[R-SIG-Finance] tick data and one minute bar data appear out of line (IBrokers)

Stephen Choularton stephen at organicfoodmarkets.com.au
Fri Mar 4 04:38:36 CET 2016


Hi

I have been working on the spread between Commonwealth Bank (CBA.ASX) 
and National Australia Bank (NAB.ASX).

I was a bit confused by the performance of my dealing loop so I took out 
the spread movement from rqHistoricData 1 minute bars using the close 
and plotted it and also the spread derived from the tick data from 
reqMktData which is being used to drive my dealing algorithm.

They are in the same ballpark but really rather different.  The graph 
shows the position best and can be viewed at this url: 
http://www.organicfoodmarkets.com.au/bar-n-tick-plots.pdf

I am not experienced with this so I wondered if this sort of discrepancy 
is typical or am I just making a mess of it.  If they are typical so it 
makes setting trigger levels a bit difficult as mine are derived from 
bar data but implemented by tick data movement.  I'm surprised the tick 
data doesn't fall within the one minute bar so any comments would be of 
great interest.  Am I better to only work with tick data for example?

Stephen Choularton PhD, FIoD



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