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INDU/BMI data error or The Bad Tick/60-tick Phenomenon



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Some people seem to be puzzled by problems with the display 
and storage of data for INDU on August 31. 


TJ wrote on the INDU/BMI data error observed on August 31:

<my conclusion is that the indu tick data was received correctly from
<bmi receiver, was plotted correctly real time on the chart, and then
<was corrupted by the omega server.

Yes. This is a problem that I reported to Omega techsupport in 
September 1986. It keeps keeps reappearing with increased 
frequency, so a recap is in order.

The principal cause of what I called the First Tick/60 tick 
phenomenon (Jan 12, 98) is the way TS saves ticks. TS does not 
save all incoming ticks at the original value. The value with which TS 
saves a bad tick depends on two factors: (1) How much off the tick 
is, and (2) What the tick's position is relative to the initial tick in the 
trading session.

To get the data corruption we have seen on Aug 31, the following 
two conditions have to be present: 

First, the price of a bad tick must be more than 32.768 off the price 
of the intial tick. A tick that is off the intial tick by less than that 
amount will be saved at the original value and will not alter the value 
of subsequent ticks, regardless of its position relative to the initial 
tick. However, a tick that is more that 32.768 off the intial tick will be 
converted to and saved at a different value which is way off its
original value. 

Second, the bad tick must be the first tick in any group of 60 ticks, 
counted from the first tick of the session. In the TS data saving 
scheme, the ticks are stored in blocks of 60 ticks, and the value of 
a tick received is saved as a differential from the inital tick.
Consequently, only the bad tick that is the first tick in a group of 60 
ticks can change subsequent ticks.

The ticks that do not meet the above two criteria do not cause any 
collateral damage and can be easily removed. However, the ticks that 
meet them can create havoc with user's data. The infamous initial 
tick issue that has generated a lot of attention here is just one specific 
variation of this 60 tick phenomenon when a bad tick meeting both 
criteria happens to be the intial tick of the session.  

The conversion of the data caused by a bad tick meeting the above-mentionthat
takes place when ticks are stored. Say, you are following a 
stock that trades at $60. A bad tick comes in at $20. TS will display 
the bad tick at its converted value. If that tick happens to be the first 
tick in a group of 60, all subsequent ticks will saved on the HD at the 
-5 level. As long as you keep the symbol in the window, the chart will 
plot the subsequent ticks at their face value, that is, around $60 but 
will be stored on the HD at -5. So, once you reload, the chart will be 
drawn from the data saved on the HD, showing a big jump in price.