Data/plot issue

Posted By: NiklasH

Data/plot issue - 06/08/22 12:33

Hello.

I'm having this strange issue with my data/plots. Just downloaded the latest data from binance futures and this it what it looks like on 15 minute bars (OK) versus 10 minute bars (Not OK).
Please see attached screenshots.

Data seems fine when inspecting, but for some reason Zorro mishandles the data when bar period is smaller than 15m.

Any ideas on what could be wrong here / how to debug this?

Attached picture 15m.PNG

Description: 15m - OK 10m - Not OK
Attached File
10m.PNG  (36 downloads)
Posted By: jcl

Re: Data/plot issue - 06/08/22 14:54

Your screen looks normal to me, but when data starts looking strange below a certain bar period, it's a resolution issue. The bar period should not be smaller than the time between 2 ticks in the data.
Posted By: NiklasH

Re: Data/plot issue - 06/08/22 19:25

it's 1 minute data. does the 10m.PNG look normal to you.. really?
Posted By: jcl

Re: Data/plot issue - 06/09/22 09:10

Yes. But for being sure you should post both curves for comparing.

I already understood that it is 1 minute data, but that does not mean that it has 1 minute resolution. Look in the data and check. More often than not, 1 minute data from crypto exchanges is in fact full of 20 minute gaps.
Posted By: NiklasH

Re: Data/plot issue - 06/09/22 12:41

I did post both screenshots. 15m.PNG and 10m.PNG please compare both attached screenshots in the original post.
I did check the data and here is a screenshot of some of the data in the problematic range. It is indeed 1m resolution, no gaps

Attached File
data.PNG  (32 downloads)
Posted By: jcl

Re: Data/plot issue - 06/09/22 12:51

Ah, now I see what you mean - the strange 'candle wicks'.

Check the positions of these wicks in the data. When they fall together with the bar open or close, you won't see them as wicks on the chart. Instead they will only inflate the candles.

Of course it's also possible that they are not in the data, but a bug of your conversion or plotting script. Must be then a strange bug, though.
Posted By: NiklasH

Re: Data/plot issue - 06/09/22 12:53

And here is the same data when charted by the ZHistoryEditor.
Again, this looks fine, no gaps.

Attached picture chart.PNG
Posted By: NiklasH

Re: Data/plot issue - 06/09/22 12:59

I am not "converting" or using a "plotting script".
Only the basic functionality of a brand new Zorro installation.

As you can see in the screenshot above from the ZHistoryEditor, this is not what it's supposed to look like (happens with other assets too btw).

This is the script, no funny business

Code
function run() 
{
	setf(PlotMode,PL_ALL+PL_FINE);
	resf(BarMode, BR_WEEKEND);
	BarPeriod = 10;
	StartDate = 20220607;
	GapDays = 1;
	Verbose = 3;
	vars Prices = series(priceC());
	plot("MarketVol",marketVol(),BARS|NEW,BLUE);
	set(PLOTNOW);
}


Attached picture strange-data.PNG
Posted By: NiklasH

Re: Data/plot issue - 06/09/22 13:08

I thought you might want to inspect this for yourself, so here is the data: https://drive.google.com/file/d/1C0MHY2M0LRZcdg2tgyWArYb6viVal84v/view?usp=sharing
(not possible to upload here due to file size restrictions)
Posted By: NiklasH

Re: Data/plot issue - 06/09/22 13:18

Issue resolved if set `Outlier = 0` (although no complaints about outliers in the log)

Attached picture outlier.PNG
Posted By: jcl

Re: Data/plot issue - 06/09/22 13:26

Thanks for finding the problem! Still, that must be a particularly unusual and bad outlier. I'll check the data later and will then get back to you.
Posted By: NiklasH

Re: Data/plot issue - 06/09/22 14:03

Actually in crypto, this is nothing. If you want to see some crazy stuff, check out UNFIUSDT from the same date (not surprisingly also has this issue)
https://www.tradingview.com/chart/kl4GeGok/?symbol=BINANCE%3AUNFIUSDT

Attached File
UNFIUSDT.PNG  (31 downloads)
Posted By: jcl

Re: Data/plot issue - 06/10/22 06:08

Yes. That's why the manual recommends to disable outlier correction for cryptos. But in this case, it turned out that the correction did not work at all. It can correct single spikes, but failed with particular sudden steps.

We'll modify that so that the correction wiill at least not produce those artifacts.
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