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Date/Time: Mon, 04 Mar 2024 22:53:10 +0000

Post From: Past data discrepancies

[2022-09-27 11:33:51]
User98657 - Posts: 304
I'm finding a discrepancy between previous period data in SC and the same periods using IRT and DTNMA.

The recent downward trend has caused me to go back and look at data from 2020. In doing that work I started seeing discrepancies between my SC data and the data I was seeing using IRT and DTNMA.

I'm using a 5 minute chart and going back into early 2020 and I'm looking at the RTY. I load and save all my tick data. DTNMA is not a live data feed, but the broker supplied after-market download - again using as much tick data as it will give me.

I'm using Continuous Futures Contract, Date Rule, Back Adjusted data.

The first date of any significance was on 9/13 where you and they differ by 5 ticks at the open, high, and low. By the time I get back to November of 2020 the difference is close to 5 points. This seems to be small accumulations of differences adding up to the 5 points, but I've only spent an hour or so trouble shooting it so I can't say for sure.

I have done multiple downloads on both systems to ensure that was not the issue.

IRT does not perform a back adjustment as you do, I'm sure you know this. And I'm sure you know DTNMA provides back adjusted data.

Thought you'd want to know and perhaps take a look. Some of it may have something to do with the CME recently changing the roll date.
Date Time Of Last Edit: 2022-09-27 11:53:20