MultiCharts and IQFeed vs TradeStation for UpTick/DownTick data - MultiCharts | futures io social day trading
futures io futures trading


MultiCharts and IQFeed vs TradeStation for UpTick/DownTick data
Updated: Views / Replies:6,118 / 13
Created: by SPTrading Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 1  
 
Thread Tools Search this Thread
 

MultiCharts and IQFeed vs TradeStation for UpTick/DownTick data

  #1 (permalink)
Elite Member
London, England
 
Futures Experience: Intermediate
Platform: MC, TS, NT
Broker/Data: TradeStation
Favorite Futures: ES
 
Posts: 41 since Oct 2009
Thanks: 12 given, 18 received

MultiCharts and IQFeed vs TradeStation for UpTick/DownTick data

First of all, hi to all, as this is my first post.

I have recently (about a month ago) migrated from TradeStation, having used that for 3 years, to MC.

Anyway, despite scouring this forum I can't see anyone else commenting on some issues that I find with data. The instrument I am refering to is the ES future. Here are the issues:

The following (1 and 2) applies to Point charts (equivalent to Kase charts in TradeStation):

1. I have an IQFeed trial and find that I can only get less than 1 month of correct data. I have downloaded the full 120 days but most of the data has no UpTick or DownTick values.

2. The recent data, say about 2 or 3 weeks, has identical Uptick and DownTick data to that from TradeStation, so all my indicators and strategies agree perfectly between TradeStation and IQFeed data. I am surprised by this, because I was actually expecting IQFeed to have differing values to TradeStation because so much has been written about how UpTicks and Downticks are calculated, but anyway it is identical, that is, until the IQFeed data starts going wrong...

Prior to 2 or 3 weeks back, IQFeed data starts going wrong in terms of UTicks and DownTicks, initially with discrepancies where it seems the TradeStation data is correct and the IQFeed data is wrong, and then (going further back within the 120 days) the IQFeed data is lacking in that it has zero values.

3. Further, all IQFeed minute bars, have zero DownTicks.

Has enyone encountered or solved this?

Thank you,

Paul

Reply With Quote
The following user says Thank You to SPTrading for this post:
 
  #2 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received



Point bars are equal to Range bars, and while similar to Kase bars they aren't the same -- of course I say this having never used TradeStation, but I am basing this on my own experience with the real Kase bars here on futures.io (formerly BMT) and they are not the same as range bars.

Anyway, what version of MultiCharts? I think only MC7 has the uptick/downtick backfill from IQfeed, if I recall. Version 6 didn't have it. IQfeed 100% keeps 120 calendar days of complete bid ask up/down, I know this for a fact as I download it routinely using Qcollector.

However I don't use any bid/ask studies in MC so can't comment on backfill, but I know that in MC6 there definitely wasn't bid/ask backfill. For some reason I am thinking I saw in the MC7 release notes that it was added, but I can't recall for sure, sorry.

I have a hard time believing any IQfeed data is "wrong", maybe you aren't looking at apples and apples? There are quite a few IQfeed symbols, you could be looking at a backadjusted contract, or a pit only contract instead of ETH+RTH or any number of things. Maybe you can post an exact chart with an exact symbol listed and point out the discrepancy, and I can load on my side and see if it is any different.

You can also try MC live support on their website, they are usually pretty good.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #3 (permalink)
Elite Member
London, England
 
Futures Experience: Intermediate
Platform: MC, TS, NT
Broker/Data: TradeStation
Favorite Futures: ES
 
Posts: 41 since Oct 2009
Thanks: 12 given, 18 received


Dear Mike,

Thanks for taking the time to reply. I'm using MC7 beta 3 and symbol @ESM11.

I attach a screenshot from 03 March.

subchart 1 - IQFeed @ESM11 3 point
subchart 2 - IQFEED Upticks
subchart 3 - IQFEED Downticks
subchart 4 - Tradestation @ESM11 3 point
subchart 5 - Tradestation Upticks
subchart 6 - Tradestation Downticks
subchart 7 - IQFEED DownTicks - TradeStation DownTicks

Now looking at this I see that the IQFeed data is missing many bars, which of course results in ticks being different. The same chart shows almost perfect match with yesterday's data - showing TradeStation and IQfeed are delivering exactly the same data. Going backwards in time the data seems to match until 04 May then before that IQFeed data is lacking.

Maybe I am using the wrong symbol?

Thanks again,


Paul

Attached Thumbnails
MultiCharts and IQFeed vs TradeStation for UpTick/DownTick data-mc1.jpg  
Reply With Quote
 
  #4 (permalink)
Elite Member
London, England
 
Futures Experience: Intermediate
Platform: MC, TS, NT
Broker/Data: TradeStation
Favorite Futures: ES
 
Posts: 41 since Oct 2009
Thanks: 12 given, 18 received

Update:

IQFeed support were unable to solve this problem in my 4 weeks trial.

Paul

Reply With Quote
 
  #5 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received


SPTrading View Post
Dear Mike,

Thanks for taking the time to reply. I'm using MC7 beta 3 and symbol @ESM11.

I attach a screenshot from 03 March.

subchart 1 - IQFeed @ESM11 3 point
subchart 2 - IQFEED Upticks
subchart 3 - IQFEED Downticks
subchart 4 - Tradestation @ESM11 3 point
subchart 5 - Tradestation Upticks
subchart 6 - Tradestation Downticks
subchart 7 - IQFEED DownTicks - TradeStation DownTicks

Now looking at this I see that the IQFeed data is missing many bars, which of course results in ticks being different. The same chart shows almost perfect match with yesterday's data - showing TradeStation and IQfeed are delivering exactly the same data. Going backwards in time the data seems to match until 04 May then before that IQFeed data is lacking.

Maybe I am using the wrong symbol?

Thanks again,


Paul

Sorry I am just now seeing your post. I'm not sure what the issue is, it is really hard for me to read the MTF chart sorry.

If you still have the workspace you can zip it and attach it and I'll open on my side and see what it looks like.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #6 (permalink)
Elite Member
London, England
 
Futures Experience: Intermediate
Platform: MC, TS, NT
Broker/Data: TradeStation
Favorite Futures: ES
 
Posts: 41 since Oct 2009
Thanks: 12 given, 18 received

Dear Mike,

It would be difficult for you to observe the missing backfill data without loading up the same chart from a correct data source and comparing bar by bar. But, as noted above, it seemed that IQFeed minute bars have zero DownTicks. This would be the most obvious thing to observe.


Paul

Reply With Quote
 
  #7 (permalink)
Elite Member
London, England
 
Futures Experience: Intermediate
Platform: MC, TS, NT
Broker/Data: TradeStation
Favorite Futures: ES
 
Posts: 41 since Oct 2009
Thanks: 12 given, 18 received

Am I missing something very obvious? I now think that there is no history of DownTicks in MultiCharts, since it can only derive UpTicks and DownTicks from real-time data. Is that the case?

I observed this same behaviour on both IQFeed and Rithmic data feeds (trials in both cases), but the history in, say, a 5 minute chart has only UpTicks values (even today's data). But any bars formed in real time have both UpTicks and DownTicks.

Hope someone can comment...

Thank you,


Paul

Reply With Quote
 
  #8 (permalink)
Elite Member
Germantown, TN, USA
 
Futures Experience: Intermediate
Platform: Esignal, Multicharts, MarketDelta, Stockfinder
Favorite Futures: Violin
 
horton's Avatar
 
Posts: 29 since Sep 2010
Thanks: 0 given, 8 received

I have been developing a few order flow indicators for the ES. I run MC and MarketDelta on Esignal. I only get 10 days of historical bid ask tick data from Esignal so all of my charts are set up with that constraint. I have been developing in MC 6 which does not appear to have proper historical bid ask functionality. So I switched to uptick downtick metrics for now.

What I see in MC for uptick/downtick roughly approximates what I see in MarketDelta for uptick downtick.

So my impression is that MC is can handle historical uptick/downtick but not historical bid ask. Supposedly MC 7 will handle bid ask for IQFeed.

Reply With Quote
 
  #9 (permalink)
Elite Member
London, England
 
Futures Experience: Intermediate
Platform: MC, TS, NT
Broker/Data: TradeStation
Favorite Futures: ES
 
Posts: 41 since Oct 2009
Thanks: 12 given, 18 received


horton View Post
Supposedly MC 7 will handle bid ask for IQFeed.

I am using MC 7 and there's no seemingly history of bid/ask. I asked MC support and they said it only calculates in real time. Therefore I am confused as to why there is much discussion of using MC for bid/ask studies and the recommendation to use IQFeed. I presume you have to record real time data, but this situation is far from ideal. I also think something is strange because MC loads up a few weeks of bid/ask history correctly with Kase bar charts using IQFeed, therefore seemingly it CAN calculate historic bid asks on IQFeed data, but it does not do that for normal time based charts.

Reply With Quote
 
  #10 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received



SPTrading View Post
I am using MC 7 and there's no seemingly history of bid/ask. I asked MC support and they said it only calculates in real time. Therefore I am confused as to why there is much discussion of using MC for bid/ask studies and the recommendation to use IQFeed. I presume you have to record real time data, but this situation is far from ideal. I also think something is strange because MC loads up a few weeks of bid/ask history correctly with Kase bar charts using IQFeed, therefore seemingly it CAN calculate historic bid asks on IQFeed data, but it does not do that for normal time based charts.

I was under the impression as of beta 2 or 3, historical bid/ask is working with IQfeed.

I created a brand new chart of a never before charted instrument and I had historical bid/ask data. You don't?

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote

Reply



futures io > > > > MultiCharts and IQFeed vs TradeStation for UpTick/DownTick data

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Data provider selection. IB, Esignal, IQFeed, Others??? arjfca Reviews of Brokers and Data Feeds 30 August 30th, 2012 03:00 PM
MultiCharts and IQfeed alignment with 120 days of Tick Data??? benharrell Reviews of Brokers and Data Feeds 36 June 11th, 2011 04:06 PM
IQFeed for chart data then Zenfire to access account??? tdaman Reviews of Brokers and Data Feeds 2 April 27th, 2011 10:26 AM
Help with MultiCharts/TradeStation programming trader2011 EasyLanguage Programming 2 February 25th, 2011 02:32 AM
TradeStation 8.X with OnDemand Server and IQFeed dtrade88 Reviews of Brokers and Data Feeds 2 July 20th, 2010 06:36 PM


All times are GMT -4. The time now is 10:23 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-10 in 0.14 seconds with 20 queries on phoenix via your IP 54.221.73.186