I have observed that live formed tick charts are somewhat different to the historical versions I download from my broker. For example, I just cleared out this week's tick data for the USDJPY (it had been formed from live data). Once I had replaced the live stored ticks with historical ticks from the broker, I noticed that the broker had clearly 'seen' many more ticks than my live MC had (the data was smoother in appearance with quite a few more bars). I thought that the broker would somehow number ticks at their end to avoid mismatches like this happening, but clearly I was wrong. Therefore my backtesting data for purposes of tick charts is unreliable for forward testing.
MC is in my case (due to latency or some other reason) forming spikier bars as a result. Are there feeds that offer workarounds to this does anyone know? I understand that a few timestamp their tick data but I'm not sure if this would really matter. Hopefully someone will know much more on this topic than I as I couldn't find much on google!?
I assume time based charts would suffer much less from mismatches in live vs historical due to the fact they simply display price ranges for a set period?
Thanks v much!
The following user says Thank You to NMC1 for this post:
Thanks, but you realise of course that the NT post is referring to something different (it is referring to the flow of ticks arriving in different bars being timestamped too late due to latency etc, it is not referring to the overall live regularity of ticks forming waves over time as I was discussing, the answer given by the NT staff would not explain why there are LESS bars in a live tick chart, only why ticks would appear in different bars), and that the other links from google are barely relevant at best? I also have it confirmed from esignal and iqfeed that their timestamping will NOT help with the construction of live waves.
When you LMGTFY surely you do it from a position of knowledge else... well it's a bit ironic?
If you are hoping to talk a person who has had your exact problem - not me. I am just one of the 50 people who looked at your question.
I understood the problem to be your broker had "'seen' many more ticks". The NT post could possibly explain that phenomenon. You since clarified that you are seeing "the overall live regularity of ticks forming waves over time". I don't understand what that means. Pictures help a lot, but they also take time, and I understand you may not be interested in investing that time with few around to address your issue specifically.
I would do some futures.io (formerly BMT) searches on renko bars, which have the nasty habit of looking different historically than they do in real time.
You might look at how you have your chart set to start and transition from day to day and ETH to RTH. If the last trades of a day have 501 ticks the last bar of a day or session could be just one tick, then when the next session begins, the first 499 ticks fill the rest of the last bar before moving on to the next.
I know that as I look at tick data real time, I have seen prints that are clearly outside of the current NBBO market (and they also happen to be the tick that takes stops me out of an otherwise ok trade). The explanation I have received is a time lag for how long dealers have to report trades on certain exchanges.
I also know that not all ticks that I see on my data feed are not "real', some are bad prices some are corrections, or bunched trades, or one of the other 85 condition codes that can be tacked on. Some of these are filtered real time, some are repackaged historically.
But most of this accounts for ticks here, ticks there, not whole series of bars affecting the shape of the price action.
most are not in a position of knowledge. some are snarky, some are happy to take a few minutes and look for an answer that could be readily available with perhaps a different search query or mentality, some want to provide a gentle reminder of the vast amount of data available to all of us.
The following user says Thank You to bijeremiad for this post:
I appreciate the time you took to look into the issue, thanks - I have clarified the problem with MC, the broker and other data feeds. Oddly every one of them had to investigate the issue over a few days as if it is a rare question, which is worrying in itself.