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Hi Abhijit,
I apologize for the late reply, as I finally made the time today to
review the data. The data were saved practically daily by an active
trader in TradeStation 8. My understanding is TradeStation platform
automatically obtains the rollover information from TradeStation
Network, and do something with the data. I don't have the details of
the inner working of rollover in TradeStation platform.
From practical point of view, we want to know if the data make sense.
Since TradeStation keep a long history of minute chart, we can use the
min chart data for comparison. I clear @ER2.min off the cache and get
fresh data from the network. I did a brief check of the data using
@ER2.min close and @ER2.tik last tick at 1515 (exchange time). The
results match.
Date tick min
031231 563.20 563.20
040331 597.10 597.10
041231 659.60 659.60
050630 645.50 645.50
Hope this answers part of your question, from a practical point of view,
though not in theory.
-- Harrison
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Abhijit Dey wrote:
Just curious.. this file would contain unadjusted data, right? I mean,
this was being saved up by someone, in the cache. When TS adjusts it,
after rollover, the subscriber isn't able to reload the data from TS's
servers as tick data history in TS's server doesn't go back that much.
So, isn't the @ER2 tick data of 20 months a mix & match of adjusted /
unadjusted data with no way for the user to do anything about it?
Abhijit
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