June 13, 2018

Peculiar problem with datafeed

I am facing a peculiar problem with BestRT Pro datafeed.

The problems pertains to the first bar of the day.

First chart posted at 12.28 ... first bar is a open at low and close near high.




This is repeated at 2nd chart posted at 2.41pm ... first bar is a open at low and close near high.



This is repeated at 3rd chart posted at 3.04 pm ... first bar is a open at low and close near high.

Then I switch off and backfill data ... now first bar has completely changed!



This is very dangerous... in the first 3 charts, the first bar opens near the low and closes near the high.  For a price action follower, this is a good sign.

But in the last chart (after backfill), the meaning of the bar has changed completely. It shows a gap up opening, followed by selloff and then buying coming in. Here for the trader, it means that markets sold off at open so the high at that time becomes important.

Has anyone faced similar problems with any datafeed? In my past few years of trading, I have seen this problem 2-3 times only with this vendor.


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