Support Board
Date/Time: Wed, 25 Dec 2024 14:14:27 +0000
Post From: Inaccuracy in tick data provided by SC Historical Data
| [2015-11-12 19:12:45] |
| Greedygoblin - Posts: 2 |
|
I've decided to verify Tick data for consistency: downloaded tick data using SC Historical Data service and tested it with my own program. Results of verification has raised problem: a lot of records has inconsistent fields. For example lets take a look at A6H15 symbol: Total records: 2993057 137891 records has contradiction between price and Bid/Ask volume fields like: TradePrice=AskPrice (High) but AskVolume=0 and BidVolume=TradeVolume or TradePrice=BidPrice (Low) but BidVolume=0 and AskVolume=TradeVolume so fields in these records shows quite opposite pictures of market order side. In this particular example 4.6% of all records (some other symbols had even 7%) doesnt allow to determine market order side (buy or sell), which means I cant rely on this data if market trade direction is important for me, can I? Could you please clarify which way I need to interpret data in such record to have exact trade direction as it was provided by your datafeed? 1) Ignore position of TradePrice (Close) relative to Ask/Bid prices and take into account only which field (AskVolume, BidVolume) is equal to TotalVolume. 2) Ignore AskVolume, BidVolume and take into account only to which price (High, Low) corresponds TradePrice (Close). 3) There is no way to determine true historical direction of trade 4) other... to make it easier to see what I mean I'll provide screenshot of last such record: as you can see on the picture, BidVolume=3 (means Market Sell), while TradePrice=AskPrice (Close=High) (means Market Buy) this record is seventh from the end. |
 SCRecord.png / V - Attached On 2015-11-12 19:08:56 UTC - Size: 28.92 KB - 272 views |