Data importing inaccurate?

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waveslider
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Data importing inaccurate?

Postby waveslider » 21 Oct 2011

Hello,

I am using TS historical data in MC and am noticing some weird quirks. At this point I am only comparing the last bar of the day using @ES.D in TS. When I import it into MC sometimes it is off by one or two ticks.

Anyone have a clue why this might happen? Time zones, everything appears to be equal.

Example is :

Oct. 8, 2009
TS closing price: 1014.25
MC closing price: 1014.5

If the same data is being used, how can this be?
Beginning in 2002, there are probably 60 or more instances of this.

waveslider
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Re: Data importing inaccurate?

Postby waveslider » 24 Oct 2011

Bumping as it's been 4 days. Can't find a reason for this issue with any settings I have on MC.

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Re: Data importing inaccurate?

Postby PricePuzzle » 24 Oct 2011

I suggest you check first your data (OHLC) to find out if there is any mistake by.
1) Plot in 1 minute bar or the raw unit of data that you have.
2) Open your data as text file to see if there is any different.

If there is no different in data, then it is the issue of how to plot the bar and shift the data.

waveslider
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Re: Data importing inaccurate?

Postby waveslider » 24 Oct 2011

Good idea about trying the raw data...
I am using 3 min bars ... maybe I should take it down to a tick level?
But why should that matter>?
Maybe this is an issue with the import or conversion process?

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TJ
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Re: Data importing inaccurate?

Postby TJ » 24 Oct 2011

waveslider wrote:Hello,

I am using TS historical data in MC and am noticing some weird quirks. At this point I am only comparing the last bar of the day using @ES.D in TS. When I import it into MC sometimes it is off by one or two ticks.

Anyone have a clue why this might happen? Time zones, everything appears to be equal.

Example is :

Oct. 8, 2009
TS closing price: 1014.25
MC closing price: 1014.5

If the same data is being used, how can this be?
Beginning in 2002, there are probably 60 or more instances of this.

What chart resolutions are you comparing?

waveslider
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Re: Data importing inaccurate?

Postby waveslider » 24 Oct 2011

The time frame is 3 min that I am using in both TS and MC, both regular sessions using @ES.D

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TJ
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Re: Data importing inaccurate?

Postby TJ » 25 Oct 2011

Are both charts retrieved at the same time?

Bear in mind that live streaming data is different from historical data.

If one of your chart is from real time data, it will be different from another chart that is drawn from historical data.

waveslider
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Re: Data importing inaccurate?

Postby waveslider » 25 Oct 2011

I'm not sure how I can retrieve the charts at the same time...
The errors arise on historical data, I know that much.

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Henry MultiСharts
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Re: Data importing inaccurate?

Postby Henry MultiСharts » 26 Oct 2011

waveslider wrote:I'm not sure how I can retrieve the charts at the same time...
The errors arise on historical data, I know that much.

Please provide the following information for further investigation:
-How many versions of TS do you have installed on your PC.
-In Quote Manager->Tools->DataSources->TS>Is the proper TS version selected? Is the option "Save data to the local database" selected?
-If the "Save data to the local database" selected then please make a right click on the symbol you are plotting and select-clear cache and delete all data.
After that please close TS, MC and all its applications. Make sure all the processes are finished in the Task manager:
atCenterServer.exe
Fixserver.exe
MultiCharts.exe
MessageCenter.exe
PLEditor.exe
QuoteManager.exe
StudyServer.exe
tsServer.exe
TradingServer.exe
TPserver.exe
Please end the processes if they are still running after MC close.

-Then start Multicharts and TS. Make sure the symbol settings are the same. Plot the chart in TS. Plot the same chart with the same settings and sessions in MultiCharts. Is the bar different?
If it is different please attach the following:
-the screenshots of the chart comparison so that we can see the OHLC and timestamp of the bar you are referring too.
-symbol settings on the Settings and Sessions tabs from both Quote Manager and TS.

waveslider
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Re: Data importing inaccurate?

Postby waveslider » 26 Oct 2011

Henry -
I have 1 version of TS on my computer, version 9.0.

All of the settings and sessions appear to be correct. Sessions, resolution, data source. I have deleted/reloaded the cache a few times. I have not yet deleted the cache in TS.

Attached is a file comparing the close of each day for the past 2 years. There are quite a few that differ by a tick.

The most recent example is the close on Oct. 21, 2011

TS=1234.75
MC=1235

Also I noticed the down volume is slightly different on this bar

I have compared the bar before the closing bar and the opening bar going back 2 years with no discrepancies, seems to only affect the closing bar.
Attachments
TS vs MC.xls
(62.5 KiB) Downloaded 29 times

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Henry MultiСharts
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Re: Data importing inaccurate?

Postby Henry MultiСharts » 31 Oct 2011

Unfortunately we failed to reproduce the issue in our environment.
Please come to our live chat Monday-Friday 6:30 am - 4 pm EST.
We will do our best to help you.

alphatrader
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Re: Data importing inaccurate?

Postby alphatrader » 05 Nov 2011

Is it possible that somehow you are referencing the two available closes:session and settlement?
TS reports the ""settlement price" as the close of the daily bar and the last tick as the close on intraday charts.Sometimes, they will coincide,but most of the time they will differ by a tick or two.
CME defines "settlement price" as the midpoint of the closing range determined based on pit trading activity between 15:14:30-15:15:00 Central Time(the last 15 seconds).It is usually reported a few minutes after the close in the CME website or available in some platforms.

waveslider
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Re: Data importing inaccurate?

Postby waveslider » 05 Nov 2011

good question. I am using local sessions on both charts, and to compare data I just exported an excel file of the close on a 3 minute chart in both MC and TS. If both are using the same data shouldn't the print be the same?

Does Multicharts handle closing data in a different way than TS? For example, at the close of the day does Multicharts defer to the settlement price or the actual closing tick? I think that is the point you are trying to make.

This is (at least as far as I can see) regarding the closing bar only.

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Henry MultiСharts
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Re: Data importing inaccurate?

Postby Henry MultiСharts » 07 Nov 2011

waveslider wrote:good question. I am using local sessions on both charts, and to compare data I just exported an excel file of the close on a 3 minute chart in both MC and TS. If both are using the same data shouldn't the print be the same?

Does Multicharts handle closing data in a different way than TS? For example, at the close of the day does Multicharts defer to the settlement price or the actual closing tick? I think that is the point you are trying to make.

This is (at least as far as I can see) regarding the closing bar only.

Do you compare historical or real-time data?

waveslider
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Re: Data importing inaccurate?

Postby waveslider » 07 Nov 2011

I am going back comparing the historical data imported from TS and read with MC with the data within the TS platform.

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Henry MultiСharts
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Re: Data importing inaccurate?

Postby Henry MultiСharts » 08 Nov 2011

Please come to our live chat Monday-Friday 6:30 am - 4 pm EST to investigate this issue.


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