Joined: Jun 15, 2017
Posted: Jun 15, 2017 04:16 PM
Msg. 1 of 3
Two question on the 5 min bar data retrieved from IQFeed:
1) are they the "Last Trade" price? There is another thread that indicates it is not midpoint. Is there a way to get MidPoint 5 min bar price?
2) when comparing with the same 5 min bars from Interactive Brokers, we notice the bars are consistently off by one: e.g. the 9:35 AM IQFeed price matches 9:30AM IB price.
Does IQFeed provide begin-of-the-bar price?
Joined: Apr 25, 2006
Posted: Jun 16, 2017 08:06 AM
Msg. 2 of 3
Unfortunately, the answer to both questions would be no. You would have to build the mid from the high + low/2 to get a mid and then adjust the timestamps by subtracting the interval to have them be begin times.
Sorry, I could not be of more help,