Date/Time: Sun, 22 Apr 2018 05:05:30 +0000
Post From: Corrupted data on futures contracts prior to June 2017
|User401662 - Posts: 7|
Sorry for not being clear.
In the screenshot in my first message, the first arrows points to a candlestick that opens four ticks above the close of the previous candlestick, which means there is a problem with the data (there is a gap between the two candlesticks, which can happen occasionally, but not 4 ticks and not so often, especially with the S&P 500 e-mini). This is only one example, and I pointed out several others with the other arrows. And it happens every day, with:
- Tick and volume charts (I use mainly tick charts for trading) only.
- Futures contracts prior to June 2017. F.US.EPZ17, F.US.EPU17 and F.US.EPM17 are fine, but F.US.EPH17 and prior contracts are not and I need to work on this data for the replay.
I attached a screenshot of F.US.EPZ17 so you can see the difference with the first screenshot. I don't believe the service package is the issue, because both F.US.EPM17 and F.US.EPH17 are historical data, but the latter seems corrupted. I use CQG data.
Do you see now what I mean? Do you see the difference between the two screenshots?
F.US.EPZ17 2000 Trades #1 2017-12-08 19_57_01.357.png / V - Attached On 2017-12-08 19:05:23 UTC - Size: 75.45 KB - 24 views