I'm looking at FOUR tick charts of ES with data coming in from AMPTT, OEC, TOS and IB. They're all different, with OHLC at different prices. One chart has the low of 50; other 50.75. One chart has 5 bars within x minutes; other 7 bars. Completely insane. How could this be? The difference is not too noticeable on most minute charts. BTW does anyone know how I can use the data from Thinkorswim on other trading platform? Someone on the Internet wrote "Thinkorswim offers the ability to export live streaming data over DDE, an embedded scripting language...and more."
These are all 3rd tier data vendors. The differences you see is "normal" for 3rd tier data vendors...something that has been occurring since the birth of these data resources. Simply, the more middle man involved between the above data sources and the exchanges...the increased chance of lost data packs...just ticks here and there. You will also see differences on the minute charts too but not as bad as the tick charts. There's also the issue of your own ISP. The way to determine if you're ISP is a problem is to have two different ISPs (one primary and one backup) and you then open the same program in both (assuming your data vendor allows such). If you then see missing ticks via connection to a particular ISP and not the other ISP...you now now the problem has increased via the ISP losing data packs when its being streamed to you. That too is normal. In fact, for me, my data issue if ISP related. I have two different ISP (one as a backup) and I can see differences here and there in the data in the same program when comparing both ISPs. The other issue is your location from the exchange and/or your location from the nearest server your data resource. For example, if you live in Finland and you're trading the CME Nasdaq NQ futures...you will having missing ticks. Simply, missing ticks here and there is really an issue for DOM traders, tick chart traders or second chart traders but still an issue for other time frames like minute charts. Solution - Use top tier data sources like realtick, CQG, Bloomberg, Thomson and so on. They have less data problems than the 3rd tier folks because they get their data directly from the exchange without the middle man. Unfortunately for most retail traders...its too expensive.
Would you say that IQFeed is one of those top tier data sources? I looked into CQG and Realtick, but CQG doesn´t offer data for Stocks(for what I´ve seen, since I deal with QQQ and SPY) and Realtick would require me to change my broker.
This is problematic because how you receive the data can have a huge difference in the outcome of the study you use, as you can see from this image.