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Tradestation Data Feed Miss Leading


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Tradestation Data Feed Miss Leading

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  #1 (permalink)
Chicago IL USA
 
Experience: Intermediate
Platform: Tradestation
Broker: Tradestation
Trading: ES,NQ, CL
 
barabas's Avatar
 
Posts: 107 since Feb 2019
Thanks: 101 given, 169 received

Hello,

I need some help with the data feed provided. I am running into an issues when loading Renko Classic Chart. When loading the chart with different time frames back (time Range), 2 days, 2 weeks, 2 months or 2 years. All the charts are off in some way, meaning when one chart has a big red down the other have the same but with one green bar up in the middle of that big down The Renko Ticks have different placements. I did this on Renko Chart of @CLN19 with Classic Renko being 0.2 and loading four charts with different time Range and got all different result.

I caught this when back testing a strategy and changed all the numbers.

Anyone able to help me out with this?

Thank you in advance




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  #2 (permalink)
 
 
Posts: 2,231 since Apr 2013
Thanks: 410 given, 1,474 received

barabas,

this is caused by the data (resolution) you used to build those bars and is a very important point to keep in mind. In general using anything but a 1 tick resolution for building advanced bars will likely result in historical bars that are different than the same bars would have been in real time.
You set the resolution that is used for creating the bars (for example daily), but Tradestation will not "look inside the bar" (daily in this example) to recreate how the bar developed from Open to Close (tick by tick) which in turn can result in the historical bar inaccuracies you observe.

There are multiple threads in the official forum that deal with this behavior and the following two should help in clarifying things further:
https://community.tradestation.com/Discussions/Topic.aspx?Topic_ID=112081
https://community.tradestation.com/Discussions/Topic.aspx?Topic_ID=106135

Regards,

ABCTG

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  #3 (permalink)
Chicago IL USA
 
Experience: Intermediate
Platform: Tradestation
Broker: Tradestation
Trading: ES,NQ, CL
 
barabas's Avatar
 
Posts: 107 since Feb 2019
Thanks: 101 given, 169 received



ABCTG View Post
barabas,

this is caused by the data (resolution) you used to build those bars and is a very important point to keep in mind. In general using anything but a 1 tick resolution for building advanced bars will likely result in historical bars that are different than the same bars would have been in real time.
You set the resolution that is used for creating the bars (for example daily), but Tradestation will not "look inside the bar" (daily in this example) to recreate how the bar developed from Open to Close (tick by tick) which in turn can result in the historical bar inaccuracies you observe.

There are multiple threads in the official forum that deal with this behavior and the following two should help in clarifying things further:
https://community.tradestation.com/Discussions/Topic.aspx?Topic_ID=112081
https://community.tradestation.com/Discussions/Topic.aspx?Topic_ID=106135

Regards,

ABCTG


Thank you! Faster response that the TS support team...

Would you happen to know if there is a data provided that does per say look inside each Renko tick for back testing. I know we have the Better Renko for Ninjatrader. (Renko with wicks )

Thank you

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Posts: 2,231 since Apr 2013
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barabas,

you are welcome. Using 1 tick resolution for building advanced bars should give you historical bars that match (at least as closely as possible) how the same bars would have developed in real time.

I would always suggest testing this by letting one chart develop in real time and then loading a new chart with the same settings to compare the results.

Backtesting on the other hand will be affected since the look inside bar backtesting feature is not available for advanced bars as of now.

Regards,

ABCTG


barabas View Post
Thank you! Faster response that the TS support team...

Would you happen to know if there is a data provided that does per say look inside each Renko tick for back testing. I know we have the Better Renko for Ninjatrader. (Renko with wicks )

Thank you


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  #5 (permalink)
quintana roo, méxico
 
 
Posts: 79 since Mar 2013
Thanks: 222 given, 38 received

barabas,



i just read your posts. the best advice i can give you is to stay away from advanced bar types in ts. ts's backtesting and optimizing engines are useless when used with advanced bar types. even large minute bars (60, 120 minutes and similar) will generate misleading and erroneous results when including strategy components like trailing stops.


i have written extensively about these unsolvable issues:





https://www.elitetrader.com/et/threads/screengrabs-for-some-strategies-i-have-developed.318647/


ninjatrader's backtesting and optimizing engines, on the other hand, are magnificent. it was only after i started developing strategies on nt that i was able to overcome all the issues ts has and create nicely profitable strategies in a matter of hours.


using advanced bars on tick data on ts won't make any difference when it comes to accurate and credible backtesting - optimizing of strategies, the people with ts support have created some posts in their fora where they explain why this is.

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  #6 (permalink)
Chicago IL USA
 
Experience: Intermediate
Platform: Tradestation
Broker: Tradestation
Trading: ES,NQ, CL
 
barabas's Avatar
 
Posts: 107 since Feb 2019
Thanks: 101 given, 169 received


maggtrading View Post
barabas,



i just read your posts. the best advice i can give you is to stay away from advanced bar types in ts. ts's backtesting and optimizing engines are useless when used with advanced bar types. even large minute bars (60, 120 minutes and similar) will generate misleading and erroneous results when including strategy components like trailing stops.


i have written extensively about these unsolvable issues:





https://www.elitetrader.com/et/threads/screengrabs-for-some-strategies-i-have-developed.318647/


ninjatrader's backtesting and optimizing engines, on the other hand, are magnificent. it was only after i started developing strategies on nt that i was able to overcome all the issues ts has and create nicely profitable strategies in a matter of hours.


using advanced bars on tick data on ts won't make any difference when it comes to accurate and credible backtesting - optimizing of strategies, the people with ts support have created some posts in their fora where they explain why this is.

Thank you.

I read on here that NT backing is very glitches as well. Someone made a post where they took the same system on three different computers, ran it with the same settings and time frame and got three different backtesting result.

Anyone else hear of that?

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Posts: 11 since Apr 2019
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Another issue not mentioned with TS "advanced chart types" is that they are start date dependent. So depending on the first day on chart, you can get different price data. I have been asking them to fix this for a long time now, but so far nada.

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quintana roo, méxico
 
 
Posts: 79 since Mar 2013
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barabas View Post
Thank you.

I read on here that NT backing is very glitches as well. Someone made a post where they took the same system on three different computers, ran it with the same settings and time frame and got three different backtesting result.

Anyone else hear of that?


barabas,


i would recommend to you not to jump to conclusions from stories like the one you mention that are nothing but hearsay. and to be far more skeptical of hearsay in all matters related to trading.

you personally have discovered a serious malfunction with the ts platform and advanced bars. i have offered you a lot of evidence that corroborates and expands on these unsolvable malfunctions. even ts support staff have posted about this on the ts fora.

in contrast, i have a great personal opinion of the nt platform and its backtesting - optimization engine. you can check it out for yourself at zero cost. if you come up with any situations like the one you say you have read about, then you could begin to take it more seriously and most important, you should then create some posts about any issues on nt's fora where they provide superb support.

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