Forex intraday data problem

[AndyS]

Hi Sherri,

Thanks for chiming in with your thoughts on this. I'm thinking that it may relate to a known flaw we have on our list to fix. Previously, this was most associated with electronic traded futures contracts that trade through out the night and is only evident on daily bars.

Let me explain. Each day at 3pm pdt the next day's trading open's up for Forex. Our flaw is that we don't currently have a way for the new bar to start under the next day's date, thus preserving the current day's bar. So the current day's bar get's blown out and a new bar starts updating. Then at midnight a new bar is created under the new day's date. The open will be as of 3pm pdt of the prior day and will incorporate all trades that have happened from 3pm pdt on. The previous day's bar will be updated to reflect 24 hours of trading beginning at 3pm pdt of the prior day. For example, if it's midnight and the new day's date is now Thursday, May 27, then the bar for Wednesday, May 26 will consist of the open as of 3pm pdt Tuesday, May 25 thru the close at 3pm pdt Wed., May 26th.

I hope I was able to explain this clearly. It's the only thing I can think of that is causing the differences users are seeing. I've been monitoring this for the last several weeks and haven't seen any other differences than that I have described.

Andy

[pta123]

AndyS

I first came across a thread discussing this problem in esignal's daily forex charts in Oct 2003. So esignal has been aware of this serious limitation for at least 7 months. Can you tell us when we can expect this problem to be fixed ?

pta123

[AndyS]

Hi,

This one is going to be a tough one to handle. I'm not sure when it will get done. It's not slated for 7.7.

Thanks,

[apex3824]

If you look at 240-min (4-hour) chart, you get 6 bars for each day at (12am, 4am, 8am, 12pm, 4pm, 8pm). If you look at 360-min (6-hour) chart, you get 4 bars for each day at (2am, 8am, 2pm, 8pm). For 480-min (8-hour) chart, you get 3 bars at (4am, 12pm, 8pm). It is not consistent. For 60-min and 120-min charts, bars are OK and strat at 0:00 (12am). But for 360-min and 480-min charts, something is wrong. I would say for FOREX data all bars should starts at 0:00 (12am). For FOREX trading, charts of a 4-hour increment are essential. But this is not the issue, the issue is I would like to see consistency in the software.

[JayF]

apex,

Charts will start at midnight, Pacific Time, and continue through the day until midnight, Pacific Time, where they will reset. If you are in the Eastern Time Zone, then this reset will occur at 3am, and may look a bit strange. Here's what I see right now in the Pacific Time Zone. You can see I have 8 1-hour bars, 4 2-hour bars, 2 4-hour bars, and 1 8-hour bar.

[Sherriyoung]

Open/Close price changes

This past weekend, my associate and I noticed that the closing price changed after the close of the market on Friday at least 3 times (Forex Euro/USD) before the market opened again on Sunday. I realize that the closing may change due to settlements, etc...but the change was significant, and can seriously cause problems when there are multiple changes. Are trades still occurring hours after the close (including Saturday)? This impacts us if we decide to leave a position open over the weekend, and closing our positions can cause a loss of profits.

Someone please help!

[sharky1]

If U' are speaking about CME Forex futures, U' can see my trouble on past threads. No good answer, or logic answer has arrived from eSignal.

[TURLIES]

Hi,
I've been looking at FXCM and Refco and their ability to be used with eSignal. I came accross this quote on Refco's website:

"RefcoFX offers Live Prices via eSignal

Make your trading decisions using real prices. By selecting RefcoFX data from the eSignal forex feed, you can populate your charts with the same executable prices displayed in the RefcoFX trading platform. "

When they say "populate your charts", are they simply refering to the ability to make trades via a Refco integrated trading plug-in while using the normal eSignal Forex data feed, or can eSignal filter the Refco quotes (from the other 200 contributors) and use these quotes for data in "constructing" price charts, so you just see Refcos data on the chart - (can this be done for FXCM aswell)?

Thanks,
Paul

[ScottJ]

Hi Paul,

That sentence is a bit misleading. eSignal's charts can only populate with our own data source, altough the ability to use 3p data sources (like FXCM's feed for ex) is something being considered in the future.

We'll send them a note to improve that description.

Thanks.

[TURLIES]

Hi,
Does eSignal have any updates with regards to improving the quality of the FOREX data (intraday and daily) - using the various approaches put forward throughout this thread?

Would it be a viable option to create a filter which can isolate a single contributors quotes, and these specific quotes can be used to populate the users charts (I think eSignal might be doing a version of this filtering with the Time and Sales on the latest Beta??)?

Thus, eSignal can continue supplying the same GTIS FOREX data with no changes to eSignals distribution set-up, and the addition of a filter in the end-users eSignal software can provide the flexibility for each individual to choose the FOREX data provider which they wish to use for charting FOREX prices.

Also, whats the fastest way to report a FOREX data provider which is supplying bad ticks for an instrument - so eSignal can remove them as a data provider for that instrument?. For example, the contributor BH supplied most of the bad ticks in the GBPCHF A0-FX today.


Many thanks,
Paul

[AndyS]

Hi Paul,

No update to report as yet. We've been busy with getting 7.7 out the door (hopefully by week's end). This wasn't part of 7.7, so not much has been done on this.

I will forward this to our product management group to continue to reinforce the desire for this improvement.

Thanks,

[Python]

Originally posted by AndyS

No update to report as yet. We've been busy with getting 7.7 out the door (hopefully by week's end). This wasn't part of 7.7, so not much has been done on this.

AndyS,

I'd like to put in my $0.02 on this issue. I'm a new eSignal customer and I'm also an FXCM customer. I have a fully automated system that needs good data.

In an earlier post, someone mentioned that the problems with the data have been know for almost a year. As a new eSignal customer, this doesn't bode well for my confidence in your organization and makes me wonder if I should continue to be an eSignal customer much longer. I'm sure other's are wondering the same thing.

As an FXCM customer, I don't particularly care what other data sources are quoting, as I cannot use those prices since my system mostly uses market orders. Because of the bad data, I have entered some losing positions that would not have normally been taken. Also, I have exited profitable positions early (which would have continued to be even more profitable) because the eSignal data was different than what my broker was quoting! In a nutshell, the profitability of my system is compromised.

All in all, I'm losing money that shouldn't be lost, and I'm paying $50 a month for this?!

The ability to use data from only one provider (FXCM in my case) would be the most important feature request that I can ask for right now!

Please try to convey the importance of this issue to upper management so that they make this a top priority!

On a related side note: Would it be possible for a user to write their own DLL that filters out the data for unwanted Forex quotes? I'd be willing to write one if your API might support that. I'd also make it freely available with source code.

[AndyS]

Hi Python,

Thank you for adding to this thread and welcome to eSignal Central! I have already passed on this post to Product Management.

On your related question at the bottom of your post. It may be possible to write a dll that filters out unwanted contributors, but the problem would be in bringing up history. As the history data is stored in it's combined data set, I'm not sure how this would affect what you're trying to do. Even if you were able to store the data locally that you collected, you would not be able to bring it back up into eSignal.

Let me know if streaming live quotes of filtered data is all you need and I will verify with our engineers if it's possible to do.

Thanks,

[Python]

Originally posted by AndyS
Hi Python,

Thank you for adding to this thread and welcome to eSignal Central! I have already passed on this post to Product Management.

On your related question at the bottom of your post. It may be possible to write a dll that filters out unwanted contributors, but the problem would be in bringing up history. As the history data is stored in it's combined data set, I'm not sure how this would affect what you're trying to do. Even if you were able to store the data locally that you collected, you would not be able to bring it back up into eSignal.

Let me know if streaming live quotes of filtered data is all you need and I will verify with our engineers if it's possible to do.

Thanks,

Hi Andy,

Thanks for passing on the message.

As far as the DLL is concerned, history would be very important.

I took a cursory look at the Desktop API and it seems that it would only be good for external applications communicating with eSignal. What I'd like to do is extend the eSignal product by creating a plugin which would act as a firewall (for lack of a better word) when it comes to the GTIS feed. This plugin would then filter any incoming data from your servers, by the user's specifications, before the eSignal product had a chance to act on that data. This way charts, quotes, indicators, etc. would all be using the data that the user wants. In essence, it's the feature request that I wanted in my earlier post.

I'm not sure if eSignal is that extensible from a users perspective, but if it's possible to get the data fixed before management decides to move on this issue, I'd like to try.

[pta123]

Do you know when the problem with the daily bar charts for forex will be fixed ? It is extremely frustrating not to be able to get proper daily charts when the forex markets are active during the Far East hours. Given that this serious flaw has been known for at least 16 months, shouldn't Esignal make some effort to correct it. By the way, I have looked at various forex software aimed at serious traders and Esignal is the only one with this problem.

Originally posted by AndyS
Hi Sherri,

Thanks for chiming in with your thoughts on this. I'm thinking that it may relate to a known flaw we have on our list to fix. Previously, this was most associated with electronic traded futures contracts that trade through out the night and is only evident on daily bars.

Let me explain. Each day at 3pm pdt the next day's trading open's up for Forex. Our flaw is that we don't currently have a way for the new bar to start under the next day's date, thus preserving the current day's bar. So the current day's bar get's blown out and a new bar starts updating. Then at midnight a new bar is created under the new day's date. The open will be as of 3pm pdt of the prior day and will incorporate all trades that have happened from 3pm pdt on. The previous day's bar will be updated to reflect 24 hours of trading beginning at 3pm pdt of the prior day. For example, if it's midnight and the new day's date is now Thursday, May 27, then the bar for Wednesday, May 26 will consist of the open as of 3pm pdt Tuesday, May 25 thru the close at 3pm pdt Wed., May 26th.

I hope I was able to explain this clearly. It's the only thing I can think of that is causing the differences users are seeing. I've been monitoring this for the last several weeks and haven't seen any other differences than that I have described.

Andy