when will we have reliable tick charts?

[dberliner]

here is an example of what I'm talking about.. this goes to show that the tick charts are not accurate even with highs and lows.. not to mention, bar close,high,low etc. which ofcourse gets distorted if volume data doesn't stream in correctly...

everytime after a trading day,if I reload ,the volume chart will look differently.. sometimes a second reload will get another result again.. very slight differences, indeed, but they are there...

on image 1 ,which is a volume chart , low yesteday between 15:57 and 16:00 EST is 612.30

[dberliner]

on image 2 , which is a 3 minute chart , low between 15:57 and 16:00 is 612.20


this is just a clear view of a problem.. but it happens on countless bars, with closing data ,opening data.. and everything else..

as someone who relies on very specific entries, this is a problem I can not endure..


Thanks for help,

Dana Berliner

[Anson]

Hi,

I have also noticed this problem with the volume charts. A reload sometime later will reveal that the charts have changed somewhat. I'm not sure why but I think it's got something to do with how they redraw the bars based on updated volume.

[dberliner]

I understand what you are saying , Anson, but remember that the volume does not change in retrospect. Why can't we have accurate volume charts in realtime as we have them in minute charts?
I realize minute charts require less resources.. because it only measures generic intervals , without a need to draw bars based on heavy or low traffic... however, this problem makes backtesting worthless.. because a strategy can become a whole lot different , even worthless, if you enter trades and base your stops on wrong information...

I find that I base entries in a wrong fashion after a reload at the end of the day... a few ticks here or there is the difference between a winning strategy to a losing one..

How come a second reload also might change the charts once again? It's data from Esignal's server now and not cached data on my machine...

[Anson]

I definitely agree with you on the problems. Having to reload tick/volume charts itself is painful since it seems to take so long. Having to reload them multiple times is even worse!
I have no idea why eSignal tick/volume charts seem to change on reload.

I tried the Ensign trial and it seemed to change on reload too but less so. Was playing around with volume bars of 50k. Instead of leaving some bars at 34k for example at EOD, it would move 16k more vol into that bar from the current bar to fill it up to a full 50k vol bar. This could only be seen on a refresh however. But once that 34k bar has been filled to 50k vol... there don't seem to be any further changes. I do like the idea that each bar shld be 50k... regardless if that vol traded on that day or not.. current vol should shift to fill prev bar if it isnt its designated size yet.

Ok.. that's another issue altogether but I suspect that the issue could stem from the eSignal software's method of working out those bars rather than a data issue. Just imho.

In fact, your issues are exactly why I'm still sticking to minute charts. Otherwise, volume charts look very interesting.

Hope eSignal can look into this.

[DionLoy]

eSignal does not currently process Cancels/Insertions/Deletions in realtime. If you have tick charts that build up in realtime, they incorporate the realtime data as it comes down from our servers.

Depending on the symbol or exchange, a number of times during the day the exchange will send Cancels, Insertions or Deletions for trades that had happens previously during the day.

This could explain why when you reload the charts, if there were some CIDs during the realtime portion, it could reveal a slightly different chart as some trades may have been changed after the fact by the exchange.

[Anson]

Dion,

Thanks for the explanation.

[dberliner]

Dion,

I think Esignal seriously has problems regarding tick charts, and your answer does not satisfy me.. here is another pictures example I took this morning of my charts with my indicators on..

First Picture was taken 5:02 AM EST ,and the second was taken only 4 minutes afterwards.. and there were already changes between reloads.. are you saying that during exactly those 4 minutes Esignal received a bunch of CID's? that is ludicrous.. as it happens all the time, during all hours , whenever you reload.. so a CID excuse , is just that.. I'm sorry if I might sound a bit angered..but I don't think you are addressing the problem here..


notice on that chart the bar closed at 1.2931 and had a low of 1.2931.

also notice my indicator ,which is CCI 14 (and is affected by the price bars) has a value of -111 at bar close.

[dberliner]

now ,look at this second chart,after a reload, taken only 4 minutes later (!!)

now that same bar actually is revealed as a bar who actually closed a second earlier ,at 1.2932 on the euro and had a low of 1.2932 also.
notice my cci value at the supposedly same bar, now at -103.
notice a few bars back and a few bars forward also look different , some who had wicks , now have the wick at the other end, some now don't have a wick at all ,etc. (the most recent bars keep changing until there's a reload that ,at some point back, will get all the missed out tick data , I presume).
these may seem as small changes, but these are changes.. and they affect the way I take decisions... and I can not accept them.. all these bars that were changed just on this very small part of the day , in pictures that were taken 4 minutes of each other.. were not the cause of CID's !

this is just one example of a problem that happens on all tick and volume charts, on every market instrument regardless of time of day, or regardless if the reload came 3-4 minutes later as shown.. the fact is esignal is either missing some tick data which is adjusted later on, or something else is happening here.


P.S.

had I not reloaded, this would ofcoure create a domino affect , because the previous bar with wrong opening and closing time and prices, would cause the ones that come afterwords to have incorrect data too, and 40-50 bars later you would have seriously incorrect bar info unless reloaded every couple of minutes..

[Anson]

Hmm... I agree with Dberliner.

I had noticed this problem several times before but had not attempted to reload my charts to confirm the issues often. I still mainly rely on minute charts and hence thought the CID thing made sense.

But looking at her images, I would agree CIDs shouldn't be making a difference every single reload, especially 4mins later and after the market has closed.

Hope eSignal can look into this. I have avoided using volume and tick charts for precisely this reason - they remain inconsistent.

[JayF]

This is caused by the way eSignal handles the loading of historical chart data and how it builds charts in real-time. This has come up before, and the clearest explanation can be found at http://forum.esignalcentral.com/show...rver#post58918

[DionLoy]

Let me look into this a bit today, thnx.

[dberliner]

thank you, Dion, please update us!

For us as end users we have no idea if the data comes from the Data Manager or the server (as ambiguously explained in the thread Jay has pointed us to) ,and first explanation was related to something entirely different ,CIDs.. clearly it at least deserves some checking.

Logic says that if you can have correct minute charts no matter when the user turns Esignal on, and remain correct throughout the day.. it can be done so with tick data too.

Thank you!

[DionLoy]

dberliner, in your first chart, did the bar you highlighted appear AFTER you had initially loaded the chart?

ie, did you type in the symbol and hit enter before the timestamp on that bar?

Or does it look different each time, if you keep reloading it a 3rd, 4th, 5th time, etc.. ?

If so, we may have a solution, but it will not be until later versions. If you had entered the symbol, and that bar was built up using realtime data as it ran during the day, then it falls under the analysis of the situation that Jay Frank posted.

We do have some much better handling of the historical vs realtime boundaries in tick data in 7.9, but it's currently only implemented in the Time & Sales window. For 7.9.1 or possibly 8.0, we will be making the same modifications in the Advanced Charts for tick intervals in order to eliminate those differences as much as possible.

[dberliner]

well,the very first chart I posted on this thread was over 5 days ago, so I'm not sure.. I think though that I first reloaded, and it's not realtime data...

the problem is mainly with realtime data, and with reloads that affect the most recent bars...

If It is, say,1 PM,and I will reload, I will mostly see changes for the most recent volume or tick bars, maybe 15-20 minutes back at most,depends on how many bars there were.. the bars around 10 AM , in that example ,enough time in the past, will tend to remain the same.

sort of constant reshuffling of the bars and reloading that has to be done, until you get a stable bar after a couple of reloads (again,that stable bar is like 20 to 30 bars ago), and you know this one is true to CME data.
This ofcourse means, a trade you are trying to take in realtime is by now obsolete...

Thank you,

Dana Berliner

PS. looking forward to see improvements in the next versions