NexusFi: Find Your Edge


Home Menu

 


Quotes by TradingView
Go Back   >  Traders Hideout >  Emini and Emicro Index  > 



ES TickData vs. TradeStation tick discrepancy


Discussion in Emini and Emicro Index

Updated
      Top Posters
    1. looks_one Quick Summary with 1 posts (0 thanks)
    2. looks_two scathontiphat with 1 posts (3 thanks)
    3. looks_3 Vacationer with 1 posts (0 thanks)
    4. looks_4 CmdtyQt with 1 posts (0 thanks)
    1. trending_up 1,333 views
    2. thumb_up 3 thanks given
    3. group 4 followers
    1. forum 2 posts
    2. attach_file 0 attachments




 
Search this Thread

ES TickData vs. TradeStation tick discrepancy

  #1 (permalink)
scathontiphat
Los Angeles, CA
 
Posts: 1 since Nov 2019
Thanks Given: 0
Thanks Received: 1

hi all. First post here and new to this game in general. I've been interested in testing some tick-bar based strategies, as such I purchased a bunch of data from TickData.com as TradeStation only gives me the last 6 months.

in the process of doing my testing and analysis, i noticed that there is a large discrepancy in the number of trades between the tick data that comes out of TradeStation and TickData. I didn't expect them to match exactly, but there is a gross difference in the number of trades that TradeStation is reporting versus what TickData is reporting. Whether i build 1-tick bars or 300-tick bars, Tradestation outputs about 2.8-3.0X as many trades/bars as TickData (via TickWrite 7) does. When i look at the Day Period (0830-1515) only, i get similar results.

Since i can only access the past 6mo of tick based data from TradeStation, these comparisons have been only for the past 6 months.

Anyhow, since i'm fairly new to all of this, i was wondering if there's something obvious that i'm missing here or if anyone else has had similar issues that can point me in the right direction

thanks!!

Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
Pivot Indicator like the old SwingTemp by Big Mike
NinjaTrader
Better Renko Gaps
The Elite Circle
MC PL editor upgrade
MultiCharts
Trade idea based off three indicators.
Traders Hideout
About a successful futures trader who didn´t know anyth …
Psychology and Money Management
 
  #3 (permalink)
 Vacationer 
Sarasota, Florida
Elite Member
 
Experience: Intermediate
Platform: TOS, IB, TS
Broker: TD Ameritrade, IB, TS
Trading: ES, NQ, YM, RTY
Posts: 27 since Jan 2018
Thanks Given: 38
Thanks Received: 13


Scathontiphat,
Can't tell what happened to this post, but it seems that no one ever used tickdata's data to reply.
I just came across it again as I was interested in buying data from them and was doing a search.

Did you continue to buy data from them? Did you ever find out the source of discrepancy between the two? I use tradestation as well, that 6 month limitation has been a drag for testing purposes.

I saw that there is a link here on future.io where tick data for highly traded futures are posted monthly or quarterly, but they need some work to be formatted correctly. Did you ever use this data, instead of buying from tickdata.

At the end I found that importing this data into tradestation wasn't possible due to memory limitations in that platform so I just switched to multicharts, hoping I will have better luck there..

I appreciate any feedback . Thanks.
.

Reply With Quote




Last Updated on September 7, 2021


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts