Are Dukascopy data consistent across TF?

[imported_tickstoryParticipant August 15, 2014 at 12:17 pm Post count: 1479]

#20274

Hi Puglios,

As you’re aware, Tickstory is designed primarily for use under the ‘Tick based’ modelling option. Given that MT4 attempts to produce its own data (FXT) for the other modelling methods, it is possible to get data mismatch issues. Volume data, for example, is currently generated from fractional bid/ask volumes which will not necessarily match on every time-frame due to rounding, etc.

FYI, the modelling quality of 99% is just an arbitrary number which is embedded within the data file.

Hope this helps.

[pugliosParticipant August 15, 2014 at 10:32 pm Post count: 3]

#20275

Thank you TickStory support team, your answers confirm my guesses: the 99% is an arbitrary number and the HST files downloaded from Dukascopy are not 100% perfect. In particular not only the files have data mismatches between M1 and higher TF (and not just for volumes) but recently I found also some data gaps (i.e. prices data missing for few short periods of time). These gaps can be easily spotted on MT4 with this simple MQL code http://www.mql5.com/en/code/11643.

Anyway I don’t want to sound over-critic: these errors are just little glitches, especially in comparison with what MetaQuotes offers by default. Having all these data and also tick data available for free, is simply a superb service.
Thank you TickStory.

[imported_tickstoryParticipant August 16, 2014 at 6:41 pm Post count: 1479]

#20276

Hi Puglios,

Thanks for you update. Just to clarify, Tickstory utilises the Dukascopy tick data to form its own bars/candles, so we certainly would expect that the tick data corresponds to the historical bars in all time-frames. If you have a specific instance where you can see a range of tick data that does not form the correct candles, then we would look into this further – just provide us with the symbol and specific candle that is not matching. Given that the errors for MT4 ‘mismatch errors’ are not very well documented, we would prefer to look through the raw data and see if the various corresponding bars in all time-frames match up.

Kind regards.

[pugliosParticipant August 17, 2014 at 9:25 pm Post count: 3]

#20277

@tickstory wrote:

Given that the errors for MT4 ‘mismatch errors’ are not very well documented, we would prefer to look through the raw data and see if the various corresponding bars in all time-frames match up.

Hi TickStory support team,
I’ve drilled down few of the mismatch errors reported and looked into the raw data myself: it seems that you are right. In all the samples data were consistent and MT4 was reporting a non-existent error. Although this sounds like a bug of the MT4 Test Generator, knowing that we can ignore the mismatch errors if we trust the source of the historical data is of some relief. Thanks TickStory for the light shed over the question.

Instead as far as it concerns the data gaps, these are quite easy to spot using the utility linked in my previous post. In the screenshot attached there is an example of a data gap on 24 Feb 2014 for EURUSD. Anyway they are quite rare indeed.
[attachment=0:1alxxj0n]DataGap.png[/attachment:1alxxj0n]

[imported_tickstoryParticipant August 22, 2014 at 9:37 am Post count: 1479]

#20278

Hi Puglios,

Thanks for your update. We’ve some some searching on the MT4 forums, however it’s not always clear when exactly these errors are generated. Since we are testing the limitations of MT4 by using tick data, it’s not always easy to get an answer so we instead try to establish whether our system has produced any incorrect data.

Kind regards.

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