How does eSignal build the last daily bar?

[clearpicks]

I often found when I started eSignal, the last daily bar on some advanced charts did not show the correct high/low/open prices. Although it did not happen very frequently and it might only happen on one or two symbols on the screen, it made me really distracted because I have to look at the intraday charts to estimate the daily open/high/low to verify the last bars on daily charts are correct. Can someone explain why such thing happens? How eSginal build the last daily bar? It should retrieve historical daily bar sequence from a historical data server and update the last bar data according to the realtime stream data, right? Why did it only show incorrect O/H/L data on the last daily bar? Why did it happen randomly and at relatively low frequency?
Was it caused by data loss or buffer overflow because eSignal was too busy to keep pace with the data incoming burst when eSignal was starting? Even if it could not keep pace, it should be able to buffer the data somewhere and catch up later. Because in most case, I can correct the last bar by ctrl-clicking the "OK" button to force eSignal to reload, it seems not not a server problem and seems more likely an implementation issue on the data manager side. Can someone give me an explaination? Thanks.

- CLearpicks

[eSignal_AveryH]

hello Clearpicks,
The daily bar information below is consistent for users on eSignal version 10. For users running version 8.0 or earlier the daily bar for futures and Forex are truncated with the previous days until midnight local time at which time the new bar will separate out.

Daily bars for stocks consist of the Open/High/Low/Close for the trading day. This excludes any pre and post market trades.

Futures - Daily bar consist of the Open/High/Low/Close for the trading day (Example ES #F 13:30- 13:15 PDT ). The new Daily bar would start at 13:30 (1:30pm PDT) for the next trading day. If there are any trades that would affect any one of the O/H/L/C a second daily bar would be created until the actual trading session starts.

Forex - Since this market does not close the new daily bar starts each day at 15:00 PDT or 14:00 PST



For more info on Forex: http://kb.esignalcentral.com/article...ticle=1422&p=1


AveryH
eSignal Support

[clearpicks]

Hello Avery,

Thank you for the reply.

Your response only explains the starting and ending time of intraday data to build daily bars. It does not explain how the last daily bar is build using both data on historical data server and the realtime streaming data.

I am using eSignal 10. I still can not figure out why sometimes eSignal did not show the correct last daily bar on the chart.
Since I was able to correct the last bar by ctrl-clicking "OK", it seemed not a bad server issue. Since the data transmission error is very very rare especially considering the OHL data of the last bar were still not far away from their correct values, we can almost dismiss the data transmission error as the possible reason. So I suspect that eSignal may has a little bug while merging realtime data to the last daily bar. Be more specific, what does it do if before the requested historical data sequence arrives, eSignal already receives some realtime intraday or tick data? Sometimes if I connected to a bad or very slow server, I saw no historical daily bar except the last daily bar. So I think the last daily bar is build from intraday data untill that trading day is ended and an official daily quote is added to the historical daily database. Anyway, no matter how historical daily data is retrieved, what does eSignal do if some realtime trade data is received before historical daily data is retrieved from the server? Does it correctly merge the temporary daily bar to the last historical bar? Let's denote the OHLC of the temporary daily bar as O0/H0/L0/C0 and the OHLC of the last daily bar received from the historical server as O1/H1/L1/C1. After merger, the OHLC of the correct last daily bar should be
O = O1, H = max(H0, H1), L = min(L0, L1) and C = C0
Does eSignal do thing like this?


- Clearpicks

[radix]

Bad Price Bars

I leave EOD and intraday Advcharts (US Equities) open overnight. Most have one or two .efs studies active.

On the next day's open and for the first 30-60 minutes, 20-30% of these charts require a manual "kick-start to get them updating and displaying correct values.

Sometimes the "kick-start", a toggle of a longer interval, has no effect and incorrect values (usually the previous EOD H or L) are displayed for some time. Changing from EOD to 390 min sometimes works..... sometimes doesn't.

Even closing a given chart and opening a new one using the same symbol doesn't correct matters. Nor does re-opening a given layout.

I can find no consistent pattern to the behavior, nor does it seem to be dependent on the running version.

Is the data being broadcast by eSignal servers ?
Is the data being received, but just not displayed ?
How can this activity be investigated ?

Are the eSignal engineers even aware of this behavior ?