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please look at the difference close price on 6/10 between the two pics below...
the first is captured on the open of 6/11.
and the second is captured on 6/12...
can TS compensate my loss due to the error?
Or what can I do??
Can you help answer these questions from other members on NexusFi?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,052 since Dec 2013
Thanks Given: 4,394
Thanks Received: 10,209
I'm not a heavy Tradestation user and I've discovered several cases of bad data. When notified they quietly fix it behind the scenes with no notice or record there was ever an issue. I believe this is why when you rerun a backtest months or years later your can't replicate exactly. If I've found that many others must have found a lot more. As for your screenshots the bars definitely look different but without more information it's impossible to tell.
That's an easy question. No.
Well first you'd need to verify it was bad data and not something happening you don't understand. (Like LAST vs SETTLE on a daily bar). If it is a continual problem though the only thing you can do is switch software.
I don't think this is an issue. The close you see is not always the actually daily close. The daily closing price almost always changes due to settlements.
Example:
Market closes at 3901.5
Settlements occur by the exchange during market close time and the close is actually determined to be 3902
the first pic is captured "after" the open of 6/11 and the close price on 6/10 is changed on 6/12!
the same things has happened several times and cause additional loss. But this time I have left the screen, leaving evidence.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,052 since Dec 2013
Thanks Given: 4,394
Thanks Received: 10,209
You understand what @vmodus is saying. The settlement price of say Crude ("CL") is determined based upon trading between 1:28 and 1:30 Central Time. The exchange doesn't close or reset for the day until 4pm Central Time. So if you look at your bar at say 3:59pm the bar is going to show the last print NOT the settlement price. At some point after 4pm Tradestation updates your previous daily bar from the last price to the settlement price. This "should" happen in the market down time, which in CL's case is between 4pm and 5pm, but in my not-extensive experience of Tradestation, this does not always happen in a timely fashion. This could well be one of those situations where that did not happen.
To avoid this problem some people don't use daily bars and instead use 1440 min bars (1 day = 24*60 = 1440 mins). This bar will have the same open, high and low as a daily bar, but will always use the last trade and not the settlement as the close. The problem with this is that the last print is not nearly as important from a volume perspective as the settlement print.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,052 since Dec 2013
Thanks Given: 4,394
Thanks Received: 10,209
Don't know everybody probably does it differently. I do know Trading Technologies push the price well before the 4pm close but they are not your traditional 'bar based trading software'