Bars created from broker real-time data feed differ from bars created from eSignal

[abattia]

Quote from januson:

... the posting was targeted at Abattia...

"You should look at the ticks not the bars, compare both tick streams and write to eSignal to ask why this difference exist... This is under assumption that you use the same charting tool to show the bars, is this correct assumed?"

Apologies! I hadn't picked up on this.

I will investigate this further in the way you suggest.

And to answer your question ... Until starting this thread (and another on a related topic), I used my broker (MBT) for real-time data, and eSignal for historical data (including backtests). I trade US equities intraday.

I have now switched to eSignal for both real-time and historic data. As thstart points out, this means that my trade orders will be operating against prices (i.e. my broker's) that are different from those (i.e. eSignal's) generating entry/exit signals, but I can live with this for now ....

 

[januson]

Quote from thstart:

The bars and OHLC as far as I know are used specifically for stock market and have to applied the way they are invented to be used. As far as I know they were intended for EOD data analysis. For intraday there other ways. For EOD they have a meaning, but for intra-day - they do not have a meaning.

And

Quote from thstart:

I am trying to tell you what has a meaning intra-day. OHLC has no meaning intra-day.

What OHLC means to you? Then try to explain the meaning of OHLC for intra-day data in common sense terms. Does it make sense to you?

If to you the stock market data are just digits unrelated to the nature of the stock market then you can search for dependencies and still not find ones.

thstart, you are very very wrong here. Please read my previous comments, OHLC is just a visual representation of a group of types. Maybe the word "group of types" is to abstract for you, I will try to explain.
A type can be for instance a time, volume, range etc. I bet you know them as ChartTypes.
A group is taking ticks into some sort of an interval and type. Interval can be 5 min, 1 hour, 1 day, 1 week etc.

You cannot say the OHLC is for EOD, OHLC charts has the exact same functionality as i.e. candlestick charts. Both has the same grouping methodology but differs in visualization. However for these 2 the difference is very little, candlesticks has open, high, low close and vise verso.

"What OHLC means to you? Then try to explain the meaning of OHLC for intra-day data in common sense terms. Does it make sense to you? "

- Exactly the same as candlesticks, they represent the same, but with different visualization, please see above.


thstart -> Please be specific here "For intraday there other ways. "?

 

[jprad]

Quote from thstart:

I am talking about stocks. Probably you mean futures or currencies.

OK - think about the meaning of these - a) "gap at open", b) "first trading hour" c) "last trading hour"- what they mean to you? If they mean nothing to you then you are missing important trading information.

If they have a meaning to you then:
In case of a) you have to know Open and Open has a "natural" meaning. In case of b) it has the meaning of 1h 30 min after opening. If Opening is at 9:30 EST "first trading hour" is referencing to 11:00 after the Open at 9:30. In case of c) it is related to Close.

If you pay attention to what happens in the "first trading hour" and know some "additional" info you can tell with high probability what can happen during remaining part of the day and especially "last hour".

This is what I mean by "natural". There is more of course. You can drop me a PM if want to know more about "additional".

P.S. By the way for futures you can follow stocks normal trading hours and get the same meaning. There is not such thing as abstract "atomic" but if know "natural" more likely will understand better.

First off, I'm not talking about any specific instrument.

Second, you've completely contradicted yourself here.

You started this in a previous post that intraday bars have no meaning and now you're saying that someone should pay attention to happens during the first trading hour?

If the first trading hour has greater significance compared to the rest of the trading day then it stands to reason that someone can benefit by breaking up the trading day into bars so that they can more easily visualize what goes on during that first trading hour.

Also, the first trading hour on the NYSE is not the first trading hour for ADRs listed on the NYSE. How does your theory handle that class of stock?

 

[jprad]

Quote from thstart:

5 days is a "natural" divide, week is 7 days, 5 days are trading days.

These intervals are considered when big institutions are moving the market.

A day, week, month, whatever, is nothing more than an analog to document the passing of time.

To put greater significance on one duration over another is nonsense. A monthly or weekly chart is completely irrelevant to a daytrader who scalps and a minute chart is equally unimportant to an institution.

But, I sincerely doubt that institutions and hedge funds go about saying 'oh shit, it's [Mon|Tues|Wednes|Thurs|Fri]day, time to [Buy|Sell|Short|Cover]."

 

[jprad]

Quote from abattia:

And to answer your question ... Until starting this thread (and another on a related topic), I used my broker (MBT) for real-time data, and eSignal for historical data (including backtests). I trade US equities intraday.

IMHO, a better use is to have eSignal up alongside your broker so that you can detect, determine and react to those times when the two data streams are not in agreement.

 

[thstart]

Quote from jprad:

To put greater significance on one duration over another is nonsense.

Nonsense to you.

 

[thstart]

Quote from jprad:

You started this in a previous post that intraday bars have no meaning and now you're saying that someone should pay attention to happens during the first trading hour?

First trading hour and other intra-day characteristics have nothing to do with intra-day bars or candlesticks. You can visualize and analyze them in many other ways.

 

[thstart]

Quote from jprad:

A monthly or weekly chart is completely irrelevant to a daytrader who scalps and a minute chart is equally unimportant to an institution.

Exactly - Daily, Weekly, Monthly charts are analyzed with OHLC.

Minute by minute - in that case OHLC has not meaning.

You still cannot tell what OHLC means minute by minute. Yes - it is a form of visual representation and you use it because you don't know a better way.

 

[thstart]

Quote from jprad:

But, I sincerely doubt that institutions and hedge funds go about saying 'oh shit, it's [Mon|Tues|Wednes|Thurs|Fri]day, time to [Buy|Sell|Short|Cover]."

They do. Just a hint - the big orders institutions want to place are not executed with a click of the mouse. They will make a market impact and don't get a good price. Not to mention HFT here. Now there is a pattern how big orders are sliced and placed in the time. And this time is not minute by minute, but can some times take a week but placed at specific time frame during the day.

Another example - pay attention to option expiration days - the third Friday of each month. Watch how options are distributed along specific prices and what happens at the week before option expiration.

If a day trader knows where the price is going it is easier when he trades intra-day.

There are many other Daily, Weekly, etc. dependencies relevant to day trader.

 

[jprad]

Quote from thstart:

Exactly - Daily, Weekly, Monthly charts are analyzed with OHLC.

Minute by minute - in that case OHLC has not meaning.

You still cannot tell what OHLC means minute by minute. Yes - it is a form of visual representation and you use it because you don't know a better way.

If you've got brokerage statements that supports your position, be my guest.

Otherwise, it's just as likely that you're putting up a smokescreen as spite for not being able to use intraday charts profitably.