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»Forums Index »Product Support »Data and Content Support »Data difference between real time & historical
Author Topic: Data difference between real time & historical (7 messages, Page 1 of 1)

cunparis
-Interested User-
Posts: 29
Joined: Jan 1, 2009


Posted: Sep 8, 2010 12:54 AM          Msg. 1 of 7
I've noticed that when I reload historical data, it can be very different than the data I've collected real time. This became apparent to me while using bid/ask data because a small difference in the data can make a big difference in the charts/indicators.

This morning I exported Euro overnight data and then I reloaded it. I'm using Market Delta & IQFeed for this. What I find when I compare the two is that there are extra trades in the real time data. Often they are very much invalid such as an extremely large size. This has a huge impact on any indicators using volume, especially those using the delta of bid/ask transactions.

I'm attaching an example.

This isn't an isolated case, it happens consistently all the time in the markets I follow (Euro, Crude, Dax, Bund). When I look at the differences, they start shortly after I last reloaded the historical data.

This example is from overnight. When the markets are open, there are even more differences. So much so that the bid/ask data is useless.

I am hoping there is a way to correct this problem so that I can use the footprint & delta indicators.

Thanks for your attention in this matter.



File Attached: data diff 1.png (downloaded 1109 times)

cunparis
-Interested User-
Posts: 29
Joined: Jan 1, 2009


Posted: Sep 8, 2010 01:33 AM          Msg. 2 of 7
Continuing my investigation, I now compare my data with tradestation (attached).

Tradestation has the "extra" trades in its time & sales. However they're marked as "below bid" and "filtered from chart". TS reports these trades at 1.2700.

I see a couple possibilities:

1 - IQFeed sends these trades real time as "below bid" and Market Delta interprets them as "at bid" (a mistake in my opinion).

2 - IQFeed sends these trades real time as "at bid" and Market Delta doesn't know anything.

Can someone from IQFeed tell me which is the case?

In both cases, it seems these trades are not present in the historical data.



File Attached: data diff 2 with tradestation.png (downloaded 942 times)

cunparis
-Interested User-
Posts: 29
Joined: Jan 1, 2009


Posted: Sep 8, 2010 07:45 AM          Msg. 3 of 7
I found out that Market Delta will interpret a trade below bid as being at the bid. And a trade above the ask as being at the ask.

So it seems IQFeed is sending the correct data real time and then filtering these trades out for the historical data. Hopefully someone from IQFeed can confirm.

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Sep 8, 2010 11:17 AM          Msg. 4 of 7
Hi cunparis,

I am loooking into the difference. My first thought is they are trades removed by the exchange. But I want to confim that. I will let you know what I find out.

Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Sep 8, 2010 12:39 PM          Msg. 5 of 7
Hi Cunparis,

I just heard back from our Market Integrity dept.
They are implied trades that are recorded as the current value at the time of the trade message. These implied trade messages do not get stored in IQ history, however, that is why you are not seeing it when you recall the data.

Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.

cunparis
-Interested User-
Posts: 29
Joined: Jan 1, 2009


Posted: Sep 8, 2010 12:58 PM          Msg. 6 of 7
Thanks for the quick response. I've never heard of this, can you explain more what it's about?

It sounds like it's up to the software to accept or ignore them. I know Tradestation ignores them for the charting. I'm hoping MarketDelta / Investor RT will do the same as it completely wrecks any volume analysis.

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Sep 8, 2010 01:47 PM          Msg. 7 of 7
Implied trades are part of the "Non qualifying last trades" Here is a defenition I got from Market Interity

Implied is a trade condition. Below is an explanation of how implied trades come about.

Implied IN spread orders derive from existing outright orders in individual legs. Implied OUT outright orders are derived from a combination of an existing spread order and an existing outright order in one of the individual underlying legs. Implied functionality fills in “holes” in the market. In other words, it allows both spreads and outright futures traders to participate in a specific contract where there would otherwise have been little or no available bids and asks. Such implied quotes are critical to building volume in new electronic markets like the NYMEX energy contracts.

Stan S

What we do today, determines how people remember us forever.
Be the positive force in someone life.
 

 

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