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Post market quotes:
Look in the Global Server under Trade Record one tick and Trade Record one
day. Also note the Session Close Time and Session Settlement Time. Tick
data is stored beyond the Session Close Time in the Trade Record one tick.
A chart will plot intraday data up to the Session Close Time. Change the
Session Close Time and the data on the chart will change. The Trade Record
one day is a separate data file. If the Global Server worked as the Online
User Manual states, then the Trade Record one day file would update the
Close field during the period between the Session Close Time and the Session
Settlement Time. In my server that is not happening. I can compare the one
tick file with the one day file and the one day file has the same Close data
as the Session Close Time for the one tick file. I.E. the one day file does
not update its close with the data that arrives during the 3 hour settlement
period. This is true for the DTN version of the Global Server.
rehash:
It looks like dtn and signal are sending an end of day file based on the
session close times that overwrites any update by the session settlement
time. Or the GS Settlement Time just does not function period!. I am
inclined to believe that the data feeds send and end of day file based on
the exchange session close rather than any changes to the data after the
close due to late reporting or corrections. The dtn feed does send the tick
data during the settlement period but it only makes changes in the Trade
Record one tick file and has no effect on the trade record one day even
though it is within the settlement period. Thus it appears the two data
streams are related in symbol name only.
bobr
----- Original Message -----
From: "ed garib" <egarone@xxxxxxxxx>
To: "BobR" <bobrabcd@xxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Tuesday, August 21, 2001 9:10 PM
Subject: Re: premarket quotes
> Hi Bob
>
> I have tried to move session end time forward like you
> did, but it didn't help. I am getting post market
> data, but prices are overwritten with closing price of
> the day. Volumes are ok.
> I am using esignal. May be it's the problem.
> Please let me know if you have changed any other
> setting to accomplish collecting correct post market
> data.
>
> thanks
> ed
>
>
> --- BobR <bobrabcd@xxxxxxxxxxxxx> wrote:
> > Moving the session stop time does enable the server
> > to collect and chart
> > data, but I haven't tried moving the History Open
> > Time ahead for premarket
> > quotes. When DTN told me that data for the issue
> > and volume data keeps
> > changing until about 3.5 hours after 16:00AM ET I
> > had moved the Session
> > Close Time to a later period and the data was stored
> > and charted. Moving
> > the Open time ahead may not work because of the
> > datafeed session start
> > signals that might occur at 09:30AM ET, just
> > guessing here.
> >
> > bobr
> >
> > ----- Original Message -----
> > From: "ed garib" <egarone@xxxxxxxxx>
> > To: "Bilo Selhi" <citadel@xxxxxxxxxxxx>
> > Cc: <omega-list@xxxxxxxxxx>
> > Sent: Thursday, August 16, 2001 10:38 PM
> > Subject: Re: premarket quotes
> >
> >
> > > HI Bilo.
> > >
> > > I'm sorry for a late response. I was way for a few
> > > days.
> > >
> > > First: thank You for a long response.
> > >
> > > So You are saying it's impossible to get premarket
> > > quotes into TS2k.
> > >
> > > Like I wrote in previous email; I have changed
> > > session1
> > > start time to 8:00 for NASDAQ in exchange
> > directory
> > > setup window, and I have changed open time in edit
> > > symbol window to 8:00 for all NASDAQ stocks in my
> > > global server.
> > >
> > > Before 9:30 I am getting volumes right in a chart,
> > but
> > > instead of candle bars, closing price of the day
> > > before
> > > is displayed. Actually closing price of the day
> > before
> > > is overriding the actual premarket prices, and I
> > > don't know how to fix this problem.
> > >
> > > I guess nobody in omega-list is using premarket
> > > prices because nobody responded with solution.
> > >
> > > Thanks again
> > >
> > > Ed
> > >
> > >
> > >
> > >
> > > --- Bilo Selhi <citadel@xxxxxxxxxxxx> wrote:
> > > >
> > > > this is a major problem with Tradestation at
> > > > the moment, not providing pre- and after market
> > > > price-time series for equities ( they do provide
> > > > quotes )
> > > > a system can not be currently written
> > > > to execute pre or after market. risk can not be
> > > > adequately managed with overnight positions.
> > > > at same time pre and after market activity is
> > > > very important since it has substantial amount
> > > > of momentum, especially in pre market.
> > > > many stocks are now trading with volume pre
> > market
> > > > and after market on earnings reports...
> > > > however the users can not take advantege of
> > > > premarket
> > > > momentum or aftermarket volatiltity to make
> > money
> > > > or manage risk.
> > > >
> > > > i consider Tradestation not being able to have
> > > > access to bar data pre and after market a
> > > > considerable problem that needs to be
> > > > addressed asap. it is THE major limitation at
> > > > the moment.
> > > >
> > > > it was pointed out to them even before
> > > > Tradestation Pro came out but they weren't
> > > > listening... now NY and Nasdaq stocks
> > > > can have 1M pre of after market volumes...
> > > > sadly they have enough experience
> > > > to handle the problem based on the extended
> > > > hours futures trading.
> > > >
> > > > this problem can be easily corrected on the
> > > > their side.
> > > > - enable servers to collect data pre market
> > > > and after market 7:30 AM to 9 PM
> > > > - call this "extented hours session" and allow
> > the
> > > > user
> > > > to plot that data on the charts as bar data, as
> > an
> > > > option.
> > > > - allow EL code to be executed on those bars.
> > > > - after market close, filter out "late trades"
> > > > flagged
> > > > ticks, about 5 minutes right after the close.
> > > > to avoid building bars based on late ticks...
> > > > all late ticks are tagged by the exchanges and
> > > > can be easily filtered out or back-inserted in
> > time.
> > > > - on TS Pro the limit orders can be executed
> > > > thru most of the ECNs. so the limit order
> > > > routing will still work. market orders generated
> > > > by the system can be executed as limit orders
> > > > at last traded bid or ask price... it is not big
> > > > deal
> > > > to adapt the existing order routing for after
> > and
> > > > pre
> > > > market... monitor the ECNs best bid and ask...
> > > > execute "market" ( only limits are allowed after
> > > > or pre market ) buy orders at best ask and
> > > > market sell orders at best bid. limit orders
> > > > are not affected... stops ( markets ) become
> > > > active limits.
> > > >
> > > > WHY NOT DO THE RIGHT THING, TRAD???
> > > > WHY IS IT SO DIFFICULT TO DO???
> > > > WHY NOT DO IT ON A FULLY PROFESSIONAL
> > > > LEVEL???
> > > >
> > > > ps. the only way to manage overnight risk now
> > > > is by hedging with futures that limits the
> > overnight
> > > >
> > > > gain potential and is not the proper solution.
> > > > if pre and after market data is included the
> > > > systematic
> > > > risk can be easily managed per individual stock
> > > > provided there is access to pre and after market
> > bar
> > > >
> > > > data and limit order executions.
> > > >
> > > > ----- Original Message -----
> > > > From: "ed garib" <egarone@xxxxxxxxx>
> > > > To: <omega-list@xxxxxxxxxx>
> > > > Sent: Sunday, August 12, 2001 1:27 PM
> > > > Subject: premarket quotes
> > > >
> > > >
> > > > > Hi everyone.
> > > > >
> > > > > I am getting premarket data in TS2K.
> > > > >
> > > > > But there is a big problem. All premarket
> > prices
> > > > are
> > > > > overwritten by official closing prices from
> > the
> > > > day
> > > > > before. So i am getting one flat price line in
> > TS
> > > > > charts before market opens.
> > > > > My real time feed is esignal and premarket
> > prices
> > > > are
> > > > > fine in esignal charts.
> > > > > If anyone knows a solution to this problem
> > please
> > > > > share it.
> > > > > Any comments will be very appreciated.
> > > > >
> > > > > Thanks in advance
> > > > >
> > > > > Ed
> > > > >
> > > > >
> > > > >
> > > >
> > > >
> > >
> >
>
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