ES Journal - 2019/2020
- Thread starter Buy1Sell2
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Out at 3281.00 for gain of 29 points.
Today's wild and wholly action caused my data feed (IQFeed) to occasionally show gaps in my 200 tick charts. In other words, the open of the current bar was not the same as the close of the previous bar. Now this would happen only when the current bar was forming, and then the gap would somehow get filled before the end of the 200 ticks.
I am trying to rationalize this behavior as with a super liquid market like ES, this should not happen, right ?
It appears as though the order in which the bids/offers are matched to trade orders somehow results in prints that are not contiguous. In other words as the prints move from 3225.00 to 3225.50, somehow the 3225.25 prints are "behind" the 3225.50 prints....but they eventually get recognized in the formation of the OHLC bar. After reviewing today's bars, there indeed are about a dozen instances of gaps that remained.
Any thoughts on this ?
I am trying to rationalize this behavior as with a super liquid market like ES, this should not happen, right ?
It appears as though the order in which the bids/offers are matched to trade orders somehow results in prints that are not contiguous. In other words as the prints move from 3225.00 to 3225.50, somehow the 3225.25 prints are "behind" the 3225.50 prints....but they eventually get recognized in the formation of the OHLC bar. After reviewing today's bars, there indeed are about a dozen instances of gaps that remained.
Any thoughts on this ?
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I guess it all depends on how many different instruments you have on screen. During fast-moving markets, the internet feed or the internal platform design can't keep up with the lightning-fast price changes and so packets of data get lost creating gaps. If you only got one instrument and one graph on the screen, then i"d say you need a better platform or faster internet or even more RAM.
I've got ES,NQ,CL,RTY charting tick-level data. I have a 1 gigabyte router with a wired connection to my laptop which is quad core with 16 GB ram. Platform is written in multithreaded C/C++. I don't think it's the platform or the set-up.
I'm failing to see the problem.
Whenever you have a "bundle" of data, with defined starting and ending points, whether time based, tick based, volume based, range based, or whatever, the end point to a fresh open point may not be contiguous, nor is it mandatory to be. The market does not know the defined start/end points of YOUR data "bundles", or the type of "bundle"(bars) you choose to monitor.
In fast markets bar-to-bar gaps occur. In "normal" moving markets bar-to-bar gaps occur. As an extreme, listen to the audio, or better, replay data from the official "flash crash"... The ES gapped bar-to-bar by handles at times.
One could make a generalization the gaps you are referencing are volatility spikes. Fast markets are different, in that direction, volume, range, and volatility, are sustained and strengthening, begetting more of the same.
My 2c.
Trade On!
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I think it's a timing issue. Attached is my 200T IQFeed chart for reference. My chart show a large bar where you actually have a gap. I probably have the gap but it's hidden within the bar, which was still under construction. In your case, the first tick of the bar was the price gap.
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Probably not. I have a decent trading rig, different platform, but the same feed (IQ Feed) and I had the same thing happen.
If I understand correctly - you're saying there's a gap where a trade has actually been transacted?
Did you check the Time & Sales to confirm that there actually was a trade at that price/time point?
I've seen these gaps myself from time to time, not just yesterday, and always thought it was an actual gap, i.e., no trades transacted there. Although that would most certainly not be normal on ES, I reasoned that it could happen once in a blue moon.
Haven't bothered me enough to to any research on it, but would be happy to know the actual explanation.
Gaps happen throughout the day and most traders are unaware of them as they can easily remain hidden on larger bar intervals. But even on the Prince of them all, the 5 minute ES, there are gaps throughout the day that go unremarked (though they can offer very valuable information to those who see them).
Thanks for the feedback guys. I now wonder if I should write some code to detect the gaps and track the counts per day. Maybe I could then bring this up with the IQFeed tech support folks. I would find it hard to believe this could be an issue with the CME's data servers or order matching engine or order book (DOM).
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