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List,
Today I made a chance observation with respect to a data 'discrepancy' in my
system. What I 'saw' was a difference between data for which I had hard
copy values recorded close to the time at which they had been received in
real time from eSignal and what I now see stored in my data base for these
values. I would not have noticed this if I had NOT had the hard copy numbers
to look at. To be specific, the first observation concerned data received
via eSignal into TradeStation 2000 on 8/3/2001 (last Friday) for $ADV, the
number of advancing issues on the NYSE. The data are for a 60 minute chart
using natural hour bars. Here is the 'comparison'':
'Close' DATA for 8/3/2001 for $ADV
Hard Copy Currently in data base
0700 1091 885
0800 1149 904
0900 1232 1064
1000 1242 1201
1100 1265 1214
1200 1228 1250
1300 1206 1397
1315 1197 1426
Once I saw this I went back to other data for this ($ADV) 'price' series. I
did NOT do a systematic check so I do not yet know the extent to which this
shows up in my data base. BUT I see enough incidences where this is the case
to have my confidence in the data I use with TradeStation really shaken. I
HAVE seen enough to know that I am not 'seeing things' and that I am not
having a 'psychotic episode'. Thinking about this, I have concluded that the
only way I would have observed this is to have hard copy data recorded close
in time to when the data were first received AND to have the data currently
still residing in my data base. In my case, this is not true except for a
few isolated cases. I DO have some hard copy S&P futures H/L/C data
coincident with the $ADV data. These S&P data in the data base DO agree with
the hard copy data for the dates I have looked at .. BUT I have not done a
systematic look at this side of the issue yet .... nor have I gone through
all the $ADV data for which I do have both hard copy data and currently
stored data to compare. I AM very interested in trying to 'understand' just
what the hell is going on though. I need my confidence back!!!
I have scratched my head over just how such a situation might arise. One
thought was that modifying the original data through the importing of
'refresh data' from either the TradingTechnologies site, HistoryBank or Mark
Brown's site might possibly contribute. In my case I do NOT generally
'refresh' intraday data from any of these 3 sources. I DO routinely download
certain symbols, indices and futures/stock data, from one or the other of
these sources for symbols which I do not track on a daily (real time) basis.
I DO sometimes 'refresh' intraday data when I have had an 'outage'. That has
been, fortunately, a rare occurence in my case. In the case of Friday's
data, I did not do ANY download ..... because I could not connect with the
HistoryBank server and did not go to the other sites. So I am pretty
confident that I am seeing a real difference between data recorded in real
time and those which I now see in a chart and data window. At this stage I
certainly cannot rule out (or in) the possibility that these observations are
unique to me and my 'system'. For the sake of you others out there, let it
be just me <g>.
Now what to do? Any suggestions from you good people on this list would be
much appreciated. One thing that I have thought might be a useful next step
would be to compare data from one or more of you folks with the data in my
data base and those for which I have hard copy. How to do that? I think the
best way to do that would be to look at data from (a) 'volunteer(s)' in the
form of your data 'exported' to an Excel file with H/L/C S&P futures data and
$ADV data from a 60 min. natural hour bar chart. I could then do the same on
my side and then combine the data and very efficiently look for any
differences between the data you send me, data from my database and hard copy
data which I have. To keep it within bounds at this time, data for the Sept
S&P futures and $ADV for July and August to date would to me to be sufficient
as a starting point. Again, to be specific I am using EXCEL 2000 (9.0.2720)
to try to front run any potential EXCEL spreadsheet compatibility problems. I
am using eSignal for data with TradeStation 2000 (sp5). To keep it apples to
apples, it would be best I think to initially at least look at data
accumulated on as close to identical data accumulatioin set ups as possible.
ANY thoughts anybody has on this issue would be greatly appreciated ... and I
hope none of you have this problem. Like I said, it sure shook up my
conficence in my data accumulated with my current set up.
Regards,
Lee Scharpen
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