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»Forums Index »Product Support »Data and Content Support »Holes in tick data
Author Topic: Holes in tick data (5 messages, Page 1 of 1)

dcarlton1118
-Interested User-
Posts: 3
Joined: Apr 24, 2017


Posted: Jun 21, 2017 11:40 PM          Msg. 1 of 5
For the symbol WDR (NYSE, Waddell & Reed Financial), there seems to be a gap of 1 hour 15 minutes in the tick data for June 9, 2017. Here are six consecutive lines I get from IQFeed:

1,2017-06-09 13:01:28.740537,18.9000,200,2081670,18.9000,18.9100,959992,C,5,01,
1,2017-06-09 13:01:28.741779,18.9000,100,2081770,18.9000,18.9100,959993,C,18,01,
1,2017-06-09 13:01:28.743985,18.9000,100,2081870,18.9000,18.9100,959994,C,26,3D,
1,2017-06-09 14:16:55.203542,18.2500,37194,2119064,18.6700,18.2500,1297978,C,7,3F,
1,2017-06-09 14:16:55.204357,18.8800,500,2119564,18.6700,18.2500,1297980,C,11,3D,
1,2017-06-09 14:16:55.204613,18.2500,500,2120064,18.6700,18.2500,1297981,C,7,01,

This is a pretty actively-traded stock that usually has at least one trade every minute. It's simply not possible that there were really no trades during the 1 hour 15 minutes between 13:01 and 14:16.

Is this a hole in your database?

I also found that the ticks for WFM (Whole Foods) on June 16, 2017 start at 9:50:00. That's 20 minutes worth of trading (since 9:30:00) missing. Again, hard to believe that nobody traded Whole Foods at all for 20 minutes at the beginning of the market.

I ran a script through all the ticks I've downloaded (for about 800 symbols) for the past six months, and found 162 instances of two ticks being more than 10 minutes apart. These are all pretty actively-traded symbols, so it is unlikely that there were really no trades. Can you take a look at the file I attached?

Thanks.

dcarlton1118
-Interested User-
Posts: 3
Joined: Apr 24, 2017


Posted: Jun 21, 2017 11:42 PM          Msg. 2 of 5
Trying again the attachment...



File Attached: holes.txt (downloaded 82 times)

DTN Todd
-Interested User-
Posts: 33
Joined: Mar 24, 2010


Posted: Jun 21, 2017 11:46 PM          Msg. 3 of 5
Hello

We will have our data team look into this, regarding the attachment if you could email that to us at support@iqfeed.net

Thanks

DTN_Stephen
-DTN Evangelist-
Posts: 116
Joined: Aug 22, 2014


Posted: Jun 22, 2017 07:21 AM          Msg. 4 of 5
*Trades not occurring for several minutes at a time can, and will happen.
*Trading halted by the exchange also can happen.
*Listed examples below:

WDR was halted on 6/9/17 due to announcement of assets under management.

WFM was halted on 6/16/17 at the beginning of the session due to the buyout from Amazon.

AZN halted by the exchange on 12/9/16

CDEV – cannot find news story but we are matching other data providers for 1/11/2017
CDEV – same with 1/24/17
CDEV – same with 1/27/17

MCD halted by exchange on 3/1/17

UWT – we’re matching other data providers 12/9/16

AUPH – matching other data providers 2/10/17

Stephen Shockey | Telvent DTN LLC | Trading Markets | United States |Customer Service Technical Support
Email: support@iqfeed.net

dcarlton1118
-Interested User-
Posts: 3
Joined: Apr 24, 2017


Posted: Jun 22, 2017 09:49 AM          Msg. 5 of 5
Wow, I never knew that could happen! I just tried Googling a few of these occasions and I see that the exchanges indeed halted trading. Thanks for looking into this and responding so quickly!
 

 

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