Joined: Jun 16, 2015
Posted: Feb 15, 2016 10:51 AM
Msg. 1 of 2
When I subscribe to some stocks (AAPL for example) I receive trades in realtime.
But sometimes I receive trades very far from current market levels.
This causes too large shadows in "my" realtime bars.
Worst of all, I do not observe these spikes later when I load history data from your servers.
Do you filter any ECN to create your own bars in history?
For example, I've heard that ECN named "ADF" (Finra Alternative Display Facility) should be filtered out to produce a good bar series.
Do you also filter ADF trades for your bars?
Are there any other "bad boys" among ECN?
Thank you in advance,
Joined: Nov 21, 2005
Posted: Feb 15, 2016 01:40 PM
Msg. 2 of 2
Hello, we do not filter by ECN for historical minute data but we do filter out any "Other Trades" as identified in the "Message Contents" field of level 1 (realtime streaming) data.
If you were to download tick data (each individual trade), instead of minute data, when you fetch historical data, you would also see these same trades there.
The likely culprit here is what are referred to as non-last-qualified trading. By definition, these are trades that, for reasons determined by each individual exchange, do not qualify to set a "Last". Most charting and market analysis traditionally ignores these for the reasons you are encountering.
In IQFeed, we provide you all of the trades and the appropriate information to allow you to filter them out if you don't want to them in your analysis.