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For a long time I have noticed occasional data corruption, most often in
the DJIA index, in which the price takes an instantaneous jump or drop
of as much as 800 points. It then continues with what appears to be
normal price action at that erroneous level for a few minutes, and then
abruptly returns to its proper level. This seems to be happening more
frequently lately. On 8/27 it happened three times near and at the
close.
I have been blaming DBC for this, but today I noticed something very
strange. A friend (on BMI) mentioned that he had a similar problem
yesterday and asked if I could send him the data. I checked a 1-minute
DJIA chart which I have open continuously and it appeared OK, so I
dumped the tick data from the Server and sent it to my friend.
A short time later he called and informed me that MY data had the same
problem! I created a new 1-tick chart and, sure enough, there was the
big jump at 15:34. Then I changed the resolution of the chart to 1
minute, and it STILL showed the error. BUT, the chart created in real
time was and is still correct!!!
What this tells me is that the data was received from DBC OK and
initially displayed OK, BUT WAS STORED IMPROPERLY BY THE SERVER IN ITS
DATA BASE! I'm beginning to suspect that the "bad initial tick" problem
which has received so much attention on this list is, in fact, NOT due
to a bad tick at all but rather to some more insideous problem within
the server which itself corrupts the data in compressing or storing it.
Carroll Slemaker
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