BUG: Major Recurring Premarket Volume Error in Esignal

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trader39
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BUG: Major Recurring Premarket Volume Error in Esignal

Postby trader39 » 16 Dec 2011

I have found that preopening volume (ie volume prior to 9:30 AM eastern) for stock symbols in ESignal is frequently overstated by as much as 60x. This typically occurs for stock symbols which, because of breaking news or other developments, are reporting true volume upwards of 50,000 shares per minute. When such a high volume symbol is encountered, MC then frequently vastly overstates the reported volume, erroneously showing volume at over 10,000,000 shares per minute in some cases. Since these high volume symbols are of great interest to traders and volume is a key aspect of many analyses, this is as a critical problem. The error only happens when the symbol is loaded in real time; when it is reloaded, the volume is reflected correctly. The attached chart illustrates the error this morning in premarket trading for the symbol INHX. It was reloaded at 9:27 so that volume data shown prior to that is correct. Data at 9:32 forward is correct since it is no longer premarket. But volume is shown at 9:29 as 11,460,254 shares (!) when the correct figure is 183,543; 9:28 shows volume as 4,996,888 when the correct figure is 25,477; 9:30 shows volume at 4,317,963 when the correct volume is 75,305. I am running 7.4 beta build 4846 but I believe the problem is present in other builds as well. Settings for the symbols are the default: Price scale 1/100; daily limit 10,000, min movement 1, big point value 1. Please advise when this bug can be fixed.
Attachments
INHXva.png
INHXva.png (39.14 KiB) Viewed 452 times

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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby trader39 » 16 Dec 2011

This is also a problem with post-market (after the close at 4:00pm) trading of stocks with unusually high volume when ESignal is used as the data feed.

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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby TJ » 16 Dec 2011

trader39 wrote:This is also a problem with post-market (after the close at 4:00pm) trading of stocks with unusually high volume when ESignal is used as the data feed.

Is this a eSignal problem or MultiChart problem?
How does the chart look with eSignal's own charting program?
Can you post a few screen shots?

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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby trader39 » 16 Dec 2011

It is an MC problem. The chart is correctly displayed when ESignal's own charting program is used, even when the data is collected in real time (not reloaded). Attached are minute bars for the stock symbol "SPY" collected after the market close today (post market) and displayed with volume using MC and the Esignal datafeed. In my next post I attach the same bars using ESignal's own charting program as they were collected there at the same time.
Attachments
MCvol.png
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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby trader39 » 16 Dec 2011

Here is the volume for SPY for the same post market intervals today displayed using ESignal's own charting program. As you can see, the true volume displayed be Esignal is an order of magnitude or more lower.
Attachments
ESigVol.png
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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby Henry MultiСharts » 19 Dec 2011

Our engineers are investigating the issue.
We will get back to you in case we need any additional information.

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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby trader39 » 19 Dec 2011

I have noted the problem is especially severe with volume bars, sometimes not even correctable with reloading. Here is a volume chart comparison with SPY shown in ESignal 10000v bars first.
Attachments
ESigVolCht.png
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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby trader39 » 19 Dec 2011

Here is the 10000v chart in MC, with the volume greatly overstated before 9:30. Multiple reloads were required to (ultimately) correct this, and it never worked in real time with correct volume as would be needed for trading.
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MCvolCht.png
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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby Henry MultiСharts » 20 Dec 2011

This is not a bug.
This is how the volume is provided by eSignal data feed.
You can check it in eSignal data manager->File->Symbol monitor.
Please find the video in the attachment.
Attachments
eSignalVolume.zip
(783.55 KiB) Downloaded 51 times

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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby trader39 » 20 Dec 2011

The volume is displayed differently in the ESignal application. Are you saying that MC is unable to display volume in the same way as the ESignal application?

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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby trader39 » 20 Dec 2011

Also, you tested the symbol INHX on a low volume day. There has never been an issue with volume unless it is relatively high. INHX was an issue several days ago because of extraordinarily high volume due to breaking news; it was not an issue on the 19th.

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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby trader39 » 20 Dec 2011

I have researched and doumented this issue further with three additional screenshots reflecting after hour trading for SPY today 12/20.

After hours ESginal symbol monitor shows an incorrect frozen volume for SPY of 7221 for every tick. MC picks up the same incorrect field and displays the same incorrect 7221 volume for every tick. However, the ESignal native application references a different , correct, field and displays the correct volume for every tick, as the ESignal tick chart illustrates.

What is required is to pick up the same after hours volume field that the native esignal application references.
Attachments
ESigwithCorrectTradeSize.png
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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby trader39 » 20 Dec 2011

The previous post showed the correct tick volume as shown in the Esignal native charting application.

This shows the incorrect volume in MC for SPY over the same period, frozen at 7221 per tick.
Attachments
MCwith7221tradesize.png
MCwith7221tradesize.png (37.21 KiB) Viewed 436 times

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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby trader39 » 20 Dec 2011

My final screenshot shows the Esignal symbol monitor also locked into the incorrect 7221 trade size. Clearly symbol monitor does not reference the correct field for after hours volume, but the native Esignal application does. MC needs to reference the same after hours volume field as the native Esignal application.
Attachments
SymbolMonitorwith7221TrSize.png
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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby Henry MultiСharts » 21 Dec 2011

Trader39, thank you for reporting.

We confirm this limitation of current Volume implementation for eSignal data feed.
We appreciate your feedback, correct volume for premarket and postmarket hours received from eSignal data feed will be displayed in one of the next versions.
These users thanked the author Henry MultiСharts for the post:
JoshM

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Re: BUG: Major Recurring Premarket Volume Error in Esignal

Postby trader39 » 03 Jan 2012

Great, I can't wait!


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