wrong Daily candles

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wrong Daily candles

Postby frAnton » Wed Jul 11, 2012 10:11 pm

FxConnect API reports wrong Daily candles for NZD/USD for 07/11/2012.

Marketscope:............. FxConnect:
O: 0.79374................ O: 0.79736
C: 0.79562................ C:0.79562
H: 0.79975................ H:0.79975
L: 0.79306................. L:0.79305

I think I am seeing similar pictures for the other pairs.

thanks,
Anton.
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Re: wrong Daily candles

Postby sunshine » Thu Jul 12, 2012 5:38 am

Please tell the name of the server you use. Do you use the same credentials for TS/Marketscope and ForexConnect? We have tested the issue on u100d1. The prices are the same.
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Re: wrong Daily candles

Postby Bebbspoke » Mon Jul 16, 2012 3:22 am

Hi Anton,

Please note; - I am UK based and use UK nomenclature and timings.

You are not the only one to suffer from the failure of FXCM to clearly FLAG that a definitive Close value has been announced.
I have had several confusing explanations as to why this is the case; - none have been rational.

Observe (say) a Marketscope graph; - EXCEPT for the Friday Close to Sunday Open transition; ALL "next Open value" concur with "previous Close value" - it is from this data that we calculate MAs etc; virtually all indicators are based at least partially on Close values.

HOWEVER - in REAL LIFE the NEXT trading candle is started ON TIME but the preceding candle is NOT actually closed until some time AFTER trading has commenced on the new candle. It is also observed that the "finalized" Close value is defined at variable times after the new candle opens and that this variable delay increases in real time with longer time period candles.

I know that this has not really answered Anton's post - but hopefully it will spur persons within the FXCM // FXConnect // Marketscope emporia to satisfactorily ADDRESS this problem such that everyone is able to "sing from the same hymn sheet". It is these Close // Open conflicts that are severe stumbling blocks for both manual and robot trading.

Cheers, Bebbspoke
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Re: wrong Daily candles

Postby tllewell » Sat Oct 13, 2012 8:09 am

It appears that this issue has not been addressed. I am in the process of converting from O2G to FXConnect, and I was hoping that FXConnect would solve the problem I'm having of my indicators being wrong.

In O2G, what I'm seeing is that if I build something like a pivot point or average true range from a market history grab when the next candle opens, my indicators to not track the values I see in Marketscope. But if I grab every tick I can and build my own candles, everything is OK. It looks like I'll just have to do the same thing in FXConnect.

Or, is there an indication in FXConnect that the last candle is finalized, as opposed to just signaling that the last tick for the candle has arrived?
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Re: wrong Daily candles

Postby Bebbspoke » Mon Oct 15, 2012 1:38 pm

Hi tllewell - this seems to be a universal problem - it is observed that FXCM will open the "next bar" at the correct time but the previous bar will not necessarily be closed at specific values until several seconds AFTER the new opening - this is a real pain in the nether regions.
I have requested time and again for FXCM to provide clock flags precisely when a new bar commences and when the preceding bar is finalized; - to no avail...
How the blazes one is expected to develop autonomous trading robots (or to make RELIABLE live trades) is nigh on beyond me - surely if enough of us complain about it they might actually do something about it... or maybe it's an intentional move to maintain brokerage perks!
Should you have any suggestions as to how to get around this problem I should be most appreciative...

Cheers, Bebbspoke
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Re: wrong Daily candles

Postby tllewell » Mon Oct 15, 2012 5:35 pm

Is this also happening in Marketscope? Seems like it would play hell with strategies, unless they get a "first class" feed and we're getting a feed for the cheap seats.

Seems like the quick fix is some kind of sloppy delay so nothing is evaluated just as the bar closes, but that's pretty kludgey. :roll:
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Re: wrong Daily candles

Postby Bebbspoke » Tue Oct 16, 2012 2:32 am

Hi tllwell and others....
Yes - it does happen on Marketscope - and yes I think we are being dumped in the "cheap seats" as you put it...
Certainly a delay is a possible solution but that is certainly nowhere near a good (or trustworthy) solution.
I've never heard the word "kludgey" before... but if it translates to frigging appalling and or disgusting then it is very appropriate.
I really do believe that this variable "close // open" overlap is to prevent shrewd traders seriously benefiting...
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Re: wrong Daily candles

Postby Ekaterina » Wed Oct 17, 2012 6:25 am

Hi tllewell,

Or, is there an indication in FXConnect that the last candle is finalized, as opposed to just signaling that the last tick for the candle has arrived?

Could you please specify how do you get an information that the last tick is received?

The procedure of how you determine the time for requesting the history is not quite clear for me. If you could explain or maybe post a patch of the code you use, that will help a lot in solving the problem.

Anyway, I would like to draw attention that in Marketscope 2.0 the beginning of a new bar is equal to the end of the previous one. It means that in fact a value of the first tick is lost.

Best regards,
Ekaterina
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Re: wrong Daily candles

Postby mstreck » Thu Jan 24, 2013 5:03 pm

Hi Ekaterina,

I am sweeping through some of the API posts to get up to speed on this.

Your answer caught my atttention, could you elaborate on the rules that MarketScope applies.

Is the Close Price of a candle determined with the first tick that falls 'outside' of the candle range or is it the last tick that still is inside the candle's time duration? Example, for a H1 bar, would it be the tick of 13:59 / 59 seconds or the tick at 14:00 / 1 second? I guess you must have a rule for this.

I have been under the impression that in above example the tick at 14:00 / 1 second is taken for both the close price of the previous hourly candle and the open price of the next hourly candle, but maybe it is totally different?

Also, I do not get why a tick is lost. Which one is lost and why?

Thanks,
Martin
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Re: wrong Daily candles

Postby frAnton » Tue Jan 29, 2013 6:23 pm

Ekaterina wrote:Hi tllewell,

Anyway, I would like to draw attention that in Marketscope 2.0 the beginning of a new bar is equal to the end of the previous one. It means that in fact a value of the first tick is lost.

Best regards,
Ekaterina


Ekaterina,

it is not clear for me what tick is being lost by MarketScope 2.0 and why?
Would you please explain this?

thanks,
Anton.
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