Where are my ticks??

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Where are my ticks??

Postby moomoofx » Fri Dec 05, 2014 3:26 am

Hi all,

I have been doing an analysis into Tick data and I'm not liking what I have been finding.

I have been comparing
- The ExtUpdate() method updating in a strategy for a Bid Tick subscription and Ask Tick Subscription
- The Strategy Update() method updating every time a new tick comes
- The tick data in TS2.

I have found that the strategies do not receive the same tick data that TS2 shows at all. Additionally, there's some kind of bug which makes tick subscriptions done using ExtSubscribe even worse than just relying on the Update() method.

The screenshot below shows my comparison of a 41 second period on EURUSD during Asia session today.
- Far left shows the ExtUpdate() method,
- the middle chunk is the Update() method,
- the right is the TS2 EURUSD Tick data copied from the DataTable mode instead of chart mode.

MissingTickData.png


You can immediately see that TS2 has much more tick data than what is passed to the Update or ExtUpdate() methods. Even worse, the ExtUpdate() method seems to get even less.

The explanation, I think for the discrepancy between ExtUpdate() and Update() is that the size of the tick stream (latest period) and the serial number of that period don't update even if the price changes!! That is shown by the first block of red in the middle Update() column. You'll note that the additional columns which indicate the bid and ask tick stream size's, serial of the latest period, and date of the latest period, have not changed despite the price changing.

This, I think is a bug and someone should fix. Valeria, do you agree?

That aside, the fact that so much tick data is being shown to TS2 but not to the strategies is very alarming. What is the explanation for this please?

I heard Strategy Trader delivered tick data better but that is decommissioned now... If we use an MT4 connection, do we get better tick data?

Thanks,
MooMooForex

P.S. I'm tempted to compare the Update() method in an Indicator ... maybe
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Re: Where are my ticks??

Postby Valeria » Wed Dec 10, 2014 6:26 am

Hi moomoofx,

I have answered via email.
Valeria
 

Re: Where are my ticks??

Postby Loggy48 » Thu Jan 08, 2015 8:25 am

Thanks for this, Moomoofx. Some interesting observations.

It suggests that Update is better than ExtUpdate, which means being rather more hands-on using getHistory etc and AsyncOperationFinished rather than ExtSubscribe, particularly where you are looking at multiple time frames or, dare one suggest, multiple instruments.

Am I correct?

What was the core of your reply anyway?
Loggy48
 
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Location: Manchester, UK


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