CSI Data daily change are breaking the system

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ratio
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CSI Data daily change are breaking the system

Post by ratio » Tue Jun 22, 2010 11:08 pm

CSI Data is posting data modification that affect the past.

We start to see on our daily order sheet, position that where not there the previous day, and some that we disapearing without any reason.

We trace it to the fact that CSI is making data change, adjustment in the past.

Those change affect our current position as one entry signal could have been trigger in the past given the new data. Thus the reason why we have some new position and/or some that disapear as the Equity have change.

Here is an example for FRG-T, I have include the CSV file, and the differentiate report in the zip file. the file are for June 15,17 and 21

Anyone have ever experience this?

Denis
Attachments
FRG-T-16.CSV
(157.54 KiB) Downloaded 206 times
FRG-T-17.CSV
(157.54 KiB) Downloaded 164 times
FRG-T-21.csv
(157.77 KiB) Downloaded 200 times
difffile.zip
(89.85 KiB) Downloaded 171 times

sluggo
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Post by sluggo » Wed Jun 23, 2010 12:54 am

Yes this is normal.

viewtopic.php?t=4987

ratio
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Post by ratio » Wed Jun 23, 2010 1:02 pm

Yes, but how are we suppose to manage that?

The change that they do 5 year back in time, may completely change the actual position in my portfolio.

Maybe we will need to start maintaining our own set of files, and add just the last day addition...

How do you do it?

sluggo
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Post by sluggo » Wed Jun 23, 2010 4:31 pm

There are more than one ways to "manage" the situation when asynchronous revisions to historical data are received. Such revisions might cause the simulated equity, the simulated positions, and/or the simulated orders to change.

As you have remarked, one way to manage the situation is to reject all such revisions. Don't apply them. If CSI makes changes, you go in afterward and un-do them. Keep a list of all such changes and write software to run through this list every day after downloading, un-doing each of the changes.

Another way to proceed is to accept all changes (and changes-to-changes, and revision number 3's to the same piece of data, etc) and quickly place orders so the positions + sizes in your actual account, faithfully mirror the positions + sizes in Blox. In the normal course of trading, when there are no revisions to data, you place orders to enter and exit, normally. If and when an asychronous revision to historical data is received, so that your actual positions are now different from your Blox theoretical positions, you place "Fix-Up" orders to bring your actual positions back into alignment with your theoretical positions in Blox.

I am sure you will be able to invent several other approaches.

How do I do it? I use one of the two approaches mentioned in this post.

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