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mpd

Price streams on market opening

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Hi.

 

We are probably facing an issue with LightStreamer and I'd appreciate any help on it.

Let's assume that I start listening to EUR/USD prices on Friday evening. At 22:00 UTC the market closes and that's perfectly fine.

I check the incoming data on Saturday afternoon and it's still bound to Friday 22:00 UTC.

 

And finally - I come back to check the data on Monday morning and I see a whole bunch of prices with stamp ranging from Friday 22:00 UTC to Sunday 22:00 UTC.

How can I avoid receiving those fake prices? 

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Hi,

 

Can you supply a screenshot or a file dump showing the extraneous prices you see between Friday 22:00 UTC and Sunday 22:00 UTC? 

Also, what time frame are you looking at?

 

I've just examined the prices in our historical price db for the EUR/USD market and see prices ending at Friday 22:00 UTC and nothing until market open on Sunday 22:00 UTC. In the attached screenshot, I've highlighted the Friday prices ending and Sunday prices starting in red for the 5 minute time frame. There are no extraneous price prints between these time points.

 

 

Prices.png

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Thank you very much for quick answer.

Unfortunately I don't have such logs yet, but I'm working on it.

 

Fetching historical prices through the REST API seems ok and returns proper data with a gap between Friday and Sunday.

 

My case is to aggregate candle data from prices coming from stream.

Example of bad candles (EUR/CHF aggregated from PriceDTOs to 1 minute candles):

 

{"stamp":1512177000000,"o":1.16377,"h":1.16377,"l":1.16377,"c":1.16377,"v":0.0,"i":0.0},
{"stamp":1512177300000,"o":1.16375,"h":1.16375,"l":1.16375,"c":1.16375,"v":0.0,"i":0.0},
{"stamp":1512177600000,"o":1.16375,"h":1.16375,"l":1.16375,"c":1.16375,"v":0.0,"i":0.0}
 
It's interesting that the price isn't constant, but changes. Do you have any clue on the origin of that prices? I don't know when exactly did they come from the Streamer, but I'll keep you noticed.

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Much obliged for the examples. Those are prints for Saturday, December 2, 2017 1:10:00 AM, 1:15:00 and 1:20:00, which clearly shouldn't be there. The puzzling thing is that live prices coming through the stream are automatically collected and stored in the price history DB so should show there. However, no prints are showing at those times in EUR/CHF when I queried it right now.

 

I did have a chart of EUR/USD (although not EUR/CHF) open and running over the weekend and it doesn't show any anomalous data there either. Our charts connect to the same API streams so it should have picked up the same extraneous prices that you are seeing. To investigate, I'll setup live price monitoring for the EUR/USD and EUR/CHF price streams over this weekend to check if I can pick up any of these extraneous prices appearing.

In the meantime, for your purposes you could create some code to filter out any price prints that appear between 22:00 UTC on Friday until Sunday at 22:00 UTC. That way, you'll have a temporary work-around whilst we investigate.

 

Kind Regards,

PM!  

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Hi,

 

I wanted to check whether your system still saw a bunch of anomalous prices this morning? 

 

My system was left running over the weekend printing out into Excel the live prices on a 5 minute timeframe and the prints show no extraneous prices. This being the case, did adding a filter to the price data resolve the issues you were getting?

 

Kind Regards,

PM!

Weekend Prices.png

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