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Differene between DATA from IQFEED and WEBANK, How can you Explane this?
I'm actually using multichart since a month to learn, study and test strategy automation. So I wrote my first strategies and I think that I need NOW a QUALITY data provider to run backtest.
Actually I have the italian WEBANK as datafeed and broker. They ONLY give you 1 day of tick data and 2 day of minute data so you can imagine how useful could be that for a backtest.
Yesterday I made a free trial with IQFEED for the EUREX EXCHANGE as I'm interested in Dax future and mini da. As you
can see in the attached image that’s multichart with one of my signal applied. On the LEFT you have the DAX future on iqfeed , on the righ you have the DAX future on webank (my italian datafeed and broker). Both charts has the same setup (130 tick, same signal appied, same indicators....).... but as you can see “datas” are slightly different.
The key point is that this difference in data between different datafeed made a HUGE difference during strategy execution... even on other charts the (for example) linear regression curve at 131 looks different for IQFEED and WEBANK on the same chart of FDAX 100 ticks same setup.
So the question is: What data shall I trust? How can I deal with this inconvenience? I need hystorical tick data for my backtest so I need to find a DEFINITIVE solution...
Any help and or sugestion/personal experience?
Thanks
David
Can you help answer these questions from other members on NexusFi?
1 day tick-data and 2 days minute-data and you want to risk your money with this data-source? First at all you should watch the DOM with this 2 sources, maybe you get the same info with both and maybe your brokers data is good for intraday order-execution, but for charting you can forget it.
I would suggest checking with your broker if they provide tick by tick data or only a snapshot at a first step.
You might also want to check that the settings are the same for both charts. In case you compare a different number of days on the chart make sure that the option to start
with a new bar on a session break is checked.
Tick charts are going to be different off different data streams depending on how they packet or consolidate there data or whether they send out the data completely unchanged. A lot of trading platforms use consolidated data because it uses less bandwidth to send out and is good enough for most people's charting requirements and means there is less chance of the actual current price data lagging. Anybody that wants precise tick by tick price/volume data can then pay for it seperately from a data firm that specialises in that, such as IQFeed.
You can double check to ensure you are looking at exactly the same contract (and not say a future for one and a CFD of the other), by opening a time based chart, say a 1min or 5min, and they should look the same. If they do then IQFeed is going to be as close to accurate as you will likely find and your broker will be compressing the data in some way.
That's my reckoning anyway.
You do not win as a trader, you just get to play again the next day. If that game doesn’t appeal to you then you should not trade. Gary Norden
Hello, this is what I was thinking too. When I asked to webank why they do not offer any tick or minute hystory for a wide range they said that it would slow their server.
This afternoon I have solved a problem with the trial of IQfeed and real time data for Eurex Futures exchange and things was better and chart more similar but not "identilcal" and there's still the problem that the same signal applied to the same chart (same setting FOR SURE) give different results in term of number of entries , net profit ... etc...
Of course I can use webank just as broker to process orders...
Anyway I'm still in the middle of the learning curve... I think that I need some more time before test for real an automatic trading... now I need TRUSTABLE data for backtest and studies...
Of course the setting of the charts and the strategy are THE SAME. As I said in my previous answer this afternoons (after solved a real time connection problem with iqfeed) the data were similar but not "identical" and I still have many many difference in terms of net profit, number of operations etc...
I didn't know about the option to start with a new bar on a session break, I'll search for it and try.
I'll try to ask to Webank how they provide tick data. Anyway they have a "strange policy" on their T3 Open platform ( it provide data and brokerage to multichart and it is installed on the same machine as MC) ..everytime I try to ask them something about the T3 open they answer :" we do not provide assistance for T3 Open, there's an online manual"... eh eh
As I've seen surfing this forum many of you consider IQ FEED as a very good data provider. Am I correct? I know they are expensive ( 82$ for base core service plus 30$ international data and + 23$ for the Eurex futures exchange on monthly basis... just for EUREX :-O ) but they are also the only one that offer ticks data for 6 months back....
Accurate datas are essential as I'm learning and without a good data source I cannot back test seriously any strategy.
So I think that a solution for the future could be IQFEED as data for charting and WEBANK as broker... I can try that when I'll be able to test my first automated strategy...
BTW: All my comparison has been made on same Dax june futures with exactly the same parameteres for charts and signals...
