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There are three sources for signal discrepancies or failures: price
inaccuracies (not a 100% accurate reflection of actual transactions),
incompleteness of the data stream (missing ticks), and variations in the
time stamps attached to the prices.
Because the time stamp we receive is usually NOT one inserted into the
stream at the exchange but, rather, originated by the data vendor, this is
often the main cause of discrepancies. Although two feeds may contain
exactly the same sequence of ticks, if the time stamps differ slightly
between them (the break from one minute to the next occurs at slightly
different points in the price sequences), then bars produced from those two
streams may look different, on occasion SIGNIFICANTLY different.
This is a problem I have reported upon before. I have found time-stamp
discrepancies between data from the same service but received in different
parts of the country.
Therefore, as Dennis H. said:
> If your system is so data sensitive that a few ticks here or there will
> break it, maybe it's time to rethink your methods.
Regards,
Carroll S.
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