Wrong currency options tick data - 13Feb20

ramatius
Hi,
For currency options symbol USDINR20FEB71.5PE, there was a spurious wrong tick data at 13:28:46, showing a 300% jump from previous tick price, from 0.2075 to 0.7925. The next tick was again at 0.2075.



This wrong tick data caused the algo to exit positions incorrectly.

No, there is nothing wrong on our side; the streaming system is well tested and has been working fine for years. We've never seen such an error till now.

Pls look into this and let me know if there are any insights.

Regards,
Ramakrishnan S
quantindia.in
  • ramatius
    Hi,
    Did a deep-dive into this. There were 206 data tick errors in currency data for Feb20 (from 01Feb to 20Feb). On further analysis, looks like the data gets shifted by one or more places in the data array, thereby messing up the values. Issue is seen across quote and full mode data.

    While the error rate is insignificant (like 206 errors in 8090993 records), it is still non-zero.

    Note that this error can't happen at our end - the JSON comes with instrument token as well as the value and is simply unpacked and stored. If there is any issue in this simple process, it will show up in every record, not just in 0.006% of the records.

    Such data errors are seen in 2019 data as well, but error rates were less than that of 2020.

    Appreciate if you can look at this. It is critical that the data has zero errors.

    Regards,
    Ramakrishnan S
    quantindia.in
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