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»Forums Index »IQFeed Developer »IQFeed Developer Support »Bad historical data on 2016-09-26
Author Topic: Bad historical data on 2016-09-26 (3 messages, Page 1 of 1)

eporter
-Interested User-
Posts: 14
Joined: Jan 20, 2015


Posted: Sep 30, 2016 03:47 AM          Msg. 1 of 3
I'm seeing problems with historical data for the day of 2016-09-26. Specifically, the volume and number of trades are both several times as large as they should be (though the price is little changed). The comparison data that I am using is what I collected on the day of 2016-09-26 through our subscription.

It appears that a large number of extra ticks have simply been added to many stocks. Because the prices are reasonable, I'm wondering whether they are from a different source (such as dark pools).

This isn't a huge problem for us right now. I'm simply ignoring historical data from 2016-09-26. However, it is obviously disconcerting, and my primary concern is avoiding future instances of this problem.

Anyway, here's an example of the sort of difference that I'm seeing for CSBR on 2016-09-26. For what it's worth, Yahoo agrees with the volume of the existing ticks we originally received through our subscription on 2016-09-26. See https://ca.finance.yahoo.com/q/hp?s=CSBR

We've seen hundreds of other, similar examples.

-----------------------------------------------

Existing total: 2740 @ 1.6723 from 5 trades
Received total: 19459 @ 1.6861 from 33 trades.

Existing Trade ticks:
1: 40 @ 1.6900 at 2016-09-26 10:25:57.699
2: 500 @ 1.6840 at 2016-09-26 13:24:15.901
3: 2000 @ 1.6678 at 2016-09-26 15:34:40.633
4: 100 @ 1.6900 at 2016-09-26 15:51:23.654
5: 100 @ 1.6800 at 2016-09-26 15:58:31.004

Received Trade ticks:
1: 1500 @ 1.6900 at 2016-09-26 10:24:16.996
2: 360 @ 1.6900 at 2016-09-26 10:24:42.978
3: 4200 @ 1.6900 at 2016-09-26 10:25:57.697
4: 40 @ 1.6900 at 2016-09-26 10:25:57.699
5: 100 @ 1.6800 at 2016-09-26 10:31:28.776
6: 500 @ 1.6900 at 2016-09-26 10:31:59.256
7: 100 @ 1.6900 at 2016-09-26 10:37:40.586
8: 100 @ 1.6900 at 2016-09-26 10:49:56.054
9: 300 @ 1.6900 at 2016-09-26 10:53:41.505
10: 100 @ 1.7000 at 2016-09-26 11:07:56.745
11: 150 @ 1.6993 at 2016-09-26 11:14:53.401
12: 105 @ 1.6993 at 2016-09-26 11:15:44.908
13: 2000 @ 1.6990 at 2016-09-26 11:34:55.999
14: 100 @ 1.7000 at 2016-09-26 11:34:57.709
15: 1000 @ 1.6990 at 2016-09-26 11:37:29.280
16: 400 @ 1.6990 at 2016-09-26 11:37:29.283
17: 600 @ 1.6990 at 2016-09-26 11:37:29.298
18: 100 @ 1.7000 at 2016-09-26 11:50:43.276
19: 1400 @ 1.6900 at 2016-09-26 12:15:50.407
20: 600 @ 1.6900 at 2016-09-26 12:15:51.046
21: 100 @ 1.6800 at 2016-09-26 12:15:57.510
22: 300 @ 1.6691 at 2016-09-26 12:21:16.732
23: 104 @ 1.6800 at 2016-09-26 12:44:07.688
24: 100 @ 1.6900 at 2016-09-26 12:49:00.555
25: 100 @ 1.6900 at 2016-09-26 13:08:46.527
26: 500 @ 1.6840 at 2016-09-26 13:24:15.901
27: 2000 @ 1.6600 at 2016-09-26 15:31:00.252
28: 2000 @ 1.6678 at 2016-09-26 15:34:40.633
29: 100 @ 1.6900 at 2016-09-26 15:36:08.053
30: 100 @ 1.6900 at 2016-09-26 15:41:23.592
31: 100 @ 1.6900 at 2016-09-26 15:48:23.529
32: 100 @ 1.6900 at 2016-09-26 15:51:23.654
33: 100 @ 1.6800 at 2016-09-26 15:58:31.004

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Oct 3, 2016 08:46 AM          Msg. 2 of 3
Hello,

I was just going over this, sorry for the delay in reply, the tick data for the 26th on CSBR appears to total up to 19459, which is what I show on the daily volume as well, and that appears to match what Yahoo is showing as well. Is this something that has already fixed itself?

Tim

eporter
-Interested User-
Posts: 14
Joined: Jan 20, 2015


Posted: Oct 3, 2016 10:21 AM          Msg. 3 of 3
Possibly. For us, it appeared on the 27th, then went away on the 28th, and then came back.
 

 

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