Realtime data different from historical data

[traderghost]

Hi all,

I am using Tradestation 2000i and Global Server together with the eSignal plugin to download historical tick data into Global Server.

After one day of trading with realtime data, I would download the entire day of historical tick data into Global Server, just to be sure, regardless of whether my connection did break during the trading session or not.

However, after downloading the entire day of historical tick data, and reopening the same chart that I was trading realtime with during the day, there appear some differences from the chart during realtime trading. And some bars can have rather drastic differences, even though my connection was never broken at all during the trading session.


Questions:

How is it that realtime data can be so different from downloaded historical data? And my connection was never broken during the trading session.

Could Global Server or the eSignal plugin be causing this inconsistency between downloaded and realtime data?

Any help would be most appreciated Thanks in advance!

regards
Jim

[traderghost]

During live trading session, I have compared the chart from the broker's trading platform to the Tradestation chart which is connected to eSignal. They are almost identical.

However, after I downloaded historical tick data from the same session to Global Server using the eSignal plugin, the Tradestation chart looked rather different from the broker's chart. Some of the bars' high or low can differ by more than 15-20 pips.

Looks like the live realtime data from eSignal is accurate, but after downloading historical data, it becomes contaminated.

Has anyone experienced this problem?

Is this a eSignal plugin problem or a Global Server problem with historical data?

I am using the latest version of the plugin, ver 5156, and the latest build of Global Server.

[demarcog]

Yes Ive run tick replays many times where the the high, low and close values and associated indicator values do not match those found on the historical bar.

[traderghost]

Hi demarcog,

Thanks for sharing. For your case, is the realtime data accurate or your historical data accurate?

For my case, the realtime data coming in is accurate and identical to the broker's data. But the historical data is not accurate. What I hope to ascertain is:

(1) Is eSignal's historical database accurate in the first place? Do they store the incoming realtime ticks as it is in their historical database or do they do some processing to it before storing?

(2) Is the eSignal plugin for Tradestation working correctly when it downloads data from eSignal's historical database? If not, it could easily corrupt the data as it downloads it.

(3) Could it be Global Server corrupting the historical data as it stores it in its own database?

Anyone?

[demarcog]

The problem was when I ran a tick replay that bars that were built during the replay did not match the bars that occurred in realtime or historical.

When I run a tick replay I use a high value for the Speed option and this may be related.

One thing you can check is to look at the contents of the EPF file in notepad during the time period where the tick file is inaccurate and see if it compares accurately with the historical bar.

You may want to run the Download Tick File with the trades only check list and only select 1 days worth of data as the files are very large.

Glen

[demarcog]

Tick Data Incorrect.

Now I finally understand why my tick replay results have never matched a back tester result.

The price data downloaded using tick replay is incorrect, or the historical data is incorrect.

After downloading tick data GOOG, 10 days trades only, two of the incorrect bars are: 10/15/08 tick high 351.74 historical high 348.82. 10/14/08 9:35 tick high 393.83 historical high 387.19. There are many more.

Is there anyway of filtering of bad ticks, if that's the problem or otherwise insuring the data is accurate? I rely very much on tick replays and would appreciate the data being the same as historical.

Thanks,
Glen

[traderghost]

That's precisely my problem! I am not using eSignal's charting software, but Tradestation 2000i. However, I got this problem with historical data too.

Another strange thing I've just discovered is this: I decided to pull up eSignal's charting software to view the past few days data. And the data is accurate! It is the same as my chart when it was receiving realtime data from eSignal, and it is the same as my broker's chart too. So when eSignal's charting software pulls down historical data from their historical database, it is accurate.

But when I used the eSignal plugin for Tradestation 2000i to download the historical data for the exact same trading session into Global Server, my realtime (and accurate) data that was already in Global Server got corrupted!

I can conclude that it is the downloading process that corrupts the data, cause eSignal's charting uses the same historical data from eSignal's historical database (or does it???) and it was accurate. So, is it the eSignal plugin that is causing the problem? Can anyone from eSignal please verify that the plugin is bug-free? Thanks!

[demarcog]

If the problem with downloaded tick data not matching the historical data is not a know issue can the moderator report please report this issue to decelopment.

Glen