Date/Time: Thu, 30 Mar 2023 07:41:13 +0000
Post From: Often duplicate ticks in the chart after backfill
|User569373 - Posts: 11|
I wrote an ACSIL study which references a tick chart of the type “Number of trades per bar == 1“. Almost 99.9% of the time the study works correctly, but suddenly it does output nonsens data.
I started investigating and found data sequence errors in the chart. What I mean is, there should not be a tick with an older timestamp than the previous one. The time stamps should only be ascending and not suddenly descend for few ticks.
Further more I figured out, this behavior happens as soon I connect to the data feed and it is performing the backfill. The data sequence error happens more or less at the boundary of the already existing data and the new one.
According to the attached DSE* pictures, there are duplicated sequence of ticks.
Example: There are following ticks on the chart.
1 2 3 4 5 6 7 8 9
You connect to the data feed.
Instead getting only the ticks 10 11 12 13 14 15 …… you get also a few of the already existing ticks.
6 7 8 9 10 11 12 13 14 15
As a consequence you have a few duplicate ticks in the chart. You can check this also in the Intraday data editor.
1 2 3 4 5 6 7 8 9 6 7 8 9 10 11 12 13 14 15
The amount of duplicated ticks is not fix. In the attached examples its something between three ticks and ten ticks.
I use the Sierra Chart delayed data feed.
I know we can/should expect data errors, but since this happens each time when I connect to the data feed, I think there is something to improve. It is not symbol related.