Forex intraday data problem

[ScottJ]

Response now posted to the other thread.

Thanks.

[garaujo]

Bad Spikes part II

Again, a new exemple of that spikes.

EURGBP 5 min chart.

What is pretty funny is that the contributor is the same from he earlier post, the BH one.

I think that the problem with the spikes can be fixed in a easy way.

Best Regards

[garaujo]

BAD TICKS part III

Ok, last exemple!

EURJPY 30 minutes chart.
Above reuters feed
Below Esignal feed...

Check the last bars, amazing the diference right?
The BH provider is in all spikes..., ok we discovered one bad contributor, it is just a question of research on T&S.

I ask esignal to really think about removing BN from the contributors list.


Now, how can we trade from that? please take a look to the 5 min chart.

[ScottJ]

Thanks for the examples. Removing a contributor is not as straightforward as you might think. A particular contributor could be a primary player in certain currencies and not in others. While it may make sense to eliminate them in this example, it may not make sense in other examples.

It's also a challenge in terms of filtering on the network side. The differences in these quotes are less than a half a percent, yet they do clearly skew the charts. A big news story could certainly cause a like jump in the market so if we made our filtering too tight, we could be dropping valid quotes.

We do work with our contributors to improve their processes and we will be forwarding all of these examples as well. It's our eventual goal to move as much control to the desktop as possible so users could select which contributors they wanted to follow and omit those that they choose.

Thanks.

[garaujo]

Selecting providers

The ideia of seleting only one of a small composite os contributors is very good. Something like "EURJPY-GAIN a0-fx".

And i belive that it is not easy, but that case os the BH, it keept pricing EURJPY below 135.00 even with the market neat 135.40. and it makes that in every cross. I can assure that to you because i checked that out.

Hope you guys can fix this problem.


Best regards

[c_13]

Thanks garaujo for taking the time to point these issues out. This is very helpful.

c_13

[pta123]

I tried plotting a hourly chart using "EURJPY-Gain A0-FX" but got a " NO DATA" response. What am I doing wrong?

[garaujo]

Naaa

No, that was just an ideia. Instea of having all providers, the possibilitie of grabing only one. For that using sybols like EURJPY-GAIN a0-fx or EURJPY-FXCM a0-fx to select the contributer.

Not possible for now!

Regards

[pta123]

Thanks or the clarification.

[pta123]

ScottJ

Maybe a silly question. But what is the motivation for a contributor to make sure that all of its data inputs are accurate. Do they get paid?
Also if we know a particular contributor consistently inputs bad data in a certain currency, isn't there a way to eliminate his input only in that currency?

[pta123]

I always thought that the problem is the data source that Esignal uses i.e. GTIS Forex. But I just had a look at a competing platform which also use the same forex data source but without the bad ticks in the yen crossrates. There wasn't any filtering on the user's side.

[c_13]

is there progress being made on eSignal's end concerning these forex data issues? Is it getting worse, better or no change?


thanks

[garaujo]

same

ya.. the problems aren't fixed yet.

Many spikes on EURUSD EURJPY EURGBP and all minor

the same BH contributor but many others.

The problem have several months, i don't belive it will be fixed in a couple of days! but hope is that last thing to go away!

Best regards

[c_13]

thanks for the update. I wanted to use eSignal forex data to automate my strategies but can't afford to have these spikes to show up real-time and then try to offset a bad price input. This would definitely through off how my models calculate entry/exit levels. I thought with more contributors one would get a consensus level/price but it seems that the contributors are just throwing everything in there not having any accountability. This is really unfortunate.


c_13

[pta123]

c13

Have you thought about using CME Globex currency futures instead.? I think the data is better and it is less costly than spot forex after taking into account the spreads between bid offer in the cash market.