During some quality checks of my application (using IQFeed Protocol v5.1) I encountered some historical data mismatches between ticks and interval data in case of summary volume.
I've uploaded all the mismatch examples on my Dropbox: https://www.dropbox.com/sh/xndbnd2z255brhx/AAD9SLvIEE2CG3BRsSMkkX0_a?dl=0
There is a quality check results information: https://www.dropbox.com/s/on344n3tzjafh7y/historical_mismatch.txt?dl=0
This file contains a number of summary volume mismatches between the interval data bars (5 minute time frame) and historical ticks according to the bars. The other files contains historical ticks (columns from A to J) according to the bar in name of the file and a summary volume (column U) that should be equal to volume of the bar, but it doesn't.
processing QGC#C_5.csv with tick_size 0.1
incorrect total Vol 2015-12-06 18:40:00 Vol = 422 additional fields total Vol = 760
RESULT: all the tick data has been duplicated in IQFeed response (request was: HTT,QGC#C,20151206 183500,20151206 183959,,,,1,HTT_QGC#C\r\n)
Historical interval data by QGC#C with 5 minutes time frame and date/time = 2015-12-06 18:40:00 has volume = 422, but summary volume (in the file "ticks_QGC#C_5_20151206_1840.xlsx") = 760. Mismatch!
Could you give me any information about this issue please?
SimonEdited by semenchikus on May 8, 2016 at 01:41 PM