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S&P Emini 9/27 Report: Extended Comments - Trading In Parallel Universes
Additional data to Mario's comment in the subject daily report.
Oh cool. It appears you may be in the same parallel Emini data universe as me. I’m on the thinkorswim (TOS) platform. Below is some of my S&P Emini chart data (as of 28 September). At least the 150 and 200 SMA on the daily resemble your data (and would be even closer to your numbers yesterday when you posted):
S&P Emini filters: Continuous contract, day (U.S.) session (for MA below, I omitted the decimals). There’s one EMA, the rest are SMA.
- Daily 100 SMA = 4418
- Daily 150 SMA = 4303
- Daily 200 SMA = 4228
- Monthly 20 EMA = 4198
Additional data variation that makes chart following between trading platforms so difficult.
- 7/24/23 bar (4633.5) double top with the 3/28/22 bar (4631). A 2.5 pt difference, which was an almost perfect (yearly) double top. The Trade Station (TS) 7/24/23 bar is far away from the 3/28/22 bar. Needless to say, (limit order) shorting the wedge double top bear flag was much more evident and seemed much more reasonable (limit order short) on the TOS chart than on the TS chart.
- There’s a weekly gap (4325.5) on the 6/5/23 bar that doesn’t exist on the TS chart. It seemed to be an obvious magnet on the TOS chart after the 8/14 weekly bar. The bears closed the gap this past Tuesday and the Emini has been lounging around that closed gap for the last three days (important area?)
- There’s a daily gap (4239.75) on the daily 6/1/23 bar that doesn’t exist on the TS chart. After closing the 6/5/23 weekly gap on the TOS chart, the bears seem to be in range to try and close the daily 6/1/23 bar. Another possible magnet? (that also isn’t visible on the TS chart).
- If the bears keep performing, the bears could close the daily gap around the 10/16/23 weekly bar if you extend a possible wedge line from 8/14 weekly bar low to the 9/25 weekly bar low. You can see this possible wedge bottom forming on the TS weekly chart; you just don’t see the daily gap magnet that may be motivating the bears, which would seem to be helpful data (you can’t see on the TS chart).
What bugs the heck out me is the CME is the only source that outputs futures data. So, to me, everyone on any trading platform should see an S&P Emini daily 150 SMA at 4303 and so forth for all the other examples above that never match up on a TS chart.
It’s not illegal to profit from arbitrage so I assume that is what the different trading platforms are doing. It is the only explanation I use to rationalize the significant data variation. The mark to market settlement price and other contract adjustments do not rationally explain, 20, 50, over 100 point variations between trading platform data...daily, weekly, monthly, yearly.
Following the analysis on BTC is important to me so I’ve learned to accept and live with 4300 ≠ 4300 and a ticker symbol that illustrates at least two different stories (presumably more than two) on a chart, that should in reality be identical data. For mental clarity and sanity, I remind myself of one of Al’s guiding principles; there’s so much going on in a chart, you have to decide what is most important. For me, that includes 4300 ≠ 4300 and ignoring: point value comparisons, support and resistance, and other magnets. I just identify the magnets and point values on my chart that appear most important. I use the daily and weekend reports from the great BTC analysts to understand general market cycle. I corroborate magnets with my platform’s data and charting and when it doesn’t make sense like discussed above, I use my chart data.
You have to pay a hefty fee to obtain historical data direct from the CME. So, I’ve cross checked my TOS data with third party data that populates historical charts for the Wall Street Journal, Stockcharts.com, Yahoo Finance, Google Finance, Benzinga, TradingView, FinViz, and you name it and all cross checks match thinkorswim (TOS) data and not TradeStation (TS) data. I pay double the contract fees for TOS data but my cross checks seem to corroborate which trading platform has better data integrity that corroborates with other historical data published by various sources. So, I keep sticking with the TOS platform even as difficult as it is to follow the daily and weekend analysis that uses TS data. Frustrating!
By other related posts on data variation, it seems many are trading in parallel universes and it doesn’t garner the attention that seems warranted, significant data variation is a problem. Traders are trading the same contract symbol and are often looking at completely different bars and point values. If anyone has a different observation that explains significant data variation between trading platforms, that is appreciated.