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Hang Seng Index(.HSI)-data quality
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Marcoyuen  
#1 Posted : Wednesday, March 18, 2020 6:26:10 AM(UTC)
Marcoyuen

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Location: Hong Kong

Hi

There is a time stamp issue with Hang Seng Index(symbol:.HSI) I would like to report again in this forum. During 9-13 March,  there were 303 minutes (out of 1,670 minutes in 5 trading days, reporting 23 to 34 ticks in a minute. It represented an error rate of 13%!

For HSI which is updating every 2 seconds, any given minute (except 9:30, 13:00) must contain 30 ticks. This kind of error will SHIFT1 minute-opening and closing prices. The problem was last fixed in Oct 2019, but to my surprise it turned up again, and got even worse, after 3 months of resolution. Refinitiv replied that there was no fix to this bug and they explained the root cause which to me sounds irrelevant. To add, I noticed that questionable data arose in alterate weeks, i.e for this week until now data is perfect, whereas the last whole week they were a mess, and so on since late Jan 2020. I beg your help to check it out.

If final reply in this forum is the same as MS support, I would decide to revert to MS10.1 and use eSignal as my data provider. Their 1-minute data, as opposed to Refinitiv, is more accurate. This is certain a short-term remedy given MS10 is a very old product, I badly need quality data to trade however. Later on, I would consider switching to other charting softwares such as Multicharts, Ninjatraders.  

For clarification's sake I post their reply here:

Marco,

We do apologize for this issue and understand your concern, this is a different root cause from the issue before and cannot be fixed. 

This is the final response received from Refinitiv. 

Hi Damien,

Please be informed that <.HSI> does not have individual Trade Volume Field supported, we have created an internal setup to derive Trade Volume from the Accumulate Volume Field and display such information with Trade Price. Due to the above-said setup, we tend to miss capturing Trade Prices whenever Accumulated Volumes are delayed to be sent from the Feed/head-end(Calculated)."   This is a bug that currently does not have any fix.  If we try to capture all the relevant Trade Prices then we will no longer be able to derive Individual Trade Volumes via Calculations. Please let us know if you have any additional questions.

Have a great day!

Damien 

MetaStock Technical Support       

Given no file is allowed to be attached here, I list 3 questionable minutes (with 23 ticks, 27 ticks and 34 ticks) on 13th Mar for your reference. If you want to look into all other problematic minutes, I can send emails.

Date            Time   Close          Volume        Tick

13/3/2020   9:31     22649.99    3369645      1

13/3/2020   9:31     22659.67    1614401      2

13/3/2020   9:31     22650.76    3480800      3

13/3/2020   9:31     22653.48    3032000      4

13/3/2020   9:31     22660.75    2249800      5

13/3/2020   9:31     22651.55    2652500      6

13/3/2020   9:31     22651.38    6395280      7

13/3/2020   9:31     22680.98    3015361      8

13/3/2020   9:31     22683.03    2673700      9

13/3/2020   9:31     22705.95    2114750      10

13/3/2020   9:31     22707.11    1858000      11

13/3/2020   9:31     22709.16    1388100      12

13/3/2020   9:31     22699.73    1329870      13

13/3/2020   9:31     22708.41    1562400      14

13/3/2020   9:31     22696.18    3063100      15

13/3/2020   9:31     22705.44    1710450      16

13/3/2020   9:31     22695.75    1643300      17

13/3/2020   9:31     22704.36    3694700      18

13/3/2020   9:31     22705.58    1681200      19

13/3/2020   9:31     22712.24    1726000      20

13/3/2020   9:31     22723.31    1049400      21

13/3/2020   9:31     22723.39    90400          22

13/3/2020   9:31     22730.02    775100        23

13/3/2020   9:32     22727.11    1009600      1

13/3/2020   9:32     22730.41    1266213      2

13/3/2020   9:32     22729.91    575846        3

13/3/2020   9:32     22722.32    3321600      4

13/3/2020   9:32     22722.32    1259518      5

13/3/2020   9:32     22709.51    3067700      6

13/3/2020   9:32     22701.04    2747300      7

13/3/2020   9:32     22699.81    2894200      8

13/3/2020   9:32     22687.03    1661300      9

13/3/2020   9:32     22682.23    078216       10

13/3/2020   9:32     22693.67    1763564     11

13/3/2020   9:32     22685.79    1529000     12

13/3/2020   9:32     22680.21    1805445     13

13/3/2020   9:32     22692.38    1398800     14

13/3/2020   9:32     22692.84    1057640     15

13/3/2020   9:32     22716.91    793400       16

13/3/2020   9:32     22716.97    707000       17

13/3/2020   9:32     22718.89    2734074     18

13/3/2020   9:32     22719.01    2671050     19

13/3/2020   9:32     22719.47    1625000     20

13/3/2020   9:32     22723.45    1068350     21

13/3/2020   9:32     22723.45    1296400     22

13/3/2020   9:32     22717.65    771500       23

13/3/2020   9:32     22728.36    1095700     24

13/3/2020   9:32     22730.88    1505           25

13/3/2020   9:32     22728.43    849746       26

13/3/2020   9:32     22728.43    1929802     27

13/3/2020   9:44     22635.29    322036       1

13/3/2020   9:44     22635.29    312368       2

13/3/2020   9:44     22649.64    85400         3

13/3/2020   9:44     22646.75    393619       4

13/3/2020   9:44     22643.23    342736       5

13/3/2020   9:44     22642.31    366554       6

13/3/2020   9:44     22642.31    336000       7

13/3/2020   9:44     22641.69    55500         8

13/3/2020   9:44     22641.61    64387         9

13/3/2020   9:44     22632.84    1160800     10

13/3/2020   9:44     22638.14    515927       11

13/3/2020   9:44     22638.35    376800       12

13/3/2020   9:44     22629.56    637100       13

13/3/2020   9:44     22636.32   355600        14

13/3/2020   9:44     22637.86   95601          15

13/3/2020   9:44     22638.17   1041503      16

13/3/2020   9:44     22638.17   915600        17

13/3/2020   9:44     22635.02   762940        18

13/3/2020   9:44     22635.02   444200        19

13/3/2020   9:44     22638.34   612476        20

13/3/2020   9:44     22638.38   548300        21

13/3/2020   9:44     22635.38   1136100      22

13/3/2020   9:44     22638.47   456100        23

13/3/2020   9:44     22639.15   689400        24

13/3/2020   9:44     22640.14   581900        25

13/3/2020   9:44     22643.72   316100        26

13/3/2020   9:44     22645.11   1285400      27

13/3/2020   9:44     22639.08   489200        28

13/3/2020   9:44     22646.58   331000        29

13/3/2020   9:44     22646.58   723425        30

13/3/2020   9:44     22642.23   514500        31

13/3/2020   9:44     22642.46   539400        32

13/3/2020   9:44     22644.59   607200        33

13/3/2020   9:44     22642.53   1784983      34

Edited by user Wednesday, March 18, 2020 7:34:43 AM(UTC)  | Reason: Not specified
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Marcoyuen  
#2 Posted : Thursday, March 19, 2020 3:10:17 AM(UTC)
Marcoyuen

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Hi, Gentle reminder: Refinitiv's tick by tick data can be displayed up to 6 full trading days back. As such, the suspected tick data on Mar 13 to be collected is TOMORROW at the latest. Highly appreciate your feedback.

Edited by user Thursday, March 19, 2020 3:37:22 AM(UTC)  | Reason: Not specified
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MS Support  
#3 Posted : Thursday, March 19, 2020 2:40:37 PM(UTC)
MS Support

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Originally Posted by: Marcoyuen Go to Quoted Post

Hi, Gentle reminder: Refinitiv's tick by tick data can be displayed up to 6 full trading days back. As such, the suspected tick data on Mar 13 to be collected is TOMORROW at the latest. Highly appreciate your feedback.

Hello,

Based on my understanding of the issue, the underlying problem is in how the data is time-stamped by the HSI, Inc. Refinitiv does not modify the time stamp that is sent, whereas other providers may do so to ensure that it aligns with the ticks per minute expectation. I would recommend continuing to respond to our support team if needed (although it appears that .HSI collection process is unable to be modified to accomodate this).

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Marcoyuen  
#4 Posted : Thursday, March 19, 2020 3:02:59 PM(UTC)
Marcoyuen

Rank: Newbie

Groups: Registered, Registered Users, Subscribers
Joined: 3/14/2020(UTC)
Posts: 4
Location: Hong Kong

Hi,

Not really. Your comment was not correct.

For a long period, I have purchased historical tick data from Hang Seng Index Company Ltd and reconciled them with those of Refinitiv. They assured their data is correct and doesn't not have time stamp issues (which is true per my verification). Refinitiv understands it is not the problem of Hang Sang Index company.

May you urge Refinitiv to do more to rectify the quality issue? Refinitiv claims itself to be a world-class data provider. I think its worth the effort to fix the bug for Hang Seng Index, which is the fourth largest stock market in the world.

Please escalate and revisit the issue with Refinitiv. Sincerely look forward to a resolution.

Edited by user Friday, March 20, 2020 1:47:38 AM(UTC)  | Reason: Not specified
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