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The fact that you get 2 different results already eludes to the fact that
you are
getting different tick counts. The upticks and downticks functions are
already
counting ticks for you.
If I remember correctly, FS only transmits quotes when there is a change
in price.
Probably to save bandwidth because they are a satellite feed or possibly
because that's
the way they get it from Bridge. This may not be true of quotecom.
FS uses a rather unique timestamp that can wreak havoc on tick functions.
Where
the Signal server ends a bar, say on a 5min chart where the time is 1045,
with the
last tick with a 1045 timestamp, FS begins the 1050 bar with data having
the 1045
timestamp. It's been a few years since I messed with this but I think the
above is
correct. I was working with code that wrote to a realtime ascii price file
and the various
systems read from that file to make calculations. My intentions were to
force TS to
provide the same results in realtime as historical. TS had a difficult
time extracting
the ascii price that corresponded to the realtime bar because of the way
TS stores.
Also, with high volume markets, such as the minis, data gets jammed
in the FS pipeline. Somehow, duplicate packets of the jammed data are
transmitted to
you after other data gets thru and timestamps are out of order and false
duplicate
ticks end up in your data. The jams can occasionally cause out of sequence
errors in
other contracts that aren't high volume.
I would trust the quotecom results in your indicator over the FS results.
Good luck.
Jim Johnson wrote:
> Hello omega-list,
>
> I'm working with Bill Blau's Tick volume Indicator (TVI) from his
> book Momentum, Direction and Divergence, chapter 4. And I'm getting
> very differenct looking plots under TS4 w FutureSource and TS2k w
> q.feed.
>
> Perhaps this is because the two feeds are providing different tick
> counts. How would I check that? Any other ideas on why this would
> occur? Thanks.
>
> I'd be happy to provide the code to anyone who wants it. The basic
> formula is
>
> TVI = (triple.ema(Upticks) - triple.ema(Downticks) )/
> (triple.ema(Upticks) + triple.ema(Downticks))
>
> --
> Best regards,
> Jim Johnson mailto:jejohn@xxxxxxxxxxxxxxxx
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