wrong candle formation with gdf data?

#1
I am seeing wrong candle formations in amibroker with GDF data.

I am not sure if its a valid behaviour, the ticks coming into the time and sales window in amibroker and 1min candles are totally different. (attached snapshot of 12.53pm candle showing the ticks in time and sales window and 1min OHLC formed in charts)

previous minute(12.52pm) in ACC-I has only tick 1005.50 and 12.53 pm open is 1006.35. whereas the charts for 12.53 candle shows 1005.50. did observe similar pattern in Friday 1min charts as well, is this as expected? :confused::confused::confused:
 

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rkkarnani

Well-Known Member
#2
The GDFL people are really very helpful. Post a link of this Post in a thread about GDFL data and I am sure your problem will be resolved.
Shall do it now for you.
 
#3
Thanks rkkarnani.

Are you also seeing same issue in your charts as well? my concern is if the candles itself is forming wrongly what is the point of having tools/data for TA

Is this a known issue as they are in the markets from last 4-5years?

Has no border ever seen this before?
 
#4
And i checked many other symbols as well, most of the 1min candles open are considered to be equal to previous close. Not sure if this is right formation.
 

rkkarnani

Well-Known Member
#5
Thanks rkkarnani.

Are you also seeing same issue in your charts as well? my concern is if the candles itself is forming wrongly what is the point of having tools/data for TA

Is this a known issue as they are in the markets from last 4-5years?

Has no border ever seen this before?
I use metastock, and except for some minor data interupption problems, never had any major issues with GDFL data. Of and on there is a problem regarding "Auto" data updation which get rectified on restarting the Application, but this is very rare!

I have actually not very clearly understood your 'issue' !
Are you saying that in a certain 1 minute candle of ACC you can see only a single tick, i.e. OHLC are all at the same level? Usually this thing can happen when there is micro second interuption in data flow and a New candle starts forming, before the present one is completed, but this usually gets rectified on "refreshing" the chart.
GDFL can comment better on it but to me it seems to happen when the trade data inflow is faster than what the Software can handle. Hence does not happen all the time but whenever there is a surge in activity or when there is drop in Net Speed this may happen.
Please contact GDFL ppl and seek clarification. Moreover as I do not have this "Time and Sales" window in Metastock hence unable to give a better reply. :p
 
#6
Actually what i am seeing is suppose there is only 1 tick in entire minute lets say 12.52.04sec and no trades untill next minute. This value is considered as open to form the next candle i.e 12.53 candle.

Suppose there is no tick is 12.53 minute as well, this tick data of 12.52.04 will be used as a open untill next tick comes in which is absolutely wrong.

ex :- candles formed in below format
Time O H L C
12.52 1003 1006 1003 1005.50

12.53 1005.50 ..... ....... .......

whereas open should have been 1006.35 as per the data flowing from gdf
 
#7
looks like these candles are totally useless to even consider for TA.

found this out when i came across zerodha nest trader intraday charts and found this issue.

feel Zerodha nest trader gives better data and charts for TA purpose with many other algo's which can be integrated.
 
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boarders

Well-Known Member
#8
GDF data many a times goes and corrects back the OHLC values after the event during real time. due to this we cannot depend on the trading systems we use as even a non repainting afl will repaint/put the entry exits on previous candles due to OHLC corrections. this is why i stopped using it after being a subscriber for about 3 months with them. took me time to figure out this happening. if you watch, for example, the open price of the running candle, you will see that the open price suddenly changes many times. finally I settled for data from my nest/odin platform to amibroker through excel, which although may miss some ticks, I found, is quite accurate and dependable, as well as orders get filled with only slight slippage.
 

boarders

Well-Known Member
#9
Hello,

Old candles are never re-painted. Only the most recent candle can get repainted just after completion (in less than 1 second). It is a design feature - I will explain why we do it below.

Many a times, trader misses tick(s) for reasons beyond his / our control (for example, network congestion, momentary disconnection, client requesting symbol at middle of a minute and sometimes because charting platform misses ticks). Also - for data stream from exchange, sequential arrival at destination is not guaranteed. Many a times, packets are not received sequentially especially during market start or when there is sudden surge in trading activity. Hence reconciliation is required which we do just after minute completion. This guarantees same OHLCV values for ALL users once the candle is complete. But as written above, old candles are NEVER repainted in our system - just the recently completed candle is reconciled and that too exactly at :00 seconds (i.e. just when it completes).
thats exactly what I meant, my explanation probably didnt convey the issue properly.
 
#10
Hello,

Thanks for notifying - will investigate further.
There was an issue with Open value reporting of illiquid symbols (which trade only once / twice in many minutes) long back and it was rectified that time. I will check if the same has re-surfaced again. Do you notice them in liquid symbols as well (like Nifty, Banknifty futures) ?
The problem is, the issue is not reproducible as Time and Sales data is not saved. So it will take some time to check the behavior. But once and if spotted, surely it will be rectified ASAP.

Something seriously wrong in your candle formation, observing this even in banknifty as well today.

you can check the candles of BANKNIFTY-I today with timestamp given

symbol time O H L C
BANKNIFTY 10.53 10177 10179.8 10171 10172.3
BANKNIFTY 10.54 10172.30 .... .... ....

open for 10.54 candle is 10171.30 @ 10.54.03 as per your data.

sorry to say this if major data player goofs up with the basic stuffs....not sure how other players are.
 

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