rbrucejones
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I am in the process of initiating a real time data feed into my proprietary trading system. I currently use optionsXpress and have manually acquired data off of their Prophet Financial charts and their Flex charts. I have also used their streaming data to look at the final trades in a 60 min period to confirm Close values and most of the time the results are in sync or have small discrepancies.
As I am now investigating using a real time feed from BarCharts, through the Modulus FE API, I have noticed discrepancies in their data feed be it on 1 minute, 5 minute or 60 min basis in comparison to the optionsXpress sources and am looking for any insight as to why this might be occurring.
For example, data for symbol OIH from the AMEX exchange on a 60 min basis over the last several days has differed as much as .68 for Opens and Closes and as much as .48 on Highs and Lows . It is as if the end of the period has been extended out by up to 10 seconds or perhaps they are not basing their OHLCs on all trades. I would have thought they would have used the time stamping from the exchange to decide what to include in a period. Of course it could be my reference base from optionsXpress is off as well. Any thoughts would be appreciated!
As I am now investigating using a real time feed from BarCharts, through the Modulus FE API, I have noticed discrepancies in their data feed be it on 1 minute, 5 minute or 60 min basis in comparison to the optionsXpress sources and am looking for any insight as to why this might be occurring.
For example, data for symbol OIH from the AMEX exchange on a 60 min basis over the last several days has differed as much as .68 for Opens and Closes and as much as .48 on Highs and Lows . It is as if the end of the period has been extended out by up to 10 seconds or perhaps they are not basing their OHLCs on all trades. I would have thought they would have used the time stamping from the exchange to decide what to include in a period. Of course it could be my reference base from optionsXpress is off as well. Any thoughts would be appreciated!
