IMO you definitely should work this out all the way, with the hint that it is the IG data provided to PRT doing this. I am fighting with this too and it causes averages to work out completely different for IG data compared to IP data (with the same PRT strategy code).
If you are too mild on this, your PRT support will dedicate this too “tick data” and low volatility. … What I myself never thought of is comparing this with a different rendering of the same data, like you just did (compare with the IG platform itself).
I blamed the PRT-IG version for this, but it now becomes more apparent that something else is going on: what IG provides to the PRT platform is rounded …
It is a most hard matter for interpretation. For example look at the 1st attachment. This is EUR/USD. Top-one is PRT-IG, bottom-one is PRT-IB. At first glance you’d say that the problem is the other way around from what you are saying. But it really is not. To see that better, look at the 2nd attachment. The gist is this : In this very low volatile EUR/USD situation the top one (IG) seems to be making up data (up-down-up-down) which the IB data (bottom) does not have. It looks like the adverse of what you are saying, but it is the same (IMO). The IG chart is averaging too low resolution data and therefore it has to go up-down-up-down. The IB chart just follows the data which does not change (mostly).
I may not even be correct in my outlay, but the work out can be devastating. In order to better understand your own situation, compare one second data with tick data. On one hand his will be harder to do with penny stocks, but on the other it may show even better what we are dealing with. Thus, the penny stock will show 1 second data all right, but it won’t show ticks because they are just (mostly) not there. Now look what happens to the 1 second chart.
You are correct that this will be about resolution. But I can’t imagine (any more) that it is the PRT platform (for IG) doing this. So it has to be the provided data …
(and already at something like EUR/USD it is at play).
Coincidentally today (Sunday) I was going to sit down to have a PRT-IG Strategy to show the same averages as the PRT-IB Strategy does because the IB version works out perfectly while the IG one works like a drag. But I don’t have the illusion that it really an be done …
Peter
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