Tick Replay File - Dates in Wrong Order

[pawnbroker]

I used the Tick Replay downloader to store the last 10 days of time and sales history of the ES Z3 contract.

I have noticed that the date sequence of the ticks has a problem.

The file header shows the date range exported

; Symbol=ES Z3
; Date=10/14/03-10/24/03

However, the sumary below shows that the date range in the file is wrong. I can't show the whole file, so I have listed the sequence in which the date fields are listed.

031014 <---- Begin at Line 1
031015
031016
031017
031018 <-- Globex Trading on Saturday?
031019 <----- Sun Session Starts
031020
031013 <---- 13 th After 20th
031014
031015
031016
031017 <----- Friday
031019 <----- Sun Session Starts
031020
031021
031022
031023
031024 <---- Ends at Line 1015815


The file was downloaded with eSignal 7.4, Build 608. The example above shows a file downloaded to include trades only, but the same problem exists if both trades and quotes are downloaded.


Notice the the problems include the fact that dates are in the wrong order, that dates are repeated and that one of the dates is outside the correct range (031013) and that some of the dates includes data for a Saturday, when Globex does not trade.


I had hoped to use the file as a source of data for a bespoke backtesting application, but I can't do so until the data is accurate.



Pawnbroker

[JayF]

I just tried to duplicate this on 7.5 build 621, and was unable to. The file seemed to pull in correctly and without overlap. Either this was something fixed in 7.5, or something else is going on here. I would suggest downloading 7.5 when you can and trying that out.

[pawnbroker]

Hello,

I downloaded the ES Z3 contracts last 10 days again today and the problem did not occur.

The file with the problem was downloaded yesterday (Sunday). Do you do server maintenance over the weekend and if so, could that explain the issue?

Thanks

[pawnbroker]

Hello,

I have downloaded some more files today and these have not had a problem with the order of dates.

The only thing that does not work as expected with the downloader is that it downloads more data than requested. With the ES Z3 ticker, if I select to download 1 days data of trades only, the date range downloaded is shown below.

; Symbol=ES Z3
; Date=10/14/03-10/28/03.

This is not a problem for me, but it will be adding load to your servers as more data is downloaded than needed.



Pawnbroker

[JayF]

It should only download 1 day when 1 day is requested. First I've heard of that. Perhaps there is something corrupt in your local eSignal installation, or there is some bug that I cannot duplicate.

Has anyone else seen this?

[ACM]

Jay
FWIW I have run a series of downloads and the number of days downloaded always matches the number of days requested.
This is with both 7.4 (608) and 7.5 (621) on two computers
Alex

[pawnbroker]

It sounds as though something is wrong with my eSignal installation.

At the weekend, I will try installing eSignal on a separate PC to test if I can reproduce the issue.


Pawnbroker

[pawnbroker]

I have not had a chance to install a fresh copy of eSignal 7.4, but the problem with the dates of trades has gone away.

But I am getting a problem on the YM Z3 data, where the volume of trades is always reported as zero. The sample data below shows the problem.

; Symbol=YM Z3
; Date=10/21/03-10/31/03
T,031021,014155,9759,0, <---- Zero Volume on Trade
T,031021,014155,9759,0,
T,031021,014205,9759,0,
T,031021,014403,9759,0,
Q,031021,014406,9773,9794,0,0, , <---- Zero Size Quote
Q,031021,014902,9778,9794,9,0, ,
Q,031021,015035,9778,9793,0,0, ,
Q,031021,015041,9778,9794,0,0, ,
Q,031021,015316,9778,9784,0,0, ,
Q,031021,021346,9779,9784,9,0, ,
Q,031021,021514,9779,9783,1,21, , <-- Quote with Size


With ten days data, all of the trade reports show a volume of zero. The quote reports show the bid and ask size most of the time. It seems that the first quotes of each new trading day do not include a bid and ask size, but thereafter the size is quoted.

The problem with all trades having a volume of zero only affects the YM Z3 data. The ES and NQ Z3 contracts never list trades with zero volume.



Pawnbroker

[pawnbroker]

I should also say that the correct number of days data is downloaded. So that problem has also gone away.

If I ask for 2 days data, I get 2 days worth.


Pawnbroker

[ACM]

Pawnbroker
With regards to the volume issue with YM you may want to check the following announcement
Temporary halt to transmitting CBOT a/c/e trade sizes
Alex