ES TickData vs. TradeStation tick discrepancy - futures io
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ES TickData vs. TradeStation tick discrepancy

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ES TickData vs. TradeStation tick discrepancy

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  #1 (permalink)
Los Angeles, CA
Posts: 1 since Nov 2019
Thanks: 0 given, 1 received

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 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


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