Data differences between MS2, Order2Go & ForexConnect API

[LeTigre30]

Hello to whom it concerned ...

I checked a simple data with the three tools :
MarketScope (of the last TS2 release),
Order2Go,
ForexConnect API (64bits)

In MarketScope running, the data informations window is opened,
another application, using Order2Go, is running, with detailed table "Offers" where datas come from TradeskEventSink,
another application, using ForexConnect API (64bits) with Excel 2010, is running also, all events being captured via COM ...

What I observed (reference is TF m1, XAU/USD on March 5th, 2014 at 17:44 UTC time ) ...
The "Volume" in the informations window of MS is 454 units for the whole minute, the same data for Order2Go is 122 units, and for ForexConnect API, the data is 77.

I hope all datas represent the Tick Volume, but why those differences ?
I precise that the ticks are received at EACH time an event comes in the "Offers" table ...

Other observation, some minutes later (17:47) same day : at the moment where MS shows a new starting candle (period = 0), the volume appears at 17 units, without any movement of the price, and, during this candle, volume is increased but the price does not move, and no changes in Order2Go or ForexConnect API;

Is someone can explain to me those particular events ? as, if a strategy is based on these datas, it's not possible to have any trust in the events coming.

Regards,

LeTigre30

[LeTigre30]

I continue to check this problem ...

In ForexConnect API application with Excel, I checked the "Volume" info at each event.
when an event is fired and received, the volume is not equals to 1, but to many units, example

event 1 (at the new starting date) volume = 13
event 2 : volume = 7
event 3 : volume = 9

etc ...

If I add all the data volumes during the same minute, the sum is == to the volume displayed for this minute in MS Informations window, but my question is, why receiving just one event, I have many volumes ?

A way of search : as with COM library, we have a software layer more, does this difference could come from this layer ?

Regards,
LeTigre30

[Gennadiy]

Hello LeTigre30,

Could you please confirm, that you uses m1 timeframe for charts and ForexConnect?
We have tested m1 chart volume and ForexConnect volume for that minute and they match.

event 1 (at the new starting date) volume = 13
event 2 : volume = 7
event 3 : volume = 9

For the ForexConnect the volume resets each minute.
Are you sure that event 1 and event 2 happened during the same minute? The volume shall grow during a minute.

why receiving just one event, I have many volumes ?

Client side does not receive all updates of prices, but they are all recorded on the server side. So the price of the server may be changed 10 times, but charts and FC receives only one tick. In this case the volume will be changed on 10 per one tick.

[LeTigre30]

Hi Gennadiy,

Thanks for reply ...
If I read well, TS2 and MS (clients) don't receive all ticks ?
In the same way, with ForexConnect API and Order2Go, it's the same ?

Regards,
LeTigre30

[Gennadiy]

Hello,

Yes, you understand it right. This is a server-side restriction.