Data Integrity - Splits, gaps, spikes, whatnot.

[ckelly]

Jay,
Well, I guess we'll never really know what WY did yesterday. I've checked Yahoo Finance and the WY investor relations and they both show 82.00 as the the high trade for the day. But, if your high end is showing 79.75, well - I suppose we could flip a coin as to what really happened. I guess this is just another one of the exciting things about trading, huh?

Thanks for your efforts!


Carol

[ckelly]

Jay,
Re: CME - Yahoo finance shows its high for today at 574.99, however, I don't find this trade in the T&S. How about your high-end terminal source? Almost $20 difference between the Daily & intraday's is too big to not notice.

Thanks,
Carol

[grunewaj]

Hi Jay,

GES split on 3/13, but my 5.1 charts don't adjust for the split (the 6.0 shows it). My CorpActs.inf file is dated 3/15/07 and there is no mention of GES in it.

Thanks,

Jim

[JayF]

Originally posted by ckelly
Jay,
Re: CME - Yahoo finance shows its high for today at 574.99, however, I don't find this trade in the T&S. How about your high-end terminal source? Almost $20 difference between the Daily & intraday's is too big to not notice.

Thanks,
Carol

555.28 is the high on the terminal system. Quite odd considering this would wipe out about 18 trades. Difficult to say for certain where CME's true high was yesterday.

[JayF]

Originally posted by grunewaj
Hi Jay,

GES split on 3/13, but my 5.1 charts don't adjust for the split (the 6.0 shows it). My CorpActs.inf file is dated 3/15/07 and there is no mention of GES in it.

Thanks,

Jim

GES will be correct by the next business day.

[Larry Marchman]

Originally posted by JayF
555.28 is the high on the terminal system. Quite odd considering this would wipe out about 18 trades. Difficult to say for certain where CME's true high was yesterday.

Jay,

The 555.28 at 10:39 is the correct high, IMHO.

I did some poking around and there was a handful of 100 share trades during the 9:34-9:35 timeframe that were clearly outlier to the prevailing trade range at the moment, and the overall market range of approx 552-555 during those two minutes. They were more representative of the range premarket at 8:30ish. The 574.99 (two trades...a 100 and a 200 share) is clearly rogue. The trades appear in eSignal feed, and distort intraday and daily charts. QCharts has them filtered(or they never showed) intraday. The 574.99 never showed as trades in QCharts, but rather as a single High message insert(see attachment).

So, whatever this mysterious high end terminal you mention is, they got it right, IMHO. If not directed to do so already, the QCharts data fixer should be told to make the adjustment to the QCharts Daily bar for a High of 555.28 on 3/15/2007. For Qcharts no intraday fix is required.

For eSignal, they need Daily bar and intraday repair...again IMHO. If interested, the suggested intraday repairs for eSignal can be viewed HERE

LAM

[JayF]

Thanks Larry. CME has been adjusted on both networks to reflect the 555.28 High.

~Jay

[Larry Marchman]

Originally posted by JayF
Thanks Larry. CME has been adjusted on both networks to reflect the 555.28 High.

~Jay

Thanks Jay,

I see the 555.28 in QCharts.

FYI regarding eSignal database...
They cleaned the RTH intradays that I suggested.
But Mr./Ms. ?? laid in a Daily bar High of 558.92, rather than 555.28.
The 558.92 was a pre-market trade at 8:29:08, in with other's in that range at the 8:30ish timeframe.
Mr./Ms. ?? needs to understand that a Daily bar High is a RTH High.

LAM

[wksea]

5' chart data

yesterday I noticed that my 5'min charts show no data between 3:40 pm and 3:55. I thought this might be corrected overnight but I see the problem is still there. I am not running the beta version.

[ckelly]

Typically, I'd wait until the market closes - but this one is so obvious - maybe it could be fixed now?
Thanks,
Carol

[JayF]

Originally posted by snowspud13
yesterday I noticed that my 5'min charts show no data between 3:40 pm and 3:55. I thought this might be corrected overnight but I see the problem is still there. I am not running the beta version.

The data feed that feeds data to the Continuum network experienced problems on the NASDAQ feed during that time. All servers were affected, so this gap will not be able to be filled in.

[bobscott]

I think we might have a clue why Carol is having so much trouble filling charts if there are a number of high multiple (390) minute charts. Filling these charts takes a great deal more data and CPU than say a daily chart.

~Bob

[ckelly]

Bob,
I don't typically run a 390-minute chart (unless QCharts is having a bad day and I can't get a Daily chart to populate or sometimes some indicators will not populate on a Daily chart).

My posting shows a Daily and 390-minute only for illustration (390 minutes in a market day and so the OHLC should all be the same). In this case, the data just doesn't match. My intraday's are moving up and the Daily chart here is big red.

In 5.1.0.21, my charts populate just fine. In the Beta 53, however, I see a very lengthy delay between a Daily and 60-minute chart. The workspace I use in Beta is very, very small (5% the size of my production workspace) and I only run 3 or 4 charts, BB's, a few mva's and rarely indicators and, there, it is not uncommon to wait 5 minutes for charts to populate. For me, it is a Beta thing - not a production thing.

fyi,
Carol

[ckelly]

Jay,
Just for curiosity, I took a look over on Beta 53 and the STR candles match Daily/intraday. hmmmm

fyi,
Carol

[bobscott]

Carol,

It's good to know that you are not making things worse by normally charting 390 minute charts.

I looked at this problem in detail and it appears the Continuum feed (QC5) missed the first trade ($89.52) and picked up the second trade ($87.95). The data feed for QC6 is more accurate than the feed for QC5.

Regards,

~Bob