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Hi Tomasz,
Tuesday, October 18, 2005, 11:27:23 PM, you wrote:
TJ> Hello,
TJ> See eSignal message board for that:
TJ> http://forum.esignal.com/showthread.php?s=&postid=67394&highlight=930+OPEN#post67394
TJ> http://forum.esignal.com/showthread.php?s=&postid=43787&highlight=930+OPEN#post43787
TJ> http://forum.esignal.com/showthread.php?s=&postid=39837&highlight=930+OPEN#post39837
TJ> http://forum.esignal.com/showthread.php?s=&postid=63549&highlight=intraday+daily+open+close#post63549
TJ> Answer is as follows:
TJ> a) open eSignal application.
TJ> b) compare session start 1-minute bar open with daily open bar
TJ> c) if they are different contact eSignal support
TJ> As to my own opinion:
TJ> There is no 'perfect' source as bad data occur even on exchanges,
TJ> see this http://www.tickdata.com/FilteringWhitePaper.pdf
TJ> Anyway if you are designing the system you should account for slippage.
TJ> If your system brokes down because minor differences in prices it means that it is weak system.
My system doesn't "break down", of course. But there would be
additional slippage over time with eSignal data, I'm sure, because of
this problem. However this would be slippage I would not need to
tolerate, since I do have access to (at least much more often)
correct data.
I'm also sure there is no *perfect* data source, even from an
exchange. But I have five data sources, and four are *remarkably*
consistent -- so consistent I don't even think much about them,
including one other RT streaming service. eSignal, however, has
occasional inconsistent data in different time frames, as you have
explained, and as I finally understand. I guess I didn't understand
the first time you tried to explain it, because, conceptually, I
could not even *imagine* it. I am not a technical person; I am just
someone who siphons off excess liquidity from equity markets. ^_^
Truly, I could not imagine they were serving up different data for
different time frames, or how one would even do that if one *wanted*
to do that.
As I say, it's not a *lot*, but it is showing up repeatedly, and at
least in Tokyo, which is not like NASDAQ, there is little excuse for
not getting the Open and Close correct. There is simply no debate
about what those values are. They are the same for everyone, every
day, no exceptions. And they would (or should) in any
less-than-daily time frame, agree precisely with the daily data, in
Tokyo. Either a data service can nail those values, or it cannot. So
eSignal has what is for me anyway, an issue.
Thanks for the links. I shall surely look at them. And thanks for
pounding the explanation in. I do surely understand what is
happening now.
Yuki
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