Support Board
Date/Time: Sat, 28 Dec 2024 08:14:06 +0000
Post From: Accuracy of ticks with exchange traded spreads and number bars study?
| [2016-04-18 00:52:06] |
| i960 - Posts: 360 |
|
Attaching a chart here incorrectly showing the last trade at -0.75 (it wasn't, it was -0.73 - because it was my actual trade). Additionally, the DOM seems to be reflecting stale quotes as the current ask (being flashed on and off) is -0.80, not -0.73 (which was my offer before it got filled) and a best bid of -0.87. A non-number bars study shows the trade at -0.73, the problem here is with number bars (and the stale quotes in the DOM). The fact that I'm seeing totally old data on the DOM makes me wonder how live this data even is. Also, the tick data only goes back to 3/23, meaning less than 3 weeks of actual data - but I know these spreads within SC have been available for quite a few months now. Where's the older data? There's prints on this spread all the way back to October of 2014, so it's not an issue of it not trading then. I don't expect SC to have data all the way back then, but I do expect it to have data older than 3 weeks. |
 sc_ets_problems.png / V - Attached On 2016-04-18 00:51:57 UTC - Size: 67.56 KB - 327 views |