Downloaded prices and time

Posted By: kerplunk1899

Downloaded prices and time - 10/02/18 22:48

Hi all,

I have a problem with the comparison of prices between the ones I have downloaded using Zorro from FXCM and the ones I actually see directly on FXCM.
In particular I am focus on the EUR/USD prices.

I have downloaded from FXCM the prices of the last 9 years using this script:

Code:

// Update M1 price history of all assets
function run()
{
  NumYears = 9;
  while(loop(Assets))
    assetHistory(Loop1,1);
  quit();
}

Unluckly, checking the correctness of the downloaded prices, I have noticed that comparing each price on a minute base, they do not match at all.
There is a huge difference between all the values.

Can you please help me to understand which could be the reasons of misalignment?

Thanks and regards,
Luca

Posted By: Zheka

Re: Downloaded prices and time - 10/03/18 01:26

Check if they are shifted by 1 min

Posted By: tradingest

Re: Downloaded prices and time - 10/03/18 06:11

Originally Posted By: Zheka

Check if they are shifted by 1 min

Hi,

Is not shifted. The chart and data are completely different. How can I obtain the italian hours downloading the data?

thanks

Posted By: kvm

Re: Downloaded prices and time - 10/03/18 07:46

Yes, there is a shifting. Not a time-shift but a price-shift. As you can see all the downloaded prices are "Zorro-Site-EURUSD_2018.t6" + 0.00005!
IMHO this is some sort of rounding issue.

Attached picture ZHistoryEditor.jpg

Posted By: Spirit

Re: Downloaded prices and time - 10/03/18 08:52

Spread?

Posted By: kvm

Re: Downloaded prices and time - 10/03/18 09:48

Originally Posted By: Spirit

Spread?

Spreads might depend on the account type.

Posted By: tradingest

Re: Downloaded prices and time - 10/03/18 12:50

Originally Posted By: kvm

Originally Posted By: Spirit

Spread?

Spreads might depend on the account type.

If I see a chart with determined values in the zorro history I'd like to see the same data otherwise is very difficult make analysis. Right?

Can you help me to understand better this problem.

Posted By: kerplunk1899

Re: Downloaded prices and time - 10/07/18 22:02

Originally Posted By: kvm

Yes, there is a shifting. Not a time-shift but a price-shift. As you can see all the downloaded prices are "Zorro-Site-EURUSD_2018.t6" + 0.00005!
IMHO this is some sort of rounding issue.

Hi again,

I'm sorry, but I'm not able to match the prices data

Can you please help to understand what I'm missing?
I want to have the security to backtest on prices that are exactly equals to the real ones.

I show you a screenshot I made where you can see prices of EURUSD on some minutes of last friday evening:

https://ibb.co/bNfdW9

As you can see prices are different, and the shifting of 0,00005 doesn't seem to apply here...

Am I watching the prices in a wrong way?

Thanks,
Luca

Posted By: Spirit

Re: Downloaded prices and time - 10/08/18 06:21

For watching them wrong, there only a few possibilities. Wrong time zone, wrong price type like bid instead of ask, wrong asset like future instead of underlying, and wrong price source like a different broker. Thats all I can think of. So should be not difficult to find out which it is.

Posted By: kvm

Re: Downloaded prices and time - 10/08/18 09:31

Originally Posted By: kerplunk1899

[quote=kvm]
...

Am I watching the prices in a wrong way?

Thanks,
Luca

I would say... yes!

They are perfectly match with each other! Take a look at my screenshot to understand the process:

1. Switch the online platform to ASK prices.
2. Switch the online platform to UTC time.
3. Keep in mind that Zorro saves bar's END time.
4. Compare OHLC and Volume data.

Attached picture fxcm-zorro.png

Posted By: kerplunk1899

Re: Downloaded prices and time - 10/08/18 11:56

Awesome! Thanks so much

Posted By: tradingest

Re: Downloaded prices and time - 10/09/18 20:45

Hi guys,

looking at the prices I realized that the historical series .t6 have an identical double record as shown here .
How can this problem be solved?

Thanks again

Posted By: jcl

Re: Downloaded prices and time - 10/11/18 06:49

You can use dataCompress for eliminating double records from a dataset.

Posted By: tradingest

Re: Downloaded prices and time - 10/11/18 07:32

Originally Posted By: jcl

You can use dataCompress for eliminating double records from a dataset.

Can also be used to compress .t6 file?

Thanks so much