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»Forums Index »Product Support »Data and Content Support »Inaccurate Hourly Bar Closes
Author Topic: Inaccurate Hourly Bar Closes (6 messages, Page 1 of 1)

kevptx
-Interested User-
Posts: 3
Joined: Jan 6, 2020


Posted: Jan 6, 2020 09:22 AM          Msg. 1 of 6
I am seeing differences with the hourly close price when comparing historical price bars with other sources for products such as 6E, ES, NQ, CL, HO, and RB.

For example, IQFeed Charts shows that the CME QGCG20 hourly close at 2020-01-06 08:00 is 1578.8 while TWS, xtrader and the cme website shows that that hourly bar close price is 1578.7.

I am using IQFeed Version 6.1.0.20 and have tried restarting IQFeed and checking different minute time intervals.

DTN_Stephen
-DTN Evangelist-
Posts: 238
Joined: Aug 22, 2014


Posted: Jan 6, 2020 10:44 AM          Msg. 2 of 6
IQ Feed uses the last tick prior to the next hour.

The CME site does not have tick data for today's data. Due to this fact we are unable to confirm what they show as the last tick prior to 0800.

The last tick prior to 0800 was 1578.8 at 07:59:59.996602

We do not have access to TWS or xtrader; however we did compare our data to CQG and we are matching.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
stephen.shockey@dtn.com

kevptx
-Interested User-
Posts: 3
Joined: Jan 6, 2020


Posted: Jan 6, 2020 01:56 PM          Msg. 3 of 6
I checked Xtrader again (after restarting) and now it shows the price 1578.8 now, matching IQFeed.

Volume on TWS shows only 15,284 while IQFeed shows 15,292, so if the bars are based on tick prices, it shows that IQFeed should have greater coverage of ticks than TWS.

Thanks.

DTN_Stephen
-DTN Evangelist-
Posts: 238
Joined: Aug 22, 2014


Posted: Jan 6, 2020 03:14 PM          Msg. 4 of 6
I am sorry can you expand on your thought. I don't see a question in your last post and more of a statement.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
stephen.shockey@dtn.com

kevptx
-Interested User-
Posts: 3
Joined: Jan 6, 2020


Posted: Jan 6, 2020 03:16 PM          Msg. 5 of 6
I just wanted to comment on how IQfeed looks more reliable than the other data sources I have been using.

DTN_Stephen
-DTN Evangelist-
Posts: 238
Joined: Aug 22, 2014


Posted: Jan 6, 2020 03:21 PM          Msg. 6 of 6
We appreciate your response and strive to be one of the fastest and most reliable datafeeds.

I appreciate the opportunity to provide fast and accurate responses to your questions.

Thank you for being a DTN customer.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
stephen.shockey@dtn.com
 

 

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