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Hi Fred & Craig,
Even though data differs from server to server from eSignal, I have checked
in Metastock (because it has data on demand), that it is not making ANY
difference in the frequency and values of my entry and exit signals. But
again this is for my set of indicators and signals....so don't know if this
would be true across the board for all indicators out there. So as far as
the indicators I am using, I am fine (selfish but phew!).
The most significant difference is during the first bar (market open) and
last bar (market close) in volume. I have discussed this with eSignal and
they admit that it is a known problem as the time stamp that we receive is
eSignals time stamp as to when they received the transaction from the
exchange and NOT the exchange's time stamp (this honestly is news to me!).
And therefore bar data differs from server to server mostly during the bar
start and end times. However they are working on providing us with the
exchange's time stamp (there is no time frame when this will be in place),
which according to them will remove this inconsistency. There is an
immediate solution to this problem which may slow down things quite a
bit....which is not to depend on eSignal's bar data but build your own bars
from their tick data and their historical tick data is for 10 days (if I am
not wrong).
Anyway all the above is FYI.
Take care,
Romi
----- Original Message -----
From: "Romi Ghose" <r.ghose@xxxxxxxxx>
To: "Fred" <srqblue@xxxxxxxxxxx>; "_Craig" <craigbud@xxxxxxxxxxx>;
<omega-list@xxxxxxxxxx>
Sent: Thursday, August 01, 2002 10:58 PM
Subject: Re: Data Integrity
> Hi Fred & Craig,
>
> Thanks for your response. Please perform this simple test with your
eSignal
> datafeed and you will know what I am talking about:
>
> 1) Start eSignal.
> 2) Click on File, New, Chart.
> 3) Enter any symbol (say MSFT) in the symbol box. Select 5 minute for
> periodicity. Click on Properties, General. Enter (say) 6 days. Make
sure
> Volume is also displayed in the chart. Now click on the 'Info Window'
icon
> to invoke it.
> 4) Keeping your left mouse button pressed, go to the very first 5 miute
bar
> of the chart (eg: 07/25/02, 9:30 Eastern). The date, time, OHLC and the
> Volume of this bar will display in the Info Window.
> 5) Write down this information and close eSignal. MAKE SURE DATA MANAGER
IS
> ALSO CLOSED...THSI IS IMPORTANT FOR THE TEST.
> 6) After about 2 minutes, repeat steps 10 thru 4).
> 7) Write down the information from the Info Window for the same bar (i.e.,
> same date and time as in step#4).
> 8) Compare if your data is different...especially the volume data.
> 9) Whether or not your data is different, close eSignal as in step#5 and
> repeat steps 1) thru 4).
> 10) Is your data for the same bar (as in step#4) different again?!
>
> Since I have access to Metastock, it was easy for me to copy the entire
data
> into Excel spread sheet for each of my logins. Once I had the 3 sets of
> data (from the 3 logins) on the same spreadsheet, it was clearly evident
> that volume data differed alomost on 90% of the same bars and the
difference
> in value was quite significant (as high as 0.6 million). OHLC data
> difference was on less than 5% of the same bars and the difference was
less
> than 0.01 cent in most cases (though for one bar it was 0.25 cents).
>
> Let me know what your test shows (of course if you can spare 10 minutes of
> your time and have the inclinination!) .
>
> Thanks again and take care,
>
> Romi
>
>
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