frequent bad ticks

[Rambo]

It has become a regular event in the past 2/3 weeks that there are two instances each week of bad ticks for $topix-tse and $ni225-nki. This is just enough to keep most indicators in the 60 minute charts from being useful. The bad ticks all came in the form of having data points after the market close, either after the morning session/before the afternoon session, or after the market was closed for the day. The latest bad ticks happened last Friday. Two data points in $topix-tse appeared after the first session of the day and before the second session started. The first session closes at 22:00, US Eastern Time. The second session starts at 23:30. I have reported all the bad ticks through ES bad tick report web page, and talked to the live chat staff. But so far, nothing has been done about the problem.

Thanks in advance if anyone can help to address the issue.

[Rambo]

Bad ticks for Tuesday, July 8

The newest bad ticks: Two data points are displayed for $topix-tse after the close of the morning session for Tuesday, exchange time. (US Eastern time, after 22:00 before 23:30, Monday.)

[Rambo]

Newest back tick: Monday, July 14

A data point was shown for $topix-tse after market closed for Monday, July 14. The extra point is at 1284.50, which is different from the closing price published by the Tokyo stock exchange, 1280.72. The following is the link to the exchange's website.

http://www.tse.or.jp/english/

[jay60]

>Rambo

As I'm sure you know, while the exchange closing time is 15:00,
the last trade takes place a few seconds later. If you look at the T&S for the Topix you will see 1280.72 printed at 15:00:15.
Why 1284.50 is printed at 15:03:23 I don't know. As I don't check this daily, I don't know if this is a usual occurrence or not. In any event though, if you set the closing time on your time template to 16:01, I would imagine that the closing price on your 60 minute chart will always agree with that published by the exchange as the computer (almost) never takes more than 1 minute to execute the closing orders.

[Rambo]

Data at 15:03 or later are not normal

Jay:

Thank you for the reply.

Changing the time template is a good idea that can help to get ride of the data points after the market is closed for the day. But it only addresses half of the problem. There are two trading sessions each day in Asia, one for the morning and one for the afternoon. About half of the extra data happen after the afternoon close, another half happen after the morning close. If within a couple of days' time, there are extra-data both after the morning session and after the afternoon session, then only one of the two can be excluded by using time templates.

The T&S price with time stamp at 15:00:15 is the normal closing price. That is not what I am referring to here in the posts. 1284.5 at 15:03:23 (sometimes the problem data point can have a time stamp at 15:59 or 16:59) is the problem I am hoping E-signal data staff will help to address.

Data at 15:03 or later are not normal. I never saw it when I was using another data service. It happened just a couple of times with Esignal for the year ending just a few weeks ago. It is only within the last few weeks, the problem became a frequent event.

Thanks.

Rambo

[jay60]

Re: Data at 15:03 or later are not normal

Originally posted by Rambo
Jay:



The T&S price with time stamp at 15:00:15 is the normal closing price. That is not what I am referring to here in the posts. 1284.5 at 15:03:23 (sometimes the problem data point can have a time stamp at 15:59 or 16:59) is the problem I am hoping E-signal data staff will help to address.

Data at 15:03 or later are not normal. I never saw it when I was using another data service. It happened just a couple of times with Esignal for the year ending just a few weeks ago. It is only within the last few weeks, the problem became a frequent event.

Thanks.

Rambo

>Rambo

I can only imagine that they just print the data as it's received from the exchange even if it is after hours. I just saw that a Japanese broker posted a price at 16:00 for the Nikkei which also closes at 15:00. There were no quotes for the Topix after 11:00:15 and 15:00:15 today. When there are after the morning close, can't you eliminate them in Bar Editor?

[Rambo]

problem may be caused by data servers

Jay:

The problem for $topix-tse does not happen every day. It happened a couple of times each week in the last few weeks. It is ok today.

The problem could be caused by malfunction of Esignal data servers. It happened a few times that either part of the data were missing or there were extra data after the close only with some data servers, while data displayed on other data servers were ok. In those cases, I logged out and in a couple of times and eventually got the right data by connecting to different servers. The problem could be different at different times. Given the after market price was different from the published price for the day by the exchange, the problem was most likely caused by Esignal data server.

In any case, given the high frequency of the problem recently, I hope Esignal data department will make an investigation and find out what is the problem. As a user, I can only tell there is a problem, but have no way to find out what causes the problem or to address the problem.

If it is a problem caused by the data department at the exchange, I hope Esignal data department can inform the exchange and request the problem to be corrected. Obviouly, as a customer of Esignal, I cannot contact the exchange directly on the issue as I do not have a direct relationship with the exchange and I do not know if the problem is caused by Esignal data server or by the exchange.

Nikkei at 16:00, exchange time, definitely is wrong. It could be the futures, or just a quote of the closing price at 15:00, exchange time. But let me not to have my imagination tested here.

The bar editor only allows the data to be changed in the bar. Bars cannot be eliminated.

Thanks.

Rambo

[jay60]

Re: problem may be caused by data servers

Originally posted by Rambo
Jay:


Nikkei at 16:00, exchange time, definitely is wrong. It could be the futures, or just a quote of the closing price at 15:00, exchange time. But let me not to have my imagination tested here.

The bar editor only allows the data to be changed in the bar. Bars cannot be eliminated.

Thanks.

Rambo

>Rambo

The 16:00 quote is for the index, not the futures. I only mentioned it to show that this type of thing happens with the local Japanese brokers too.

Sorry, by eliminate I meant replace the after hours data on the bar with the correct closing price.

Hope you get it worked out.

[Rambo]

extra-bar is a problem

Jay:

The value of the indicators will be wrong with extra bars with or without changing the bar value to the closing price.

Rambo