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Strategies & Market Trends : Technical Analysis for Macintosh Users
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From: quant2115/1/2022 6:04:21 PM
   of 1541
 
Glitch in intraday data. The problem is caused by data drop out. For example, assume on the one minute chart, quote data comes in at 2:18, but then no data comes in at 2:19, or 2:20. Finally, a quote comes in at 2:21. ProTA leaves out the missing quote data so that 2:21 immediately follows 2:18. Finally, a few minutes later data comes in for 2:19 an 2:20, and ProTA inserts the data in the proper location and recomputes the custom indicators. The difference in the two calculations causes noticeable differences in my custom indicators. If enough data points are temporarily dropped, the problem can show up on the 5 min charts, or even the 15 minute charts.

It is similar to the problem that the holiday file in ProTA is designed to avoid.

I don't know where the missing data comes from. Do quotes eventually come in for the missing data, or does the data provider use an algorithm to provide estimated or fudged quotes?

One work around is to only trade instruments that have high enough volume that there are no data drop outs.

Another work around would be to provide your own data replacement algorithm in ProTA's programming language.

I am relieved that the problem is not caused by a glitch in ProTAscript, or in my programming of my custom indicators.
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