I complained about this a couple of months ago, but nothing seems to have changed. I use eSignal to feed an excel worksheet, and the BID and ASK that it feeds before the opening are almost always off. The last price is usually correct, and the correct quotes seem to be present in the quote window, but the quotes sent to my worksheet are wrong. In fact, quite often (maybe always) it sends the lowest bid and the highest offer. Once the market opens, the problem instantly disappears. Sometimes the problem returns after-hours. I like to trade before the open at times, and it is a pain to not have my worksheet work (I have to manually calculate everything). It would be great if this bug could be fixed.
Hi Andy, Thanks for your prompt reply, and you're right - there is a way to export this NYSE data via Data Export. If I keep a separate adv chart open, filter it to =N, and set the time interval to Tick, I can export this filtered data to excel. Thanks again, -b
Hi Eldredge, I'm not sure if this is the scanerio you describe, but there are market participants that, in order to stay in the market, will place a high ask or a low bid that appears well out of range of the other entries. I believe their intentions are not to encounter any activity outside of regular trading hours, but remain participants in the market. This data, in affect, is legitamate data sent in by the market participants and we cannot remove that data. Is this the data that is making it into your exel spread sheet? Let me know. Thanks, Andy S. eSignal Support
Andy, Thanks for the reply. I believe that this probably is the data making it to my spread sheet. I understand that it is legitimate, but it is not the NBBO. For example, there might be bids at 20, 25, and 25.50 and offers at 25.75, 28, and 28.5 for a stock. For some reason, eSignal will feed a bid of 20 and an ask of 28 instead of 25.50X25.75. Then at market open it will send the correct 25.5X25.75. I will try to give some specific examples in the morning if I have time. Thanks for any help you can give.
Here is an example. Right now, IB's market depth shows bids of 28.62 and28.98, and offers of 30.30 and30.66 for AEP. ESignal qoute show bid of .01 and ask of 29.79, and my worksheet (being fed by eSignal) shows .01X89.70
hi Andy Is it possible to obtain tick data from a much longer period than you hold on your servers, and load it on my maching and use it for backtesting? The other question is where to get it and how to do it? many thanks Natalie
On 12/29 I requested help with Keltner Bands efs - I need to be able to control the ATR added to and subtracted from the 20 period EMA. ( I want to use a factor of 2.5, instead of the raw ATR ). I received an auto-reply telling me it might take a couple days, and another address to use if no response was received. Monday I used the second address, as no response was forth coming. Still no reply - what gives? There seems to be a lot of chest beating about the "free help", but...
Hi Natalie, As we only hold 10 days of tick data on our servers, that's all we can provide. We are currently gathering & storing additional interval data and hope to expand our interval data beyond 60 days in the near future. Regards, Andy S. eSignal Support