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Re: beware bad data



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Some examples . (for the S&P active contract)
2/8/1999  TS7.1 high=open+9 pts ....actual high=open+3 pts. 
4/5/1999  TS7.1 high=open +14 pts .. actual High=open +17 pts
5/21/1999 TS7.1 low=open-2 pts  .. actual Low=open-13 pts

there a more but I stopped writing them all down ...these variances caused meaningful discrepancies in the performance of one of my systems -

----- Original Message ----- 
From: "carrslem" <carrslem@xxxxxxx>
To: "Chris Evans" <evanscje@xxxxxxxxxxxxx>; "Omega List" <omega-list@xxxxxxxxxx>
Sent: Tuesday, November 18, 2003 12:46 PM
Subject: Re: beware bad data 


> Could you please provide a couple of specific examples - dates, times, and
> prices.  I have occasionally spot-checked TS7 S&P500 front-contract prices
> against the CME's official T&S files and have, so far, never found any
> significant discrepancies.
> 
> Regards,
> Carroll Slemaker
> 
> 
> ----- Original Message ----- 
> From: "Chris Evans" <evanscje@xxxxxxxxxxxxx>
> To: "Omega List" <omega-list@xxxxxxxxxx>
> Sent: Monday, November 17, 2003 4:00 PM
> Subject: beware bad data
> 
> 
> > for the record .. I design and trade systems using TS2K and my data vendor
> has been Genesis Data.  .. so I finally succumbed and got TS7.1 so some of
> my signals would be entered automatically , so before setting them up I
> checked the systems and results to be sure I got the same history as I got
> on TS2K ..
> >     I found significant discrepancies .. which I then had to reconcile..
> in the end all the differences came down to different data histories  so I
> used Bloomberg to check and see which data was correct .. in every case
> Genesis was right and TS7.1 had errors that created incorrect historical
> trades and performance.  I'm talking about major errors in daily prices for
> the S&P 500 lead contract - not some obscure palladium contract!
> > After seeing what 'I've seen I could never use TS7.1 to design a new
> system...
> >
> 
>