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
CSI Data daily change are breaking the system
CSI Data daily change are breaking the system
- Attachments
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- FRG-T-16.CSV
- (157.54 KiB) Downloaded 324 times
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- FRG-T-17.CSV
- (157.54 KiB) Downloaded 285 times
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- FRG-T-21.csv
- (157.77 KiB) Downloaded 321 times
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- difffile.zip
- (89.85 KiB) Downloaded 296 times
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.
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.