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Still on the trail of the mystery bogus daily bars...
Howard Bernstein wrote:
> The reason is that the OHLC of a market are reported by the
> exchange. You may have different values during the day as you
> collect the data. Your datafeed may miss a tick or two which turns
> out to be the high or low. In some cases you may get a high (low)
> higher (lower) than the actual high or low of the day. This is
> caused by an X'd out trade.
No, I'm sure that's not it. The high AND the low are off by many
points -- the real high is 10pts above the reported daily high, and
the real low is 10.5pts below the reported daily low. I'd guess that
at least 2/3 of the price action during the day was outside the 1400-
1405 H/L reported on the daily bar. This is more than a few missing
ticks.
Rich Estrem wrote:
> Gary - the daily data has probably been reset and is now showing
> the night session which is part of the next day's daily bar. Be
> sure you set the collect times to occur before today's prices are
> cleared out and reset for nite sessions otherwise daily data will
> be lost. This is a small time window now in lots of cmd's. Often
> the daily data does not match tick data anyway for a number of
> legitimate reasons - but it should be close.
I don't think that's it either, although it seems like a reasonable
explanation given that it seems to be tied to one symbol (ND). The
ND settings are the same as the SP daily-session settings, which I
think is correct. (8:30am - 3:15pm CST, collect daily quotes 5 mins
after session 1, collect daily quotes for 10 mins.) There is no
night session for ND (as far as I know anyway, and the symbol has no
night session turned on) so that shouldn't be it.
And even if that was the problem, why does the daily bar refuse to
accept the edits when I try to change it to the proper values? It's
never done that before.
Actually it's a little different problem than I thought. I just
checked the daily data again. It looks now like it *DID* accept the
OHLC values I entered -- but the daily chart didn't automatically
update like it usually does. A newly-created daily chart shows the
corrected values. So there's less of a problem than I thought there,
but it still doesn't explain why I keep getting so many bogus daily
bars in the first place.
Thanks for the ideas, guys! Any other suggestions?
Gary
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