Missing history data (AD M5)

[ralan]

I've been developing an EOD downloader program using the ActiveX development kit provided by eSignal. I've been testing
the history functionality and have discovered that some history streams seem to be incomplete. For instance a 30-day history requested for:

AD M5 (Australian Dollar June 2005) is missing the following dates:

3/10, 3/15-19, 3/26, 3/31, 4/1

One or two may have been a holiday I suppose, but missing the entire week 3/15-3/19. And 3/31 and 4/1 were certainly open market days. Come on, give me a break!

Can someone else confirm the missing data, or conversely, can you prove I'm the only one with the problem.

Appreciate any help!

ralan

[AndyS]

Hi Ralan,

I'll pass this on to our QA group to look into. It's possible that there were no trades on this for those days. If in fact there weren't, then those days would be blank. If you were looking at a daily chart, there would not be bars for those days that don't have trades as well.

Either way, we'll take a look and see what we find.

Thanks,

[ralan]

I don't think so...

Uh sorry Andy. I don't buy it. I've been trading futures and comodities for years and have never seen a data series interrupted because the contract didn't trade. There still would have been an opening price and a closing price, even if no one traded in between those two times.

And besides, I just checked the same contract as provided by Prophet Data services and their data HAS NO GAPS.

So this is absolutely an eSignal problem. And it's making me wonder about the veracity of your data. I think you people had better dig in and find out why your history is incomplete.

I will be examining my other data files as well and I'll let you know which others appear to be incomplete.

For the kind of money you charge, we have a right to complete and accurate data and it appears we're not getting it.

ralan

[AndyS]

We found the problem and it's now fixed. Let me know if you see any other problems.

Andy

[ralan]

Market specific problem

AndyS,

Glad you guys found the problem. I'm just wondering if it was specific to Australian Dollar or whether I need to be checking
all my other contract files thoroughly.

Thanks again!

ralan

[AndyS]

While we did fix the missing data on AD M5, we also began looking into what caused the problem. Part of that involves checking other currencies on far out contracts. So far we haven't found problems with EC (Euro), BP (British Pound), or JY (Japanese Yen). However, we did detect a couple of missing days on AD H5.

So, the investigation continues. We'll find what's causing this with AD and implement a permanent fix.

Thanks again for bringing this to our attention.

[ralan]

Good to know.

AndyS,

Thanks for the feedback. I will continue to look for missing data as well and let you know if/when I find any.

Thanks again!

ralan

[ralan]

Continuing the thread...

AndyS,

Here are a few more data problems I found from last nights download. This list is not comprehensive, just a sampling of the problems I found.

6A M4 - Globex Australian Dollar June 04 - NO DATA
6J M4 - Globex Yen Close value came through as 0, open price wrong
SF U4 - Swiss Franc Sept 04 - NO DATA
TY U4 - 10Yr Treasury Note Sept 04 - NO DATA

AD H5 - Australian Dollar March 05 - NO DATA for 4/5 or 4/6 in the
history.

BTW, I just checked the same data series from Prophet Financial and NONE of this data is missing. So this is eSignal's problem.

How am I supposed to trust my computer models when I can't trust the underlying data.

Like I said, this isn't a comprehensive list, just a sampling. You guys still have issues that will fairly quickly cause me to shut off my subscription if you can't resolve them.

ralan

[AndyS]

Hi Ralan,

Could you pm me your CID#? I need that to look at which servers you were logged onto.

As for the symbols below in which you state that you didn't receive any data (6A M4, SF U4, & TY U4), I had no problems pulling up data. Sounds like this is a different issue than the missing days you previously reported.

As for opening data on 6J M4 being wrong. Which day do you see that on? I'm not seeing that here.

Looking forward to hearing from you.

[ralan]

AndyS,

The wrong open was on last nights data. The opening price you quote is not what's in the papers or what I obtained from
Prophet Data Service.

As for the other 3, I definitely did not receive any data for those three contracts.

ralan