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esignal data descrepancy vs other providers

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  • esignal data descrepancy vs other providers

    I was just looking at NYSE advancing issues provided by esignal ($ADV) vs. trade station (TS) and the data simply don't match - it's close but not the same. I went to the NYSE website to see if I could compare to their data to see which is correct but was unable to find anything - I hope esignal is the correct data.

    Note: for TS they use the same symbol $ADV and it is listed as NYSE Advancing Issues.

    As such I am wondering which one is correct. I am going to up. Here is an example for last friday 2/3/2012 - first few bars of 10 minute data:

    Tradestation:

    Date Time Open High Low Close
    2/3/2012 840 416 2152 416 2152
    2/3/2012 850 2154 2222 2153 2221
    2/3/2012, 900 2220 2255 2205 2245

    esignal

    2/3/2012 8:30 1132 2331 1132 2331
    2/3/2012 8:35 2333 2358 2333 2352
    2/3/2012 8:40 2351 2379 2350 2357


    note I believe esignal times reflect the beginning of time period while TS reflects end time of the same 10 min bar so 8:30 for esignal is same bar as 840 for TS.

    These descripancies are not isolated they happened all the time at least in for $ADV I am attaching a file of TS data.

    I would appreciate if esignal could double check this or provide insight into the matter at least as far as esignal data is concerned.
    Last edited by Kel108; 02-05-2012, 12:37 AM.

  • #2
    I am trying to attach the TS file again as i did not see it once I posted the inital post
    Attached Files

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    • #3
      Correction on esignal data

      Since I can't edit my post I want to clarify that by mistake I am comparing 10 min TS data to 5 min esignal data - here is the correct esignal 10 minute data

      2/3/2012 8:30 1132 2331 1132 2331
      2/3/2012 8:40 2351 2379 2324 2324
      2/3/2012 8:50 2326 2329 2301 2313

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      • #4
        $ADV

        The $ADV symbol is something that we calculate internally and it updates on a 6 second interval. TradeStation's $ADV is also calculated by them, though I'm not sure what the update interval is for theirs. Also our $ADV only takes into account the NYSE where as TradeStations might add other exchanges into the mix.

        The difference you are seeing in the two symbols could be caused by the update interval or the two symbols not matching where the data is coming from. I would suggest finding out from TradeStation what is involved in their $ADV calculation.
        Thank you,
        Eric O.
        eSignal Support

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        • #5
          ok that makes sense - what algorithm do you use? are you able to say?

          Comment


          • #6
            Descrepancy between $ADV by esignal and barchart

            Just noticed that there is quite a difference in advancing issues today between esignal and barchart for the NYSE. Just want to do a sanity check on perhaps why or if there is a problem with esignals' calculation of this value.
            Here is a link to the barchart data - symbol $ADVN - granted its delayed data and I understand each service calculates this but it seems the diff is pretty significant. Thanks in advance.

            http://www.barchart.com/chart.php?sy...&txtDate=#jump

            Comment


            • #7
              Discrepancy between $ADV by esignal and barchart

              Just noticed that there is quite a difference in advancing issues today between esignal and barchart for the NYSE. Just want to do a sanity check on perhaps why or if there is a problem with esignals' calculation of this value.
              Here is a link to the barchart data - symbol $ADVN - granted its delayed data and I understand each service calculates this but it seems the diff is pretty significant. Thanks in advance.

              http://www.barchart.com/chart.php?sy...&txtDate=#jump

              I am reposting as a new thread because it should not have been moved last time - so please DO NOT move again. The reason the difference is not minor it is a big difference so much so I am wondering if esignal data is correct.

              Comment


              • #8
                Kel108
                FWIW I looked at several other sites [see as an example the enclosed screenshot captured from FreeStockCharts] and they are all showing charts that are very similar to eSignal’s, As far as I can see the odd one out seems to be BarChart so perhaps you should redirect your question to them (if you have not already done this).
                As to why the moderators moved the thread I would guess that it is because the topic is the same [albeit for another provider].
                Alex




                Originally posted by Kel108 View Post
                Just noticed that there is quite a difference in advancing issues today between esignal and barchart for the NYSE. Just want to do a sanity check on perhaps why or if there is a problem with esignals' calculation of this value.
                Here is a link to the barchart data - symbol $ADVN - granted its delayed data and I understand each service calculates this but it seems the diff is pretty significant. Thanks in advance.

                http://www.barchart.com/chart.php?sy...&txtDate=#jump

                I am reposting as a new thread because it should not have been moved last time - so please DO NOT move again. The reason the difference is not minor it is a big difference so much so I am wondering if esignal data is correct.

                Comment


                • #9
                  I've also checked with a few different providers and although we do vary in our calculations by quite a lot, it does seem like barchart is the odd one out here. Their value seems massively different than quite a few other providers.

                  Also if posts are on the same subject and particularly from the same poster we will merge them to keep things organized.
                  Thank you,
                  Eric O.
                  eSignal Support

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