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Michael Charness wrote:
> I've long since upgraded to TS4, but I'd be interested
> to know the nature of that bug, since I know other traders
> who are still on 3.51.
There also have been private requests for the same information, even though
I just commented about the problem on the list a few minutes ago.
I posted the message below to the Omega list August 12, 1996. Someone asked
about the problem late in 1996, so I posted the same message again then.
That drew angry fire from some who thought the Omega List shouldn't be used
to discuss Omega product problems. I don't understand why not, so I am
posting the message again to answer the recent questions. Click your delete
button if you are not interested.
---------------------------------------------------
August 12, 1996
Re: A Serious TradeStation Problem
For years we have noticed intermittent problems with TradeStation. Trading
signals that occurred on a Friday have sometimes disappeared from charts the
following Monday. Trading signals that did not come during real-time trading
on Friday sometimes mysteriously appeared Monday morning on Friday chart
bars. Trading indicators also sometimes have been different on Mondays than
during real-time trading the previous week. We have faxed and emailed Omega
tech support many times with trade listings, price data listings, Easy
Language programs that demonstrate the problems, and detailed technical
explanations. Until recently they have either ignored that correspondence
or have tried to brush the problems aside with silly explanations of things
that could not possibly be the cause.
We grew increasingly disgusted and finally sent an email a few days ago that
could not be ignored. Bill Cruz duplicated the problem on the TradeStation
3.5.10 system in his office and discovered we were right. All versions of
TradeStation prior to Version 4 have had a very serious flaw Omega hasn't
known about that causes trading indicators and trading systems to be
intermittently wrong.
Bill Cruz got their programmers working on it and within a few hours they
discovered the cause. The TradeStation charting program checks the symbol
portfolio in the Server to find the days of the week individual markets are
open whenever charts are created or reloaded. However, a program flaw
causes data items to be generated in memory for the day in which charts are
created or reloaded, whether or not that day happens to be a trading day.
Consequently, if a chart is created or reloaded on Saturday, Sunday,
Christmas, or any other trade holiday, open, high, low, close, volume and
open interest data is created for that day in memory, even though the market
is closed, and that data remains in memory until the chart is deleted, the
page it is on is closed, or the charting program is terminated. Load
TradeStation charts on a Saturday and there will be Saturday data in memory
for each symbol charted. It is that data in memory, not the data in the
database on your hard disk, that is used by trading indicators and trading
programs.
The problem is very serious, because almost all trading indicators and
trading systems rely on past data. A five-day moving average on Monday, for
instance, will include data for Saturday through Tuesday, instead of Friday
through Monday, if TradeStation was restarted on Saturday. If you have a
trading system that looks at the open, high, low or close three days back,
it will use Thursday's price on Monday, instead of Wednesday's, if the chart
was created or reloaded Saturday or Sunday. The problem affects almost all
trading indicators and trading systems, because they almost all reference
past prices.
We usually had noticed trading indicator and trading system changes on
Mondays. We know now that has been because we take TradeStation down each
weekend to back up and compact the hard disk. Whenever TradeStation is
restarted on a Saturday, Sunday, or other trade holiday, almost all trading
indicators and trading systems will be wrong far into the future.
The problem causes trading systems to buy and sell when they shouldn't, and
to not trade when they should. It causes trading indicators most of us have
spent countless hours studying to be different in real-time trading than in
back-testing. It is incredible that it has taken so long to get Omega to
recognize and identify a problem we have been documenting for them so long.
There are two fixes. Bill Cruz says one is to upgrade to Version 4. We
upgraded to Version 4.02.36-7/29/96 Build 16 over the weekend. The problem
seems to be gone, but we haven't done enough testing to be sure. The other
fix is to close and re-open each page during a trading day whenever
TradeStation has been restarted, new charts have been created, or pages have
been opened on a trade holiday. For instance, if the TradeStation charting
program was restarted Saturday or Sunday, each chart window must be closed
and reopened on Monday before trading indicators and trading systems will
work as intended. That is a poor solution, but far better than losing money
in the market.
Many of us have done lots of trading indicator and trading system
development and backtesting on weekends and during other trade holidays.
Any indicator or system tested on a trade holiday with any version of
TradeStation prior to Version 4, will not work in real-time trading as it
did during the holiday testing. That is something we all need to be aware
of and concerned about. It is a very serious and potentially costly problem
.
The ASCII price listings below demonstrate the problem. They are September
96 silver futures (SI U6) prices saved to file from the TradeStation "Chart
Status" window. The first listing was produced Monday, July 22nd. The
second listing was produced Friday, July 19th.
As you can see, the listing produced Monday shows prices for Sunday, July
21st, when the silver futures market was closed. As you also can see, the
second listing shows prices for Sunday, July 14th, when the silver market
was closed. Note the Sunday, July 14th, prices disappeared on Monday, July
22nd.
Produced Monday, July 22nd:
--------------------------
"Date","Time","O","H","L","C","V","OI","Volume","OI"
07/01/96,1425,504.5,512.0,504.0,508.2,16662,59978,16662.00,59978.00
07/03/96,1425,511.0,517.5,510.0,513.0,8291,58109,8291.00,58109.00
07/05/96,1425,514.5,517.5,510.0,513.0,11944,57666,11944.00,57666.00
07/08/96,1425,515.0,520.0,504.5,506.7,14002,58662,14002.00,58662.00
07/09/96,1425,506.0,516.0,501.0,511.5,12724,57257,12724.00,57257.00
07/10/96,1425,511.5,518.0,509.0,511.5,12665,57518,12665.00,57518.00
07/11/96,1425,512.0,516.0,510.0,514.5,13697,59921,13697.00,59921.00
07/12/96,1425,514.5,516.5,511.0,514.2,7961,59947,7961.00,59947.00
07/15/96,1425,514.5,517.0,507.0,516.5,12278,60151,12278.00,60151.00
07/16/96,1425,517.0,518.0,493.0,494.3,34546,64756,34546.00,64756.00
07/17/96,1425,495.5,500.5,495.0,496.0,18231,65019,18231.00,65019.00
07/18/96,1425,497.0,502.0,494.0,500.0,9256,66236,9256.00,66236.00
07/19/96,1425,501.0,505.0,496.0,496.5,9256,66236,9256.00,66236.00
07/21/96,1425,500.5,500.5,498.0,499.0,9261,66236,9261.00,66236.00 <--
Sunday
07/22/96,1425,500.5,501.0,496.5,499.0,15346,67304,0.00,0.00
Produced Sunday, July 21st:
--------------------------
"Date","Time","O","H","L","C","V","OI","Volume","OI"
07/01/96,1425,504.5,512.0,504.0,508.2,16662,59978,16662.00,59978.00
07/03/96,1425,511.0,517.5,510.0,513.0,8291,58109,8291.00,58109.00
07/05/96,1425,514.5,517.5,510.0,513.0,11944,57666,11944.00,57666.00
07/08/96,1425,515.0,520.0,504.5,506.7,14002,58662,14002.00,58662.00
07/09/96,1425,506.0,516.0,501.0,511.5,12724,57257,12724.00,57257.00
07/10/96,1425,511.5,518.0,509.0,511.5,12665,57518,12665.00,57518.00
07/11/96,1425,512.0,516.0,510.0,514.5,13697,59921,13697.00,59921.00
07/12/96,1425,514.5,516.5,511.0,514.2,13697,59921,13697.00,59921.00
07/14/96,1425,515.0,516.5,511.0,514.2,13697,59921,13697.00,59921.00 <--
Sunday
07/15/96,1425,514.5,517.0,507.0,516.5,7961,59947,7961.00,59947.00
07/16/96,1425,517.0,518.0,493.0,493.5,12278,60151,12278.00,60151.00
07/17/96,1425,495.5,500.5,495.0,496.5,34546,64756,34546.00,64756.00
07/18/96,1425,497.0,502.0,494.0,500.0,18231,65019,18231.00,65019.00
07/19/96,1425,501.0,505.0,496.0,496.5,9256,66236,9256.00,66236.00
-Bob Brickey
Scientific Approaches
sci@xxxxxxxxxx
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