Data issue related to Globex outage

[mmillar]

Hi,

I'm having a problem with this formula. Alex has been helping me on another folder but I just wanted to bring it to a wider audience as it has now become a generic issue.


function main() {
return close("$COMPQ");
}


All it's supposed to do is return the value of the Nasdaq Composite. If I add it to a $COMPQ chart it works fine - just returns the same value as the chart. If I add it to an ES #F chart it works fine... except before 1st May - the day of the Globex outage. Same problem for the $INDU and I assume other symbols.

Any eSignal staff (or anyone else know what I can do).

Thanks

mmillar

[JayF]

mmillar,

Please see my reply at http://forum.esignal.com/showthread....&threadid=1875

If you have any questions beyond that, please let me know.

[mmillar]

Jay,

You have explained why eSignal has problems but you don't explain how to fix it.

If I look at a 3 min $COMPQ chart on 30th April at 19:39 it says the close is 1472.11.

If I plot $COMPQ on an 'ES #F' chart (using the efs below) it says the value is 1456.91.

If I plot $COMPQ on an 'ES #F=2' chart is says the value is 1459.93.

Whatever the technical explanations the numbers eSignal is giving are wrong. When I look at them they are wrong. When I backtest them they will produce the wrong results. How can I trust any eSignal data, especially prior to 1st May?

mmillar

[JayF]

mmillar,

Just for review, the issue we are discussing has to do with the way EFS handles overlaid data, and how that overlaid data is affected when the time series has gaps (Zero Volume Bars).

This is a known issue, however it is unlikely to be addressed in the next few versions of eSignal. At this point, I can offer no work-around.

Sincerely,
Jay F.
eSignal Community Support