Comparing price data between CSI, Pinnacle and TradeStation

Use this forum to discuss data providers like CSI, charting, or other non testing software.
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LeapFrog
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Comparing price data between CSI, Pinnacle and TradeStation

Post by LeapFrog » 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...
Attachments
Schatz - CSI.PNG
CSI
Schatz - CSI.PNG (19.34 KiB) Viewed 1486 times
Schatz - TradeStation.PNG
TradeStation
Schatz - TradeStation.PNG (19.05 KiB) Viewed 1486 times
Schatz - Pinnacle.PNG
Pinnacle
Schatz - Pinnacle.PNG (21.67 KiB) Viewed 1486 times

7432
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Post by 7432 » Thu Dec 10, 2009 12:02 pm

interesting.
here's eurex data for the 25th,

http://www.eurexchange.com/market/stati ... nline.html

check out volume and OI, pinnacle seems to know a day in advance, TS knows day of, and csi knows volume day of and OI day before.
TS looks like it rolled to MAR on the 7th but reported volume and OI for Dec.
what fun.

RedRock
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Post by RedRock » Thu Dec 10, 2009 12:05 pm

pppfffff Data. My favorite is still around holidays when chaos reigns supreme. Look, up in the sky.. Its a bar, its three days, its two days?, Its wonder bar...

Tim Arnold
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Post by Tim Arnold » Thu Dec 10, 2009 12:10 pm

Here is the data from BarCharts (not backadjusted):

Code: Select all

HFZ09,2009-11-17,108.465,108.515,108.43,108.475,513153,1507264
HFZ09,2009-11-18,108.505,108.505,108.45,108.485,491008,1528539
HFZ09,2009-11-19,108.505,108.54,108.44,108.525,624360,1523189
HFZ09,2009-11-20,108.535,108.565,108.42,108.445,619855,1505986
HFZ09,2009-11-23,108.465,108.475,108.345,108.41,525575,1540127
HFZ09,2009-11-24,108.44,108.475,108.4,108.455,548865,1555569
HFZ09,2009-11-25,108.44,108.45,108.365,108.405,627715,1585991
HFZ09,2009-11-26,108.425,108.605,108.415,108.58,766428,1564626
HFZ09,2009-11-27,108.595,108.75,108.54,108.555,667999,1561045
HFZ09,2009-11-30,108.565,108.59,108.5,108.545,687142,1528590
HFZ09,2009-12-01,108.575,108.61,108.5,108.58,1272124,1505029
HFZ09,2009-12-02,108.55,108.63,108.53,108.605,1678569,1477772
HFZ09,2009-12-03,108.535,108.58,108.35,108.53,1878978,1468027
HFZ09,2009-12-04,108.525,108.61,108.385,108.43,1176096,1426535
HFZ09,2009-12-07,108.44,108.565,108.39,108.54,740545,1345720
HFZ09,2009-12-08,108.545,108.67,108.49,108.655,530333,1326809

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