Comparing price data between CSI, Pinnacle and TradeStation
Posted: Thu Dec 10, 2009 9:37 am
I currently source 3 different data feeds for many of my tradables - CSI, Pinnacle and TradeStation. These are not necessarily "independent" data since the raw data should more or less be coming from the exchanges. It is how each one of them screw up the data after they get it that gets interesting. For example, Pinnacle Data likes to truncate the Schatz from 3 decimal places to 2 and there are differences between the 3 feeders as to which "close" they offer (settlement versus last price).
Then there is the rolling - all over the place like the proverbial dog's breakfast. With Pinnacle and TradeStation there is no choice (although TS now allow "custom" data creation so maybe custom rolls can be done now - never tried it). At least CSI allow the user to play with the rolling.
Here below for your amusement are three pics of the Schatz from each of these feeders. What a mess...
Then there is the rolling - all over the place like the proverbial dog's breakfast. With Pinnacle and TradeStation there is no choice (although TS now allow "custom" data creation so maybe custom rolls can be done now - never tried it). At least CSI allow the user to play with the rolling.
Here below for your amusement are three pics of the Schatz from each of these feeders. What a mess...