Forex intraday data problem

[pta123]

I have a range of 1.2425 to1.2398 for the 0900 GMT hourly bar and a close of 1.2398.

[garaujo]

FX spikes

about that spike issue.... just an exemple of today session. Eur-Jpy

I think i don't need to tell anything else

[gtilahibaks]

Forex data

I would like to ask the esignalpeople to take a good look at these problems as more and more customers are complaining about the forexservice.
The problem isn't new considering the posts here!!!

Thanks in advance

G.

[garaujo]

EURAUD SPIKES

Ok, a last exemple of the really bad spikes on the minor crosses.

If you look at the picture below, you can find several spikes on 60 min chart. I isolated one of them, the red arrow one, and went into the T&S. Look what i found...

It is really easy to locate the provider of the bad quotes... i said this to esignal support but... no answer until now and i'm a client for at least 8 month.

i can give 1 milion exemples like this one.

[ScottJ]

While we look into this situation further, some of you might find it useful to experiment with the Price Filtering tool (right-click in the chart, choose Tools, then Price Filtering) so the spikes aren't included into your averages or other calculations. Here's an example of the price filtering enable for 90/80 on the EURADU A0-FX. The blue spikes are being filtered from calculations, although still viewable.

[garaujo]

Yes, correct but

Although it is possible to filter intraday charts, the daily don't work like that. That is a tool that corrects the problem in our end, and it should be handeled in esignal servers.

My sugestion is to start taking out some of that contributors (BH and others) from the servers. that sould solve that major problem.

I can live with some spikes, but not with all the time spikes. The Eur-Aud is unreadable.


BEst Regards

[c_13]

what kind of accountability do the contributors have? ie. are the prices they are submitting/advertising able to be dealt upon?

What sort of process (if any) do these contributed quotes go through. Are they averaged together? How is this handled?

thanks,
c_13

[garaujo]

Naaa the are only quotes... just level prices not deal prices.

Esignal handels quotes like Reuters, Telerate or bloomberg.. Each one give their price and it doesn't need to be in the current market level. That is way we have so bad charts in the minor crosses.

The difference in Reuters and Bloomberg is that the quote providers know they need to be good. Some Reuters terminals have the abiliti to "grab" the prices of them and trade that price. The non tradeable terminals uses +/- the same prices. Anyone how have access to a bloomberg or reuters terminal will see the big big difference between esignal chart and real charts. Even in some major crosses!

Best Regards

P.S. hope this posts can help in some manner Esignal to improve the FX service.

[c_13]

this news is discouraging. How is one to implement an automated forex trading program on data which is all over the place. Even if one utilizes a confirmation step intermediary -- what is the point? What is being done to remedy this?

[Bob A.]

I'm trying to bring up the Euro Cash using the symbol EUR A0-FX (with the 0 being a zero) and keep getting "no data" on my quote sheet. I've talked to eSignal Tech Support but they were not up to speed on Forex data. Do I need a special subscription for it? Assuming I get this solved, does anyone know what the update frequency is ( i.e. realtime or only every so many seconds like many indexes are )? Is there volume with it and if so does it represent just ticks or actual volume traded? I want to use the Cash in conjunction with the Dollar Index in trading the Euro FX futures ( 6E #F ). Finally, does anyone know if the 6E #F intraday "volume" is showing the number of trades (ticks) or true volume of contracts traded like the ES? TIA

Bob A.

[ScottJ]

Hi Bob,

You do need to subscribe to Forex data. It's an extra $50/mo. Bid/Ask updates are in realtime although the frequency varies according to the market conditions. There is no set interval, as is established for certain calculated indicies. The volume represents the # of updates, not true volume.

Thanks.

[Bob A.]

Hi Scott,

Thanks for the info on Forex. I also asked about whether the intraday " volume" on the Euro FX ( 6E #F ) is trades (ticks) or the actual number of contracts traded like the ES and NQ. Can you help me out on this as well?

Regards,
Bob

[ScottJ]

Hi Bob,

Here's an easy way to tell the whether the intraday volume is tick count or total contract volume. Simply open up a Time and Sales window and see if the "size" column is being filled-in. If it's blank, then the volume shown in a histogram is tick count. If it's being filled in with #'s ( like 1, 2, etc ), those are trade sizes. In the case of 6E, it's the latter.

Thanks.

[Bob A.]

Hi Scott,

Thanks for getting back to me on this so quickly. For 6E the good news is that my volume-based indicators will be more accurate. The bad news is that there's not as much liquidity as I'd hoped. Can't have it both ways!

Regards,
Bob

[MartinWood]

Volume query

Please could someone look at my post in the "Synchronization of servers" :

http://forum.esignalcentral.com/showthread.php?s=&threadid=7246

it relates to intra-day data also.

Cheers,

Martin W