009

Dear Tresor,
It is working on our end. See attached screenshot.

Please make sure you have Download Missing data option checked. See File->Preferences->Data Server mode.
Set 208.97.219.171:2045 as a transact server in QM please.
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fdax - transact.png
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