Bad data in ONE ?

S

status1

Well-known member
I was trying to look at my past losing trades and trying to use ONE to see if where could I have made an adjustment to fix the trade but I ran into a glitch or bad data

This was on a diagonal placed on Jan 29 sometime during the day in reality but I placed the trade in ONE at 15:55 Than I advanced the day by one I saw a huge gain Over +14% in one day when in reality it was a loss at EOD Than I advance it another day and now it's down -60% and while it was down in reality it was only -7%
Advancing another day is down only -15% while in reality it's only -2.7%

So I thought maybe Tos had some bad data and switched to IBKR data and it was the same so not sure what to make of that

Than I started looking at the data more closely and I saw some big change in the 5 minute time in ONE
So I set up the same trade at 15:50 instead of 15:55 on the same date with the same expiration and strikes So then I advanced it by 5 minutes and it was down -19% while advancing the date to 15:55 the next day the loss is at -14% but than advancing it just 5 minutes more now it shows a +14% gain

So bottom line is you can't rely on the data 100% You have to be careful where you place the data because 5 minutes one way or the other can affect the trade by a lot Maybe you should not even look at or place any trades 5 minutes before the close

I hope the rest of the data is ok otherwise the back trader in ONE will quickly become useless and unreliable
 
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yeah, Amy said multiple times that prices in ONE close to EOD often are "goofy".
I try to look at 15:30 at the latest in historical backtesting
 
Thanks, I will try to keep that in mind

What about if you got filled outside of those hours and you want to keep track with ONE do you use the 10:00 to 15:30 to place the trade than use the fill price from the real trade ? Isn't that going to skew the results ?

What about when it's time to make an adjustment at 15:30 I imagine by the time login to your account and find the right adjustment and get filled I am sure it will be past 15:30 or does that only apply to backtrading and not live trading ?
 
So it's good while it's live but after that those certain hours it becomes goofy ?
Why would IB have the same problem ? Do they get the data from the same place ?
 
I talked to the folks at ONE and this is what they said
"Large changes in PnL can occur between adjacent price snapshots. This is generally because a significant change in the bid and/or ask price has occurred ie. when there is reduced volume or large gap in the order book. The data is correct point-in-time from the exchange, but can look strange. This is why we implemented the PnL price overlay dots on the Risk Chart many years ago - it helps to identify any outliers in price which may not have actually resulted in an order being filled."

Sure enough when I added the overlay I saw a green dot that is far away from all the other dots so I just happen to stumble on that outlier data
 
If you right click on the risk graph than check the box for "Overlay all intraday prices" you will see all the dots representing the prices for that day
I attached a screenshot of the outlier There is a small green dot that is above all the other dots That is the outlier
This was at 13:50 and if I advance it by 5 minutes the P/L jumps exactly to that dot which makes the p/l look way off
 

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