missing data in a chart after a restart

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janus
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missing data in a chart after a restart

Postby janus » 26 Jan 2011

I just observed something odd today. IB had an issue where their historical data feed stopped working for one of the exchanges (ASX - Sydney).
Australia had their Australia Day holiday. Even so, real-time data was available after 5:10pm their time as scheduled. Only the historical data feed was not working properly for some reason during their overnight session. This appears to happen every time there is a public holiday at the exchange. I can't recall if this happens at other exchanges, but it might. Clearly it's a problem at IB's end since the real-time data feed was working fine, as observed on the MC chart. IB rectified the historical data feed eventually.

Anyway, I then went through the usual daily routine and closed down everything. When I started everything again, the 1 minute chart for a contract I'm following on that exchange was missing during the period the historical data feed was down. According to QuoteManager that contract has all the tick data stored in the database but no minute data (despite the fact I've turned off data collection for tick - that's another mystery). The mystery though is why isn't MC using the tick data it has collected to produce the 1 minute chart even though the minute data is missing from the database? I thought MC was smart enough to use the tick data in place of the minute data when there are gaps. Am I wrong in expecting this? Does it do this only when there's no minute data for the whole data range? This is not a big issue since this rarely happens - apparently only at holidays. Just curious.

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Dave Masalov
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Re: missing data in a chart after a restart

Postby Dave Masalov » 27 Jan 2011

Dear janus,

If data feed provides minutes, MC will not plot minute charts from tick data. The same with minute data and daily charts. Ticks will be used to plot minute (hourly, daily) charts only if the provider does not provide minute (daily) data at all. If you want this behavior to be changed, you can post a feature request in Project Management.

janus
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Re: missing data in a chart after a restart

Postby janus » 27 Jan 2011

Thanks for the explanation. As I said it's not that important because it's so rare so I won't bother the team - I'm sure they are busy on more important issues.

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Re: missing data in a chart after a restart

Postby Tresor » 27 Jan 2011

Dave Masalov wrote:Dear janus,

If data feed provides minutes, MC will not plot minute charts from tick data. The same with minute data and daily charts. Ticks will be used to plot minute (hourly, daily) charts only if the provider does not provide minute (daily) data at all. If you want this behavior to be changed, you can post a feature request in Project Management.


User should have the option to decide whether minute, hour and day bars are created based on tick or minute data (especially when minute data sent by the vendor are corrupt).

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Dave Masalov
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Re: missing data in a chart after a restart

Postby Dave Masalov » 28 Jan 2011

Dear Tresor,

Please post it a feature request in Project Management.


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