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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Feed problem?
Author Topic: Feed problem? (13 messages, Page 1 of 1)

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Apr 21, 2010 11:54 AM          Msg. 1 of 13
Hello,

Is there a problem with JT6T? The data does not seem right.

DTN_CurtisT
-DTN Technical Support-
Posts: 323
Joined: Jun 14, 2007


Posted: Apr 21, 2010 12:19 PM          Msg. 2 of 13
Hello Conr, we are not seeing any problems here with the JT6T.Z currently. What are you seeing with it on your end?

Curtis Thompson
curtis.thompson@dtn.com
Trading Markets Customer Service
1-800-397-7000 x3614

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Apr 21, 2010 12:27 PM          Msg. 3 of 13
I started using it a couple of weeks ago and when compared to NYSE TICK it seems inconsistent. I've heard others question the feed as well.

DTN_CurtisT
-DTN Technical Support-
Posts: 323
Joined: Jun 14, 2007


Posted: Apr 21, 2010 01:02 PM          Msg. 4 of 13
Hello Conr, what inconsistenices are you seeing with it when compared to the TICK.Z? We have not had any reports from any other users having problems with the JT6T.Z today or over the past week that we are aware of. Can you elaborate on what you are seeing on your end so we can understand what you are seeing?

Curtis Thompson
curtis.thompson@dtn.com
Trading Markets Customer Service
1-800-397-7000 x3614

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Apr 21, 2010 01:56 PM          Msg. 5 of 13
conr,
Can you send me a screenshot of what you are comparing JT6T.Z to? I am trying to figure out what could be different other than the fact that we calculate it more often and thus it will give different numbers that other providers.

When comparing the S&P tick to the NYSE Tick (obviously different data/symbols), they trend similarly so I don't see anything glaring. What I am wondering is if this simply is a fact of us calculating this more frequently compared to others. Feel free to send a screenshot to jay.froscheiser@telventdtn.com.

Jay Froscheiser
DTN

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Apr 21, 2010 03:52 PM          Msg. 6 of 13
Look at the candle formations on the sp tick. is that right?



File Attached: TICK.jpg (downloaded 1690 times)

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Apr 23, 2010 10:52 AM          Msg. 7 of 13
Any comments Jay?

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Apr 23, 2010 12:06 PM          Msg. 8 of 13
Yes. We have been reviewing this for the past few days and comparing to other sources. Unfortunately, since we are the only provider calculating and updating this data every second, it is hard to do any type of comparison.

It may be best to first explain exactly how we calculate the NYSE TICK and S&P500 TICK.

Instead of "scanning" the symbols (a process that takes time as the scan sweeps through the symbols), we take a real time snapshot of the net tick for these stocks. This is a much better, and more accurate process. In that exact moment in time of the snapshot, we look at the number of stocks who's last trade was on an uptick vs. the number of stocks who's last trade was on a downtick.

By calculating this data every second, you are getting a more accurate and more current view of how many stocks are currently trading on an uptick vs. downtick. When you take this higher resolution data and apply it to a (n)Minute chart, logic would tell you that the highs and lows will be more pronounced because you now have data that shows tick moves occurring inside of the snapshot period you normally would not have seen (6 seconds, 10 seconds, etc).

The longer the interval bar chart you use, the more the highs and lows will end up "flattening" because you are dealing with a smaller universe of only 500 stocks. During a 5 minute interval, you are more likely to have a large move either up or down by a large percentage of the 500 stocks. You can easily see this phenomenon by comparing a 1 minute to 5 minute chart of JT6T.Z.

If someone has reason to believe we are calculating the tick incorrectly, please provide some details on why so we can look into it further.

I have attached a screenshot that may help explain things further. This screenshot shows the NYSE tick compared to the S&P 500 Tick in both 5 minute and tick intervals. You will notice that they both track a similar trend and the minute data is reflecting accurately the one second tick updates we provide.

Jay Froscheiser
DTN



File Attached: tickntick500.GIF (downloaded 1698 times)

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Apr 23, 2010 12:31 PM          Msg. 9 of 13
thank you for checking this jay.

jmarsh
-Interested User-
Posts: 42
Joined: Jan 10, 2005

Keep it Simple


Posted: Apr 23, 2010 07:38 PM          Msg. 10 of 13
Hello,

For what it's worth I find the faster 1 second snapshot speed to be fantastic. I have used the TICK.Z and JT6T.Z in my trading for years, they are indispensable for me. They have definitely improved with the increase in calculation frequency.

John

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Apr 23, 2010 07:43 PM          Msg. 11 of 13
jmarsh

Does your SP TICK chart candles look like mine? I posted an image above.

Thanks

jmarsh
-Interested User-
Posts: 42
Joined: Jan 10, 2005

Keep it Simple


Posted: Apr 23, 2010 10:00 PM          Msg. 12 of 13
Yes, the data set you have looks fine. I find it helpful to set the scale fixed so that the zero line on these charts is stays at the center of the pane with the pane somewhat wider so patterns can be more easily observed.

John

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Apr 24, 2010 09:22 AM          Msg. 13 of 13
Thanks John. I guess I was used to the candle style on the nyse and was expecting the sp to be similar. As long as it's working properly, that's all I care about.


Thanks John and Jay.


By the way Jay, you guys have a great service/feed.
 

 

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