Back

ES, Minute The issue starts from Jan 18th, 2010 06:00 PM; and continues until Nov 20th, 2015 04:30 PM

Ticker ES
From 2010-01-18 18:00:00
To 2015-11-20 16:30:00
Security Type Future
Market USA
Resolution Minute
Status Waiting Review

It seems that in the years 2012-2015, and to a lesser extent in the years before that, there are quite some minute bars for the ES contract that have huge spikes in the High and Low in about 1 bar every day. Mostly at 16:30, which is the first bar following the break after the RTH session. 18:00 seems to be wrong often as well.

These spikes aren't present in my own tick data, meaning it's kind of throwing the wrench in my algos when I'm use high/low data.

Please see the attached algo/backtest + log for a demonstration.

Note that the heuristic used in the algo yields some false positives (where volatility was actually very high), but 90% should be correct.

Update Backtest








0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Loading...

This discussion is closed