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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.
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.
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.
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.
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.
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.
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.
