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NYMEX Crude (/CL) Session and Futures Data Issues

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cereboy1

Subscriber, bbp_participant, customer, community, 5 replies.

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3 weeks ago #274968

Hi Everyone,
I am trying to narrow down why strategies from SQX don’t backtest the same in Tradestation or behave the same as in SQX. 

So I exported Tradestation data and loaded to SQX to try to compare the data downloaded from SQX Futures subscription and TradeStation historical data from charts.

Please see the attached PDF if you want to see the comparison. What I can tell is that the 1 minute data is nearly identical so that’s good.

But, when I compare 4Hr or Daily data computed from SQX vs. TS, they are not the same. 

I realize this may be due to a “Session” being needed. 

So for NYMEX Crude (/CL continuous) I used the Session in the attached PDF and still I cannot get the data values to match between Tradestation and SQX.

Is my session information incorrect? 
Is there a place in StrategyQuant where I can find some more information to understand why the session from NYMEX still doesn’t make the same 1Hr, 4Hr, Daily data as SQX computed from 1 minute.

Thank you!

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tomas262

Administrator, sq-ultimate, 809 replies.

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1 week ago #275181

Hello,

just sent you an email about data mismatches. Please check

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