Yoiks!!!

[ljyoung]

Acting on a suggestion from timsk, I am posting some stuff which was posted on another thread: "Technical Analysis Price, (Volume), ...". I hope it will be helpful.

One of the problems with P and V is demonstrated in the attachment. The problem is that unless you do a "continuing" refresh of your data, what you can (and frequently do) end up with is a mess. Has anyone ever noticed a "funny" candle or OHLC/HLC bar? One that for some reason seemed to change from one trace to another. The legend for the attachment is:

(SC = Sierra Charts; IB = Interactive Brokers; TWS = Traders Workstation)
1. SC chart before refresh (to do a refresh with SC you must go the "Edit" tab, scroll to the "Edit Data" line and then set the parameters for a "delete and reload".
2. SC chart after refresh. Check the volume bars and candles closely. There are some major differences between the data sets.
3. IB TWS chart "refreshed" to compare it to the refreshed SC chart of 2. One can do a refresh with IB by simply clicking the "refresh" icon.
4. A repeat of 3.
5. A Prophet chart "refreshed" to compare it to the refreshed SC chart of 2. One can do a refresh with Prophet by clicking the "GO" icon (not shown).

Charts 2, 3 and 5 are quite similar although not identical and are completely different from Chart 1. If your time bar for trading is the 1 minute bar and you don't refresh roughly every 1 minute, you're going to end up with spurious data.

I have spoken with Prophet, IB and SC about this problem and to date the basic answer is "Deal with it". Not surprising. I don't know if this artifact is universal. Try it yourselves. If your raw data vendor has some kind of "auto-refresh" in their software you may not have this problem. I also don't know to what extent tick data is affected by this phenomenon.

For me, this artifact is a total pain but at least if one knows about it one can devise a strategy to deal with it. One can make a decision to alter one's trading strategy if it appears that this problem coyld be affecting their current protocol.

Any input from anyone would be greatly appreciated. TIA.

lj

PS: The attachment has been checked with NAV and is clean.

There are some followup comments on the other thread which may also be useful.
lj

 

[ljyoung]

A followup from last Friday's post. SC has introduced a fix of sorts in its latest version of SC Charts (116). Basically it allows one to do a refresh of < 10 minutes without having to do a "confirm".

lj

 

[alan5616]

Hi LiYoung,

Can you clarify something? Are you using IB's API to service both charting packages?

If place great emphasis on volume data, from IB, for accuracy on which to confirm your trading decisions, then you could be in for a nasty surprise. I was in contact with IB, a few weeks ago, about their volume reporting. You will find the thread somewhere on T2Win. At that time IB were not filtering out the spread trades, which are reported, particularly by the CME. I don't know whether this might apply to all exchanges or whether IB have taken steps to rectify this.

Be careful and good luck.

 

[ljyoung]

Hi Alan5616,

Actually it was your post that got me poking around things volume-wise. I was aware already that candle conformations were "refresh-dependent". SC and IB share data via IB's API. The other vendor I've looked at is Prophet and it has a different data stream. I only trade equities so the "spread aspect" should not be of consequence. Spread betting on equities again should not effect the volume in the way you are alluding to.

I look at volume in a "trading activity" sense and thus am just concerned with the total volume. The total volume numbers I get from IB/SC (via IB) and Prophet are reasonably close both quantitatively and qualitatively. However this is only the case if the charts are "as fresh as can be". By this I mean that you must do a refresh on your chart in the time frame of your trading protocol (1 minute refresh for 1 minute bar trading) or else you will end up with a real mess. If you miss a few minutes (coffee, the john, or whatever) and then come back and start trading again, do a refresh. Prophet says that it takes 1 minute to come up with a "final bar". So for example the 9:30:00-9:31:00 bar is complete at 9:32:00 but I would double check this for your data provider.

Try it for yourself by saving a chart which you haven't refreshed for say 5 minutes then do a refresh, save it and compare the two charts. If they are the same for the 5 minute period - cool. If not you need to work out some sort of refresh protocol or adjust your risk profile or both. If you do neither, you could get screwed.

lj

 

[alan5616]

I can't comment on how the refresh function relates to equities, as I trade futures indices.

I used Sierra charts with IB's data for some months and it seemed to be OK, insofar as price data was concerned. The charts updated tick by tick and I never had to refresh. I now use IQ Feed with Quote Tracker for charting. This combination seems to work well. I have been impressed with the reliability of IQ Feed. On one day, last week, my IB feed kept disconnecting but, IQ never missed a beat.

You might consider taking a free trial with one of the independent data vendors, to see whether this could prove to be a better solution. Also, I think that QT is a great charting package. It is free but, has plenty of adverts all over it. However, for $7 per month, you can have an ad free package. This has to be the best value for money in the trading world(imho).

 

[ljyoung]

Thanks for your input. I agree IQ is a good one but I haven't checked out QT. You're right though @ $7/mo it is a great deal.

lj

 

[ljyoung]

I can't comment on how the refresh function relates to equities, as I trade futures indices.

I used Sierra charts with IB's data for some months and it seemed to be OK, insofar as price data was concerned. The charts updated tick by tick and I never had to refresh. I now use IQ Feed with Quote Tracker for charting. This combination seems to work well. I have been impressed with the reliability of IQ Feed. On one day, last week, my IB feed kept disconnecting but, IQ never missed a beat.

You might consider taking a free trial with one of the independent data vendors, to see whether this could prove to be a better solution. Also, I think that QT is a great charting package. It is free but, has plenty of adverts all over it. However, for $7 per month, you can have an ad free package. This has to be the best value for money in the trading world(imho).

Hi Alan,

Just to follow up on this pain in the butte, I should tell you that like yourself I'm finding the DTNIQ/QuoteTracker combo totally sweet. No more refresh insanity (Yesssss). It's inexpensive, quick and if I might use that obnoxious PC word - robust. I'm indebted to you for your efforts and for passing on the results of your efforts to the rest of us.

All the best in your trading.

lj

 

[ljyoung]

Problem Fixed!!

For those of you who might have been following this walk through the Okefenokee swamp (not to be confused with "A Short Walk Through the Hindu Kush" by Eric Newby [recently R.I.P.] - an excellent read), I am very pleased to post the enclosed attachment. It clearly (as best I can ascertain) shows the fidelity of the DTN data and the attempt to approach said data by Prophet (and as pointed out in an earlier post by IB and hence SC with an IB data feed as well).
These things being so it is in my opinion now possible to talk about affairs of the chart in a meaningful way or at least to talk about the chart.

lj

A little Learning is a dang'rous Thing;
Drink deep, or taste not the Pierian Spring:
There shallow Draughts intoxicate the Brain,
And drinking largely sobers us again.

Alexander Pope, An Essay on Criticism

 

[ljyoung]

There is going to be an audio/webchat tomorrow on ET which could possibly be of interest to those traders of a short term bent. It will be hosted by Don Bright and Maverick74, two credible and pretty straightforward traders. I couldn't really find another place to post this information without opening a new thread. Perhaps the post could be looked upon as being something to help someone avoid "moments of yoiks". If the board moderators think this is an inappropriate post then please remove it. The thread is http://www.elitetrader.com/vb/showthread.php?s=&threadid=80880&perpage=6&pagenumber=1 and it gives instructions on how to access the audio chat.

lj