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Forums>StrategyQuant>General Discussion>Lot of discrepancies between tick data and historical data in MT5

  • #240783 |
    Participant
    4 Posts

    Hi,

    I have imported  Ducascopy tick data and historical data created by SQ Data manager to MT5.  When I start backtesting, there are lot of warning

    messages like following.

    2010.02.23 23:59 – 7132 tick prices mismatch for 576 minute bars
    2010.02.24 23:59 – real ticks discarded for 360 minutes out of 1319 total minute bars within a day

    I also imported data of same period to MT4 and found discrepancies of OLHC historical data between MT4 and MT5.

    Does somebody know how to fix it?

     

    Thanks in advance.

    #240855
    tomas262
    Administrator
    1821 Posts

    Hi,

    what time period and market is that? I can download the data and test with my MT5

    #240870
    Participant
    4 Posts

    Thank you tomas262.

    Symbol is USDJPY and timeframe is M1.  I saw the same errors like below in H1 as well. I changed timezone to GMT+2(+3 in DST) then exported to CSV.

     

    2009.10.23 23:59 – real ticks discarded for 400 minutes out of 1360 total minute bars within a day
    2009.10.23 00:01 – 2009.10.23 23:59 71 minute bars absent within a day while real ticks present
    2009.10.23 23:59 – 9726 tick prices mismatch for 585 minute bars
    2009.10.25 23:59 – real ticks discarded for 4 minutes out of 23 total minute bars within a day
    2009.10.25 23:09 – 2009.10.25 23:59 6 minute bars absent within a day while real ticks present

    #240928
    tomas262
    Administrator
    1821 Posts

    Does the error occur when you test just few years back like 2016 – 2019 for example?

    #240937
    Participant
    4 Posts

    No, the errors occur at least from 2009.  I don’t have data before 2009.

    Thanks.

    #241335
    Participant
    4 Posts

    Apparently found the root cause.  Some M1 data in Dukascopy lack. For example, there is no EURUSD M1 data at 2015.12.23 00:01

    but there are 8 tick data. (Note that time zone is UTC+2)  I verified above bar is lacking in CSV data file exported from Data Manager.

    Strange thing here is data of MT4 doesn’t have the issue. It even has 2015.12.23 00:00 M1 bar data which exactly consistent with

    tick data.  Possible reason may Data Manager exports Ducascopy M1 data to CSV  for MT5 but creates own M1 data based on tick

    then produces hst file for MT4?  If Data Manager rebuilds M1 bar data by itself for both MT4/5, it will greatly appreciated.

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