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Data Integrity (RE vs IB)

Posted By isaacvictorbabani 2 Years Ago
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Posted Thursday January 29 2015
Hello.

I was running my strategy this morning and see differences between the bar OHLC between RE and IB.  Attached are:

a. a screenshot from IB showing the 9:35am (Eastern) 5-minute bar for NFLX.  The High is 447.49 and the Low is 444.16
b. a screenshot of the RE DB showing that the High for the period from 9:35-9:40 was 447.48 and the Low was 444.20.  

The High is different by 1 cent between RE and IB, while the Low is different by 4 cents. It may be worth noting that during the bar in question, I saw a message at the bottom of the RE screen stating that ticks were coming in too fast to be processed and that some ticks would be skipped.  

The differences in prices caused my strategy to not take a trade that is otherwise would have (had the IB data been fully captured within RE).  Can this problem be remedied?  If so, how? 

Thank you.


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Posted Sunday February 01 2015
As far as I know, IB doesn't send the raw tick data from the market, but rather a rate-limited version of it.  So I would not expect it to send data too fast for RightEdge to process.

Is it possible that your system logic might be causing slowdowns which are preventing all the ticks from being processed?  This would be most likely if the system is doing something on each new tick that takes time to complete.

Do you consistently get tick dropped messages, or did you only notice it this one time?  If you do get it consistently while running your system, try starting live data without running your system to see if ticks are still dropped.

Thanks,
Daniel
Posted Sunday February 01 2015
This is not the first time, but it is an infrequent occurrence.  
I do test entry rules at every tick, but I am not doing anything too computationally intensive.  


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