Tick Download timestamp issue

[Dave180]

I have my eSignal set to Exchange Timezone (nice to see the US indexes finally comply).

But when I save a tick download file the data (trades and quotes) gets time stamped with the local PC equivalent time.

Eg, when I replay an ES tick replay file recorded on a GMT-based PC I see the volume come in at 13:00 to 14:00, not at or before 8:30. Seems like a bug to me?

[eSignal_AveryH]

Hey Dave,

It’s good to see that you are taking full advantage of the software and all of its features. What you have reported in regard to On the Tick Replay is not error.

The symbol $Playback is a special symbol designed by eSignal for local tick replay and is not associated with any exchange. Therefore the only two options available for tick replay are Local Time and Greenwich Mean Time. If you select the Exchange Time option, you will find the data set to Greenwich Mean Time.


AveryH
eSignal Support

[Dave180]

Hi Avery
I'm not quite sure I understand the logic here.

Exchange time is a new option added recently. Why doesn't it apply to tick downloads like the others do?

Having different time stamps makes any subsequent testing somewhat difficult (well, when it is time dependent processing it does anyway). And it means that the data starts at an "arbitrary" time.

It would also be useful if the time zone could be recorded in the file.


BTW, if you download, say, 10 days, then request a smaller number, say 5, maybe because you want a smaller sub-set for easier testing, the second file will still contain 10 days of data. You have to restart to fix that.

[eSignal_AveryH]

Hello Dave,

When you download tick data for playback purposes, the time format for each tick arrives in Greenwich Mean Time and is converted to a time based upon your machine’s local time zone setting before it is saved to file. When you playback this data, the time in the file and your machine’s local time zone setting are used to determine the chart time display. For example, if you download tick data and your machine is set to Pacific Standard Time (GMT -8), you will save data with timestamps -8 hours of GMT. If you set the playback for Greenwich Mean Time, the eSignal application will read the timestamps in the playback file and adjust those timestamps by a factor that represents you machine’s offset from GMT. In this case, that offset is -8. So, if you have a tick with a timestamp of 1:15 PST and you set the playback to GMT time (and your machine’s local time setting is still set to PST), you will see that tick represented in the chart with a 9:15 timestamp.

There is no exchange information recorded in the data file for playback. So, the Exchange time feature doesn’t work for $Playback because the exchange from which your source data comes cannot be derived from the symbol $Playback.

I have spoken to our product management about your suggestion to include information in the download file—such as time zone and exchange time. While I cannot say if these suggestions will impact future revisions, I can tell you that they have been heard.

As for your comment regarding the download of 10 days followed by a download of fewer days for the same symbol—I have tested that and found you are correct. While it only downloads the smaller interval of days again, it continues to keep the other days in memory and write the combined set to the new file as well. I will report this issue.

AveryH
eSignal Support