Data Integrity - Splits, gaps, spikes, whatnot.

[ckelly]

Something about this symbol.....maybe the Trading Gods just want me to not trade it.
Carol

[bobscott]

Carol,

I see no problems with STR here. Are you re-starting QC6 after market open? I know this is very important to the current QC6 versions. It is not necessary to reboot the computer, just shut down and re-start QC6.

~Bob

[ACM]

Carol
I am not seeing any problems either (see the enclosed real time animation which covers approximately 2 minutes of trading)
Alex

[JayF]

Carol's symptom looks similar to a bug we used to see on QC6 Alpha... where one snapshot is interfering with another snapshot. Do you have something in the 74 range next to STR on a Quote Sheet somewhere Carol?

[ckelly]

Bob - Yes, note my 10:45am post (pic at 10:42) was immediately following a restart of Beta 53.

Jay - Yes, I have PCAR in a quote sheet (current: 74.49)....and STR is not in a quote sheet.

fyi,
Carol

[ckelly]

Jay,
One other thing: PCAR is behaving properly.

fyi,
Carol

[ckelly]

Similar to snowspud13, my volume displayed (5.1.0.21) is also inconsistent with my broker and other resources. I note that not all symbols are way off - but, a significant number are off by a factor of 100%. Example, CME currently shows a volume of 158,768 vs. my broker at 295,800; GS at 2mln vs. 4.1mln at broker; OIH shows 2.8mln vs. broker at 5.4 mln.

fyi,
Carol

[JayF]

Volume Issue

The volume issue is similar to the options volume problem that has been going on for some time on the QCharts feed. For those that aren't familar with it, here's the summary of the problem.

The Continuum server farm is fed by a data feed that has a limited amount of bandwidth for the market data to flow down it. For many years the options data has been intentionally throttled back (trades intentionally removed from the feed) in order to minimize the impact to the exchanges like NYSE, NASDAQ, AMEX, CME, etc.

We are now coming to the point in which the markets have increased in trade volumes so much that throttling back just the options data is not enough. This is causing the number of trades coming through the QCharts network to be limited (seemingly up to 33-50%.) The eSignal network is not experiencing this issue, because it has been increasing its feed capacity ahead of the market volumes. This is one of the major reasons QCharts is moving to the eSignal network.

[ckelly]

Jay,
Here's a quick look at volume comparisons this morning.

Carol

[ckelly]

Jay,
I meant to also point out the Last Price is also different between the two versions. See my last pic.
Carol

[ckelly]

Jay,
Here's another capture about 30 mintues later. Note volume and last/net differences between 5.1, Beta 53, and IB. For reference, 5.1 on mia-14 and I did a complete reboot all the way around before the market opened.

fyi,
Carol

[JayF]

After further investigation, it appears listed stocks (NYSE & AMEX) are not being properly corrected via the automated Volume Only messages. For those that aren't aware of what this is, I'll describe further...

A Volume Only message is sent from the Continuum servers when the volume the Continuum server has been tracking is mismatching with the official volume. Periodically throughout the day, the data feed network will send a summary message that verifies the official Open, High, Low, Volume, etc. If a discrepancy is seen, the Continuum server will synthesize a Volume Only message with the difference in order to correct the volume on QCharts (below is a look at one of these messages.)

For an unknown reason, listed stocks are getting their volumes corrected in this manner. We are investigating this issue.

[ckelly]

Jay,
Here's another shot comparing 5.1, Beta 53, and IB. I included some Nasdaq stocks in this capture and continue to note the differences in Volume/Last/Net between the three. 5.1 on miami 14.

fyi,
Carol

[ckelly]

Jay,
Just to finish out the Last/Net/Volume test for the day:
(1) Note that except for the bottom 4 symbols (on 5.1 & IB), none of the volumes agree. None of the Volumes agree between 5.1 & Beta.
(2) All but one of the Last prices quoted disagree between 5.1 & Beta.
(3) While I've kind of gotten to where if QC prices are within 0.50 of my broker, I just go with it - note the last four symbols and see $5 variance in net and $2.71 difference in Last for CME. Since you have said that the Beta feed is more reliable - it scares me to trade this off 5.1; and yet my Beta charts are too unreliable to consider trading from. What a quandary.
(4) I'm curious why PG shows 4 decimal places in Beta 53.

Carol

[ckelly]

Jay,
With a little more observing, I just realized that Beta is displaying the Last as if All Sessions is checked. (I thought we fixed this some time ago?)

I also note that IB continues to update after the market closes, so that could explain the Last discrepancy with QCharts and some (though clearly not all) of the volume discrepancy.


Looking ahead - perhaps a nice addition to have to the quote sheets would be a "Close" and a "Last" column. The Last would continue to operate the way Beta does now by continuing to update in after market and close would operate the way Last does in 5.1. Actually, that would be helpful to be able to look at a glance and see what's moving.

Carol