Adventures In .NET
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Posts posted by Adventures In .NET
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2 hours ago, burp said:
Will this bundle work?
I have these 3 packages (Consolidated Level 1, Nasdaq TotalView, EDGX Market Depth), but I only trade equities.
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Things are looking good on this today. It appears that this also fixed the VWAP issue. Thanks!
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Thanks a lot. It's looking better at first glance. I'll watch it on Monday and let you know if I still see any issues.
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2 minutes ago, Jerry Medved said:
ok, thats a completely different issue. your tick backfill is failing. send log please
Sent
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10 minutes ago, Jerry Medved said:
in your previous post, where you show raw data with a gap between 5/1 and 5/3, you did a backfill, right? TICK backfill? so the backfill did not work?
Correct.
1) Watched TSLA on the chart and in a portfolio from 13:40:00 to 13:44:59
2) Saw lots of data in the raw data window
3) Cleared All Data
4) Tried "Backfill with TICK data". Waited for the "backfilling" icon to go away.
5) Checked the time period from 13:40:00 to 13:44:59 and saw no data for that, but did see OHLC data from 5/1 and older.
6) Cleared All Data
7) Tried "Backfill TSLA using...", then selected "dxfeed (Tick)". Waited for the "backfilling" icon to go away.
8 ) Checked the time period from 13:40:00 to 13:44:59 and saw no data for that, but did see OHLC data from 5/1 and older.
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I cleared all days, so the data you're seeing from 5/1 is from backfill and does show the BF mark on the volume cell.
If I backfill using dxFeed OHLC, I get this during that timeframe.
05/03/24 13:44:48 180.7529 0.0000 0.0000 52,541
05/03/24 13:44:36 180.6200 0.0000 0.0000 52,541
05/03/24 13:44:24 180.8499 0.0000 0.0000 52,541
05/03/24 13:44:12 180.8499 0.0000 0.0000 52,541
05/03/24 13:43:48 180.8400 0.0000 0.0000 40,431
05/03/24 13:43:36 180.8200 0.0000 0.0000 40,431
05/03/24 13:43:24 181.0799 0.0000 0.0000 40,431
05/03/24 13:43:12 181.0799 0.0000 0.0000 40,431
05/03/24 13:42:48 181.0600 0.0000 0.0000 22,752
05/03/24 13:42:36 181.0000 0.0000 0.0000 22,752
05/03/24 13:42:24 181.2499 0.0000 0.0000 22,752
05/03/24 13:42:12 181.2499 0.0000 0.0000 22,752
05/03/24 13:41:48 181.2300 0.0000 0.0000 38,081
05/03/24 13:41:36 180.9800 0.0000 0.0000 38,081
05/03/24 13:41:24 181.2953 0.0000 0.0000 38,081
05/03/24 13:41:12 180.9900 0.0000 0.0000 38,081
05/03/24 13:40:48 180.9701 0.0000 0.0000 19,586
05/03/24 13:40:36 180.9300 0.0000 0.0000 19,586
05/03/24 13:40:24 181.1499 0.0000 0.0000 19,586
05/03/24 13:40:12 181.0000 0.0000 0.0000 19,586But the candles are solid and don't show any wicks.
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When I do that, the data from the 5 minutes I was watching does not get filled. I watched TSLA (also in a portfolio) from 13:40:00 to 13:44:59, cleared and backfilled and this is the Raw Data. I have "include odd lots" checked.
05/03/24 13:46:10 180.7210 180.7200 180.7500 129
05/03/24 13:46:10 180.7210 180.7200 180.7500 50
05/03/24 13:46:10 180.7300 180.7200 180.7500 47
05/03/24 13:46:10 180.7300 180.7200 180.7600 24
05/03/24 13:46:10 180.7400 180.7200 180.7600 30
05/03/24 13:46:10 180.7487 180.7200 180.7600 25
05/03/24 13:46:10 180.7301 180.7200 180.7600 30
05/03/24 13:46:10 180.7428 180.7200 180.7600 75
05/03/24 13:46:10 180.7400 180.7200 180.7600 30
05/03/24 13:46:10 180.7600 180.7200 180.7600 10
05/03/24 13:46:10 180.7408 180.7200 180.7600 50
05/03/24 13:46:10 180.7400 180.7200 180.7600 100
05/03/24 13:46:09 180.7300 180.7200 180.7600 0
05/03/24 13:46:09 180.7300 180.7100 180.7500 30
05/03/24 13:46:08 180.7200 180.7100 180.7500 100
05/01/24 19:59:48 181.0000 0.0000 0.0000 1,569
05/01/24 19:59:36 180.9000 0.0000 0.0000 1,569
05/01/24 19:59:24 181.0500 0.0000 0.0000 1,569
05/01/24 19:59:12 180.9800 0.0000 0.0000 1,569
05/01/24 19:58:48 180.9800 0.0000 0.0000 751
05/01/24 19:58:36 180.8600 0.0000 0.0000 751
05/01/24 19:58:24 180.9999 0.0000 0.0000 751
05/01/24 19:58:12 180.9999 0.0000 0.0000 751
05/01/24 19:57:48 180.9800 0.0000 0.0000 1,268
05/01/24 19:57:36 180.8800 0.0000 0.0000 1,268
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Sorry, as a developer myself, a video shows me the steps the user takes to replicate the issue. The problem is that tick backfill from dxFeed is missing a significant amount of data. If there's some code I can throw in Visual Studio or other diagnostics in Medved that can help you debug this issue, just let me know.
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Sorry, I'm still having the issue.
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Is this in the beta yet?
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21 minutes ago, Jerry Medved said:
when switching to an account with same subscription as you, yes.
It's good to hear you replicated it and have a fix. I wonder which package you have that hid the problem.
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10 hours ago, Mike Medved said:
I talked to dxFeed and I think we solved the problem. I will check it again tomorrow during market and release in beta.
So you were able to replicate the issue?
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What are your thoughts on the quality of the API? Are fills looking like they will be confirmed quickly in the chart/DOM? I'm having pretty good luck with TradeStation, but at open and a few times in the day, the order marker bounces around for a few seconds before finally showing the position price.
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2 hours ago, Mike Medved said:
I tried running with several of my logins with dxFeed and there is no discrepancy between backfill and collected volumes. I emailed them asking them for a login that matches your subscriptions...
Thanks. Here's a video I just captured that shows it about as bad as it could be.
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On 4/19/2024 at 11:29 AM, Mike Medved said:
I will dedicate some time to this on Mon... If it's the case that the L1 feed of DXFeed produces candles with different volumes than the DXFeed backfill, will report it to them...
As a reference, what kind of subscription bundle do you have with DXFeed?
Have you had time to look into this? Today I installed MT on another machine and still had the issue. I've only added dxFeed and no other providers.
Here is before I cleared the data for WISA. I started watching it at about 8:30, so that's when the live data collection started.
Here's right after clearing and backfilling with tick data.
Unchecking show odd lots only makes it look worse.
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After using MT for about a month, I've compiled a small list of features I'd like to see.
- Link Order Parameters (Qty, TIF, Sp. Ins.) between windows of the same color group. It's easy to change the quantity in one window and then accidentally select another window with a different order size, and then execute a macro that sends a buy/sell order.
- Different highlights/formatting for "at bid/ask", "below bid", and "above ask" in Raw Data window. Being able to use Custom Color Set for this rather than the custom XML file.
- DOM price highlight should filter out sizes smaller than the block size specified in the raw data window. I set my block size filter to 100 to ignore all those 1-share, and 10-share size orders. Those small orders cause the last price highlight in the DOM window to excessively flutter. I like to have quick reactions based on orders that can move the price while watching the highlight. Filtering out the small sales would make this easier.
- Raw Data block trade size based on average volume per row (block = % of average size). I have the block size set to 3000. When I'm watching a mid to high-priced symbol, this is fine, but if I switch to a low-price symbol, almost everything gets highlighted. I was thinking that maybe it could work by specifying a percentage of the average last volume size. A setting of 100% would highlight those at average size or above. A setting of 200% would highlight those that are 2X the average size. It could even have multiple % settings with different colors for each. Another option would be for the Block Trade size to be saved per symbol.
- Have DOM auto-scroll speed options. This is a low priority, but it would be nice to have an option for faster more responsive auto-scrolling.
- Compute approximate transaction profit using a simple option based on the average share price that can be shown in the Transactions window.
Thanks.
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I'm trying to configure some risk management parameters that block me from taking a position higher than I want to. The max quantity on the accounts page seems to limit the automatic quantity calculation, but any quantity tabs, quantity boxes, or macros don't obey this max limit. It would be great if we could set a max position size in share quantity or position $.
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Any other ideas on this, or some diagnostics I can run to determine where the issue is?
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And after I watch it for a while again, the volume since watching looks right.
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Here are two videos I made today. The first is toggling odd lots and forcing backfill using dxFeed tick data. Odd lots makes no difference, but you can see all the volume disappear after clearing and not come back after forcing backfill.
The second is forcing backfill using TradeStation. The volume looks better, but the candles are not good.
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15 minutes ago, Mike Medved said:
Jerry suggested unchecking the Odd Lots setting. What happens when you do?
Very little change. Is this video from above, I go through all the various settings and refill options.
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I had shut down for a while, but opening it back up, you can see here where I had the symbol either being watched or in a portfolio.
Here's after clear and backfill.
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Any idea what I should do to fix this? Here's WISA just now, you can see how the volume is correct once I'm viewing the symbol at 13:07, but the backfills are way off. Is there any way to determine if this is a dxFeed issue?
Gaps in price data
in Support
Posted
I saw this today too. I'm using dxFeed. If I cleared and refilled it was ok, but the gaps were there upon initially switching the chart.