Hi,
I'd be most grateful if you could help me with the following issue about the quality of IB minute data in Zorro.
I have a strategy based on minute data for the Eurex Dax future, say, DAX-FUT-20171215-FDAX-DTB-EUR, for the contract that expires this Friday. When I start the strategy in the morning, I need to load one day worth of minute bars from the previous day (LookBack = 60*24) in order to calculate the signals. My strategy also uses the USDJPY, and so I get minute bars 24/7, and I don't mind if out of trading hours, the most recent dax minute bar gets repeated again and again (don't know whether this is the documented behaviour).
Zorro calls my run() function, and I log open/high/low/close of every minute bar. For the Dec 2017 contract, yesterday evening (Dec 12th) this looks as follows (times are in UTC, i.e. Eurex closes at 21:00, and the closing auction follows a few minutes later).
2017-12-12 20:58:00 FDAX O=13173.00, H=13173.50, L=13168.00, C=13170.00
2017-12-12 20:59:00 FDAX O=13173.00, H=13173.50, L=13168.00, C=13170.50
2017-12-12 21:00:00 FDAX O=13173.00, H=13195.00, L=13168.00, C=13180.00
2017-12-12 21:01:00 FDAX O=13173.00, H=13195.00, L=13168.00, C=13179.00
2017-12-12 21:02:00 FDAX O=13179.00, H=13189.00, L=13176.00, C=13189.00
2017-12-12 21:03:00 FDAX O=13179.00, H=13189.00, L=13176.00, C=13186.00
2017-12-12 21:04:00 FDAX O=13179.00, H=13189.00, L=13176.00, C=13186.00
This series of minute bars has the following problem: The high of 13195.00 for the bar that closes at 21:00:00 is fake. It wasn't there and neither Bloomberg nor the IB Trader Workstation show it. The correct high during that minute was 13172.00, and when I display yesterday's chart in the IB TWS, the chart agrees with Bloomberg (although IB does not guarantee that they forward you all ticks - in any case, not even IB show the fake 13195.00 in their chart).
Correct would have been this:
20:58:00 ....
20:59:00 O=13171.00 H=13171.50 L=13168.50 C=13169.00
21:00:00 O=13169.00 H=13172.00 L=13168.00 C=13170.00
21:04:00 O=13186.00 H=13186.00 L=13186.00 C=13186.00
There ought to be no volume after 21:00:00 except for a single tick around 21:04:00 which is the price of the closing auction.
What do I need to do in order to get the correct minute bars? I am running Zorro-S 1.66.5. Any help will be much appreciated.
Kind regards,
gloria
PS1: I know that the Eurex itself sends a number of volumeless ticks between 21:00 UTC and the closing auction in order to report an "indicative auction price", i.e. something like their estimate of the closing price given the orders submitted so far. Was the 13195.00 such an "indicative price" and just counted towards that minute bar by mistake? I don't know. How can I tell? Somehow IB's own TWS gets it right.
PS2: I ran the strategy this morning around 06:00 UTC, way too early to have any connection to the Eurex technical glitch between 08:00 and 08:45 local time today.
