ES TickData vs. TradeStation tick discrepancy

November 1st, 2019, 02:26 PM

hi all. First post here and new to this game in general. I've been interested in testing some tick-bar based strategies, as such I purchased a bunch of data from TickData.com as TradeStation only gives me the last 6 months.

in the process of doing my testing and analysis, i noticed that there is a large discrepancy in the number of trades between the tick data that comes out of TradeStation and TickData. I didn't expect them to match exactly, but there is a gross difference in the number of trades that TradeStation is reporting versus what TickData is reporting. Whether i build 1-tick bars or 300-tick bars, Tradestation outputs about 2.8-3.0X as many trades/bars as TickData (via TickWrite 7) does. When i look at the Day Period (0830-1515) only, i get similar results.

Since i can only access the past 6mo of tick based data from TradeStation, these comparisons have been only for the past 6 months.

Anyhow, since i'm fairly new to all of this, i was wondering if there's something obvious that i'm missing here or if anyone else has had similar issues that can point me in the right direction

thanks!!

September 7th, 2021, 07:25 PM

Scathontiphat,
Can't tell what happened to this post, but it seems that no one ever used tickdata's data to reply.
I just came across it again as I was interested in buying data from them and was doing a search.

Did you continue to buy data from them? Did you ever find out the source of discrepancy between the two? I use tradestation as well, that 6 month limitation has been a drag for testing purposes.

I saw that there is a link here on future.io where tick data for highly traded futures are posted monthly or quarterly, but they need some work to be formatted correctly. Did you ever use this data, instead of buying from tickdata.

At the end I found that importing this data into tradestation wasn't possible due to memory limitations in that platform so I just switched to multicharts, hoping I will have better luck there..

I appreciate any feedback . Thanks.
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ES TickData vs. TradeStation tick discrepancy

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ES TickData vs. TradeStation tick discrepancy