Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

Tasuki

Corrupt Data on Tradestation Chart. Is This Common?

Recommended Posts

The paragraphs below come from a post I just made to the Tradestation forum. My question to you, my fellow Traders Lab folks, would be--how common is this sort of glaring data corruption? Does it happen with Ninjatrader? eSignal? If so, or if not, please let me know.

 

Here's a copy of my post to the Tradestation forum which is at this link:

https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=98375

....

Please see attached chart.

 

The UPPER chart of GLD is the one that's been on my workspace for years, and I've never questioned its accuracy until today, when I compared the daily volume (chart not shown here) with the volume reported on the 5 minute chart. I started mentally adding up the volume bars on the five minute chart and realized that the total did not come even close to the volume shown on the daily chart. So, I called Tradestation, and we figured out that the volume on the five minute chart was way too low. So, I created a new 5 minute chart on the same workspace (which is the LOWER chart of GLD shown here) and the volume on that new chart was correct, according to the Tradestation tech I spoke to.

 

Question: how can I tell if a chart has become corrupted? For heaven sake, I haven't got time to go through every chart every day and question whether Tradestation has screwed something up and corrupted its data. Isn't there some way for the Tradestation platform to flag a chart that has potentially become corrupted??????? If there isn't any way to do this, then there sure as heck should be.

 

Tasuki

5aa70fd56e3c9_corruptcharthowtotell.thumb.png.d661dc7a869b3134e47906b4762d6f49.png

Share this post


Link to post
Share on other sites

Turns out that my concern was unfounded, thank goodness. It just makes me look like an idiot. Apparently the chart properties got switched somehow so that the volume was measuring tick count instead of trade volume.

Share this post


Link to post
Share on other sites
Guest Tresor

Do the following excercise if you have time. Go to CME website and check daily volumes for a number of instruments.

 

Then compare the volume in TS on daily bars. Quite a number of data feed providers whose data have filtered ticks fail to report volume correctly, e.g. Transact, OEC, etc.

Share this post


Link to post
Share on other sites

Tresor, great idea. Here's an interesting question---does it really matter? What I mean is, if the data providers whose numbers are wrong still provide numbers that are proportional to the true numbers, maybe that's good enough. Think about VSA or Wyckoff analysis---they don't need to know the actual volume, they need the relative volume---today's volume vs the volume two days ago, for example, So (I'm just hypothesizing here) maybe polled or filtered data is good enough, if the filtering is done proportionally. The real problem would be a filtering process that was more aggressive when volume was high or when volume was low. THAT would create a serious problem for the trader, methinks.

Share this post


Link to post
Share on other sites
Guest Tresor
Here's an interesting question---does it really matter? What I mean is, if the data providers whose numbers are wrong still provide numbers that are proportional to the true numbers, maybe that's good enough.

 

Let me give you an example. I checked Transact once; their volume used to be wrong by as much as 30% / 130% / 230% in relation to official volume reported by the exchange. You never knew if one day their volume for FDAX will be 30% of the official volume or 130% of the official volume. The more volatile day the more incorrect the data was for a given instrument. Because of my complaint MC cut off Transact as a supported broker.

 

I also checked OEC forum for developers. OEC IT guys simply do not know how to fix their data feed with regard to volume. And you will find a guy in this forum who keeps on convincing ignorant newbies that OEC data feed is free (true) and very good (very untrue).

 

And funny thing is: a number of different gurus over the internet are posting volume related strategies and base their screenshots and movies of trades on such incorrect data feeds.

 

Either their strategies are wrong, either they are just lucky or they only record a minority of their trades (the profitable ones).

 

Check this site for CME official volume: Volume & Open Interest

Share this post


Link to post
Share on other sites
You never knew if one day their volume for FDAX will be 30% of the official volume or 130% of the official volume. The more volatile day the more incorrect the data was for a given instrument.

Check this site for CME official volume: Volume & Open Interest

 

Tresor, now this is interesting, and significant. If they were always off by exactly the same percentage, that might be OK, but if the percentages change, that's not good at all. It's for reasons like this that I've asked TL's founder, Soultrader, if he could create a forum specifically for discussing data reliability issues.

 

I just checked Tradestation's data (see attached chart) and bless Bess, they got it right.

 

Tasuki

 

p.s. thanks for the link. Very useful.

5aa70fd68113b_volumeES.thumb.png.2ee640f9b016c5dddecfb62495095163.png

Share this post


Link to post
Share on other sites

lol... i've done the exact same thing myself before... tick/volume chart settings are easy to overlook.

 

But like always, when in doubt - CTRL+R.

 

Sometimes the data will go corrupt on your machine and you have to manually delete the cache as well and restart the program to have a fresh new download of the data to your machine but that only happened to me on rare occasions.

 

Cheers!

Share this post


Link to post
Share on other sites
Guest Tresor
I just checked Tradestation's data (see attached chart) and bless Bess, they got it right.

 

You may want to do the last test. It's easy and simple and will give you a definite answer about the quality of volume reported by TS.

 

Make a chart (daily resolution) of any of these Eurex instruments: FESX, FDAX, FSMI, FGBS, FGBM, FGBL. Then go to this website Eurex - Europe's Global Financial Marketplace which displays 15 minute delayed quotes (with volume under ''contracts'') for these instruments.

 

Or make a chart of 1H resolution and then add hourly volumes in Excel and repeat the above exercise.

 

If the volume reported by this website matches (with 15 minute tolerance) the volume on your chart then you should be pretty sure that TS is doing their job right.

Share this post


Link to post
Share on other sites

I walked away from TS years ago disgusted so my comments will be limited. One thing that I saw on e-signal that made me wonder.There would be on the one minute bar volume spikes, then they would reduced to look like normal volume shortly after. I wondered if they were covering the tracks of fund buying.

 

The other thing that I researched at length is spike filters on the broker quote side, and on my platform. They filter out, far out market order fills. They can shape the stats of price OHLC. They can be adjusted on platforms like Quote tracker. Ninja Trader depends on your data feed provider. Backfill can look different than live fed charts. As I wrote else where I have seen large discrepencies for opening gap, closings on day charts. Anyhow good luck.

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • My wife Robin just wanted some groceries.   Simple enough.   She parked the car for fifteen minutes, and returned to find a huge scratch on the side.   Someone keyed her car.   To be clear, this isn’t just any car.   It’s a Cybertruck—Elon Musk's stainless-steel spaceship on wheels. She bought it back in 2021, before Musk became everyone's favorite villain or savior.   Someone saw it parked in a grocery lot and felt compelled to carve their hatred directly into the metal.   That's what happens when you stand out.   Nobody keys a beige minivan.   When you're polarizing, you're impossible to ignore. But the irony is: the more attention something has, the harder it is to find the truth about it.   What’s Elon Musk really thinking? What are his plans? What will happen with DOGE? Is he deserving of all of this adoration and hate? Hard to say.   Ideas work the same way.   Take tariffs, for example.   Tariffs have become the Cybertrucks of economic policy. People either love them or hate them. Even if they don’t understand what they are and how they work. (Most don’t.)   That’s why, in my latest podcast (link below), I wanted to explore the “in-between” truth about tariffs.   And like Cybertrucks, I guess my thoughts on tariffs are polarizing.   Greg Gutfield mentioned me on Fox News. Harvard professors hate me now. (I wonder if they also key Cybertrucks?)   But before I show you what I think about tariffs… I have to mention something.   We’re Headed to Austin, Texas This weekend, my team and I are headed to Austin. By now, you should probably know why.   Yes, SXSW is happening. But my team and I are doing something I think is even better.   We’re putting on a FREE event on “Tech’s Turning Point.”   AI, quantum, biotech, crypto, and more—it’s all on the table.   Just now, we posted a special webpage with the agenda.   Click here to check it out and add it to your calendar.   The Truth About Tariffs People love to panic about tariffs causing inflation.   They wave around the ghost of the Smoot-Hawley Tariff from the Great Depression like it’s Exhibit A proving tariffs equal economic collapse.   But let me pop this myth:   Tariffs don’t cause inflation. And no, I'm not crazy (despite what angry professors from Harvard or Stanford might tweet at me).   Here's the deal.   Inflation isn’t when just a couple of things become pricier. It’s when your entire shopping basket—eggs, shirts, Netflix subscriptions, bananas, everything—starts costing more because your money’s worth less.   Inflation means your dollars aren’t stretching as far as they used to.   Take the 1800s.   For nearly a century, 97% of America’s revenue came from tariffs. Income tax? Didn’t exist. And guess what inflation was? Basically zero. Maybe 1% a year.   The economy was booming, and tariffs funded nearly everything. So, why do people suddenly think tariffs cause inflation today?   Tariffs are taxes on imports, yes, but prices are set by supply and demand—not tariffs.   Let me give you a simple example.   Imagine fancy potato chips from Canada cost $10, and a 20% tariff pushes that to $12. Everyone panics—prices rose! Inflation!   Nope.   If I only have $100 to spend and the price of my favorite chips goes up, I either stop buying chips or I buy, say, fewer newspapers.   If everyone stops buying newspapers because they’re overspending on chips, newspapers lower their prices or go out of business.   Overall spending stays the same, and inflation doesn’t budge.   Three quick scenarios:   We buy pricier chips, but fewer other things: Inflation unchanged. Manufacturers shift to the U.S. to avoid tariffs: Inflation unchanged (and more jobs here). We stop buying fancy chips: Prices drop again. Inflation? Still unchanged. The only thing that actually causes inflation is printing money.   Between 2020 and 2022 alone, 40% of all money ever created in history appeared overnight.   That’s why inflation shot up afterward—not because of tariffs.   Back to tariffs today.   Still No Inflation Unlike the infamous Smoot-Hawley blanket tariff (imagine Oprah handing out tariffs: "You get a tariff, and you get a tariff!"), today's tariffs are strategic.   Trump slapped tariffs on chips from Taiwan because we shouldn’t rely on a single foreign supplier for vital tech components—especially if that supplier might get invaded.   Now Taiwan Semiconductor is investing $100 billion in American manufacturing.   Strategic win, no inflation.   Then there’s Canada and Mexico—our friendly neighbors with weirdly huge tariffs on things like milk and butter (299% tariff on butter—really, Canada?).   Trump’s not blanketing everything with tariffs; he’s pressuring trade partners to lower theirs.   If they do, everybody wins. If they don’t, well, then we have a strategic trade chess game—but still no inflation.   In short, tariffs are about strategy, security, and fairness—not inflation.   Yes, blanket tariffs from the Great Depression era were dumb. Obviously. Today's targeted tariffs? Smart.   Listen to the whole podcast to hear why I think this.   And by the way, if you see a Cybertruck, don’t key it. Robin doesn’t care about your politics; she just likes her weird truck.   Maybe read a good book, relax, and leave cars alone.   (And yes, nobody keys Volkswagens, even though they were basically created by Hitler. Strange world we live in.) Source: https://altucherconfidential.com/posts/the-truth-about-tariffs-busting-the-inflation-myth    Profits from free accurate cryptos signals: https://www.predictmag.com/       
    • No, not if you are comparing apples to apples. What we call “poor” is obviously a pretty high bar but if you’re talking about like a total homeless shambling skexie in like San Fran then, no. The U.S.A. in not particularly kind to you. It is not an abuse so much as it is a sad relatively minor consequence of our optimism and industriousness.   What you consider rich changes with circumstances obviously. If you are genuinely poor in the U.S.A., you experience a quirky hodgepodge of unhelpful and/or abstract extreme lavishnesses while also being alienated from your social support network. It’s about the same as being a refugee. For a fraction of the ‘kindness’ available to you in non bio-available form, you could have simply stayed closer to your people and been MUCH better off.   It’s just a quirk of how we run the place and our values; we are more worried about interfering with people’s liberty and natural inclination to do for themselves than we are about no bums left behind. It is a slightly hurtful position and we know it; we are just scared to death of socialism cancer and we’re willing to put our money where our mouth is.   So, if you’re a bum; you got 5G, the ER will spend like $1,000,000 on you over a hangnail but then kick you out as soon as you’re “stabilized”, the logistics are surpremely efficient, you have total unchecked freedom of speech, real-estate, motels, and jobs are all natural healthy markets in perfect competition, you got compulsory three ‘R’’s, your military owns the sky, sea, space, night, information-space, and has the best hairdos, you can fill out paper and get all the stuff up to and including a Ph.D. Pretty much everything a very generous, eager, flawless go-getter with five minutes to spare would think you might need.   It’s worse. Our whole society is competitive and we do NOT value or make any kumbaya exception. The last kumbaya types we had werr the Shakers and they literally went extinct. Pueblo peoples are still around but they kind of don’t count since they were here before us. So basically, if you’re poor in the U.S.A., you are automatically a loser and a deadbeat too. You will be treated as such by anybody not specifically either paid to deal with you or shysters selling bejesus, Amway, and drugs. Plus, it ain’t safe out there. Not everybody uses muhfreedoms to lift their truck, people be thugging and bums are very vulnerable here. The history of a large mobile workforce means nobody has a village to go home to. Source: https://askdaddy.quora.com/Are-the-poor-people-in-the-United-States-the-richest-poor-people-in-the-world-6   Profits from free accurate cryptos signals: https://www.predictmag.com/ 
    • TDUP ThredUp stock, watch for a top of range breakout above 2.94 at https://stockconsultant.com/?TDUP
    • TDUP ThredUp stock, watch for a top of range breakout above 2.94 at https://stockconsultant.com/?TDUP
    • TDUP ThredUp stock, watch for a top of range breakout above 2.94 at https://stockconsultant.com/?TDUP
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.