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Spikes in historical data and missing data
 Post subject: Spikes in historical data and missing data Post rating: 0   New post Posted: Fri 03 Jan, 2014, 17:52 
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Location: FranceFrance
Hello,

There are very messy charts using 1 minute in historical data making backtests a pain.
Here an example in CADJPY, a lot of spikes. EURAUD misses a whole lot of
data before the 1st may 2007.

I know there is no tick data before 2007, but how far in the past can we backtest
with minute bars on all majors and crosses ? (EUR, GBP, USD, JPY, AUD, NZD, CHF)

How to avoid those annoying spikes ? Any better tester config ?
Please see the following example and GUI parameters :

The spikes a crushing my stoploss and takeprofit prices, making results inaccurate.

Thanks.

Image


 
 Post subject: Re: Spikes in historical data and missing data Post rating: 0   New post Posted: Sat 11 Jan, 2014, 14:08 
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Please can someone give me some information ?

Thanks.


 
 Post subject: Re: Spikes in historical data and missing data Post rating: 0   New post Posted: Mon 13 Jan, 2014, 10:48 
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From time to time, the historical data is being updated (even data for the past years, not just the latest data). If clearing the platform cache (which deletes the downloaded price data) is not 'solving' these spikes, the only thing you can do is the keep asking Support to fix it :).


 
 Post subject: Re: Spikes in historical data and missing data Post rating: 0   New post Posted: Wed 15 Jan, 2014, 17:52 
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Hi, yeah I often delete the cache. So I'll keep asking, I guess...

Support please ? ;)


 
 Post subject: Re: Spikes in historical data and missing data Post rating: 0   New post Posted: Fri 17 Jan, 2014, 09:35 
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We would take care of it asap. Sorry for inconvenience.


 
 Post subject: Re: Spikes in historical data and missing data Post rating: 0   New post Posted: Mon 20 Jan, 2014, 09:48 
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OK thanks for the support.

Please check all Instruments, it is not only CAD/JPY that has issues.

How far in the past should we be able to backtest accurately with with a 1min feed ? with tick data ?

Please, tell us when the problems are resolved so we can reload the cache.

Thanks.


 
 Post subject: Re: Spikes in historical data and missing data Post rating: 0   New post Posted: Wed 19 Feb, 2014, 09:44 
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Hi Support,

It took me almost 3 days to re-downloaded all the cache files since 2007 but I see nothing has changed.

When do you plan to provide us with an accurate history cache ?

Kind regards.


 
 Post subject: Re: Spikes in historical data and missing data Post rating: 0   New post Posted: Thu 14 Jan, 2016, 03:16 
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Some quick python data wizardry revealed that historical data is full of such irregularities.
We all assume this data comes from the trading servers, but that doesn't seem to be the case.
Can we expect Dukascopy to ever provide accurate data?


 

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