I'm using the Yahoo EOD data feed and I've noticed a few issues which I'd like to point out here since I'm unsure of what is related to Yahoo and what to NT.
1) If I open a chart or hit "reload historical data" then all bars except the last day are shown. After a few seconds (or sometimes longer) the last bar appears as well. First I thought maybe all bars except the last one are considered as historical data and the last one as real-time data by the application. The "Historical" flag is however true for all bars, including the last one (so when using daily data there will never be any non-historical data?). But anyway, I suppose this is the intended behaviour.
2) Point 1 is not a problem by itself. However, there seem to be some problems with the last bar (I have checked this with multiple instruments). Let my try to explain it with an example.
Let's assume it's the 21st of August and the markets have already closed. Usually I get the following chart:
A) ... -> Bar of 08/20 (correct) -> Bar of 08/21 (close incorrect)
So here the problem is that the closing price of the last bar is not correct (all other data seems to be ok), i.e. it seems that the last trades of the day have not been considered in the bar yet.
Past midnight (so technically on 08/22) things get more confusing and I get the following:
B) ... -> Bar of 08/20 (correct) -> Bar of 08/22 (close incorrect)
This is the same as above with the only difference that the last bar now has a different timestamp (which it obviously gets from my computer's clock). It's closing price is however still incorrect (and a bar for 08/21 is missing). So the only difference is that the last bar now gets a different date because of my local time.
After a little while things get even more interesting:
C) ... -> Bar of 08/20 (correct) -> Bar of 08/21 (correct) -> Bar of 08/22 (???)
Now the bar of 08/21 is there (which was the last trading day) and it's data is finally correct. But now there is also another bar for 08/22 even though the markets have not opened yet. The high and low of this last bar (which should not be there) are the same as of the previous bar (the one that really should be the last), it's opening and closing price are however completely random.
This seems to be a problem related to the Yahoo data feed and the timestamps of the data. If I go to the Yahoo website however, the data shown there is always (!) correct so NT must at least be doing something wrong.
This is insofar an issue for me as my strategy works with daily data only and depends especially on the data of the last bar to generate signals on whether to place orders for the next day or not.
I can live with situations A and B since the closing price is usually only a little bit off and if the date of the last bar is correct or not does not really matter. Situation C is a problem however, since there is a bar which should not be there. I could of course just ignore the last bar. The real problem is however, that I cannot programatically distinguish if it's situation A, B or C.
Maybe one workaround to avoid situation C would be to manually set the LastDay property in the data series to 08/21 (after midnight) this should filter the unwanted bar. This would however still leave incorrect data (before midnight) in case A or completely missing data for the last day (after midnight) in case B (as the last bar now gets filtered).
3) Sometimes (especially with non-US instruments) there are a few days missing between the bars that appear instantly and the last one (which always has the current date) that shows up a bit later. So even though this obviously is a problem with the data feed, when looking at the Yahoo website the data there is correct.
1) If I open a chart or hit "reload historical data" then all bars except the last day are shown. After a few seconds (or sometimes longer) the last bar appears as well. First I thought maybe all bars except the last one are considered as historical data and the last one as real-time data by the application. The "Historical" flag is however true for all bars, including the last one (so when using daily data there will never be any non-historical data?). But anyway, I suppose this is the intended behaviour.
2) Point 1 is not a problem by itself. However, there seem to be some problems with the last bar (I have checked this with multiple instruments). Let my try to explain it with an example.
Let's assume it's the 21st of August and the markets have already closed. Usually I get the following chart:
A) ... -> Bar of 08/20 (correct) -> Bar of 08/21 (close incorrect)
So here the problem is that the closing price of the last bar is not correct (all other data seems to be ok), i.e. it seems that the last trades of the day have not been considered in the bar yet.
Past midnight (so technically on 08/22) things get more confusing and I get the following:
B) ... -> Bar of 08/20 (correct) -> Bar of 08/22 (close incorrect)
This is the same as above with the only difference that the last bar now has a different timestamp (which it obviously gets from my computer's clock). It's closing price is however still incorrect (and a bar for 08/21 is missing). So the only difference is that the last bar now gets a different date because of my local time.
After a little while things get even more interesting:
C) ... -> Bar of 08/20 (correct) -> Bar of 08/21 (correct) -> Bar of 08/22 (???)
Now the bar of 08/21 is there (which was the last trading day) and it's data is finally correct. But now there is also another bar for 08/22 even though the markets have not opened yet. The high and low of this last bar (which should not be there) are the same as of the previous bar (the one that really should be the last), it's opening and closing price are however completely random.
This seems to be a problem related to the Yahoo data feed and the timestamps of the data. If I go to the Yahoo website however, the data shown there is always (!) correct so NT must at least be doing something wrong.
This is insofar an issue for me as my strategy works with daily data only and depends especially on the data of the last bar to generate signals on whether to place orders for the next day or not.
I can live with situations A and B since the closing price is usually only a little bit off and if the date of the last bar is correct or not does not really matter. Situation C is a problem however, since there is a bar which should not be there. I could of course just ignore the last bar. The real problem is however, that I cannot programatically distinguish if it's situation A, B or C.
Maybe one workaround to avoid situation C would be to manually set the LastDay property in the data series to 08/21 (after midnight) this should filter the unwanted bar. This would however still leave incorrect data (before midnight) in case A or completely missing data for the last day (after midnight) in case B (as the last bar now gets filtered).
3) Sometimes (especially with non-US instruments) there are a few days missing between the bars that appear instantly and the last one (which always has the current date) that shows up a bit later. So even though this obviously is a problem with the data feed, when looking at the Yahoo website the data there is correct.
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