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»Forums Index »IQFeed Developer »IQFeed Developer Support »Open, High, Low, Volume, Bid, BidSize, Ask, AskSize are all reset to zero outside trading hours
Author Topic: Open, High, Low, Volume, Bid, BidSize, Ask, AskSize are all reset to zero outside trading hours (5 messages, Page 1 of 1)

markzielinski
-Interested User-
Posts: 3
Joined: Apr 22, 2018


Posted: Apr 22, 2018 12:38 PM          Msg. 1 of 5
Hi,

It seems that outside of normal trading hours the open, high, low, bid, ask and volume are all typically reset to zero. Are you open to changing this behavior to keep the last values from the most recent trading day?

I check for this within my code by making sure the value is > 0 before updating it so I can continue to show what these last values were which will be the same values typically seen in most trading platforms. This works for me in most situations where the trading platform was live during the day and left up, but doesn't work when a user starts the trading platform on a non-trading day or outside normal trading hours.

If you really need to keep this behavior for some reason, how about adding a PreviousDayOpen, PreviousDayHigh, PreviousDayLow, PreviousDayVolume, PreviousBid, PreviousBidSize, PreviousAsk, PreviousAskSize which are all set when it resets so that these values can persist. Without these values it looks like a data problem with my trading platform when all these values are shown as zeros while other trading platforms show the most recent values from the most recent trading day.

Mark

bigjake
-Interested User-
Posts: 10
Joined: Jan 7, 2018

Life is all smiles


Posted: Apr 25, 2018 12:17 PM          Msg. 2 of 5
Isn't this information available with HDT/HDX lookup requests?

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


Posted: Apr 25, 2018 01:43 PM          Msg. 3 of 5
It is, and a good catch that he could retrieve the data in that way.

The problem with not clearing those fields is that if a last exists, uncleared, and it doesn't trade right away in the morning, someone can confuse yesterday's data with today's. We keep the last price in the close field of the level one data, but we don't have previous open, high, low, etc yet.

Bid and ask prices are cleared by the exchange usually, so we could not keep those I do not think.

Tim

markzielinski
-Interested User-
Posts: 3
Joined: Apr 22, 2018


Posted: Apr 25, 2018 05:25 PM          Msg. 4 of 5
That makes sense and I do retrieve historical data when displaying a chart of course. However I don't use historical data for market watch lists for example which is where I frequently see this happen on non-trading days and where it is probably the most visible with this situation. In this case I am just retrieving the current values taken from the most recent update/summary messages and updating those as new update/summary messages come in, which would be similar to streaming quotes. Having the ability to retrieve the previous trading day's open, high, low, close and so on would be ideal as I could simply reference those if the values for the current day haven't been set yet or if it's a non-trading day.

As part of the initialization of the watch list, I could retrieve the last trading day's historical data for each symbol in the watch list but I see several potential issues with this. For one, it would be really inefficient to retrieve a whole day's worth of data for each symbol that the user is watching to simply process all of that data to figure out what the open, high, low, close etc was for that day. Plus, the exchange sometimes picks a different open/close value and these won't always exactly match the first and last tick of the day with the data that we see. It's often close but not always the same, so being able to use the values directly provided by the exchange would be better here for sure.

markzielinski
-Interested User-
Posts: 3
Joined: Apr 22, 2018


Posted: Apr 25, 2018 05:55 PM          Msg. 5 of 5
I looked at HDT/HDX in more detail and saw these are providing the daily values back instead of ticks so this could actually work great for what I need since it should be fairly quick with multiple symbols. Thanks for the suggestion!
 

 

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