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»Forums Index »IQFeed Developer »IQFeed Developer Support »Equity Tickdata has extreme outliers
Author Topic: Equity Tickdata has extreme outliers (10 messages, Page 1 of 1)

karthikkrishnan
-Interested User-
Posts: 19
Joined: Nov 4, 2015


Posted: May 19, 2020 05:54 PM          Msg. 1 of 10
I am notice some extreme outliers in tick data. For example INTC on. 2020/03/24 as attached. While it is possible for such extreme black swans, I want to make sure if this is not due to some error in feed. For example, these extremes are also happening on very low volume. So just making sure. Can you confirm ?



File Attached: intc.png (downloaded 35 times)

DTN Todd
-Interested User-
Posts: 52
Joined: Mar 24, 2010


Posted: May 19, 2020 07:10 PM          Msg. 2 of 10
Hello Karthikkrishnan

I checked the IQfeed data for your inquiry and I am not showing the spikes in data that your chart is showing.

Thanks
Todd

karthikkrishnan
-Interested User-
Posts: 19
Joined: Nov 4, 2015


Posted: May 19, 2020 08:00 PM          Msg. 3 of 10
I see it. My commands look like
S,CURRENT PROTOCOL,6.1
HTT,INTC,20200324 093000,20200324 160100,100000000,,,1,,

Can you check again ?

karthikkrishnan
-Interested User-
Posts: 19
Joined: Nov 4, 2015


Posted: May 19, 2020 08:05 PM          Msg. 4 of 10
9:55:14 AM 52.925 100 6245693 52.92 52.93 7313 C 19 1 0 24
9:55:14 AM 52.92 100 6245793 52.92 52.93 7314 C 19 1 0 24
9:55:14 AM 52.92 300 6246093 52.92 52.93 7315 C 19 1 0 24
9:55:14 AM 52.925 100 6246193 52.92 52.93 7316 C 19 1 0 24
9:55:14 AM 49.58 1 6246194 52.92 52.93 7317 O 19 8706 0 24
9:55:14 AM 52.925 100 6246294 52.93 52.94 7318 C 19 1 0 24
9:55:14 AM 52.925 100 6246394 52.93 52.94 7319 C 19 1 0 24
9:55:14 AM 52.925 100 6246494 52.93 52.94 7320 C 19 1 0 24
9:55:14 AM 52.925 100 6246594 52.93 52.94 7321 C 19 1 0 24
9:55:14 AM 52.925 100 6246694 52.93 52.94 7322 C 19 1 0 24
9:55:14 AM 52.9201 200 6246894 52.93 52.94 7323 C 19 1 0 24

This is what it looks like (check 49.58 last price at row #6). FYI, I tried it again and see the same anamoly
Edited by karthikkrishnan on May 19, 2020 at 08:05 PM

DTN Todd
-Interested User-
Posts: 52
Joined: Mar 24, 2010


Posted: May 19, 2020 08:35 PM          Msg. 5 of 10
This is everything i am showing for 09:55.14
09:55:15.0 3/24/2020 52.96
09:55:14.9 3/24/2020 52.97
09:55:14.9 3/24/2020 52.97
09:55:14.8 3/24/2020 52.96
09:55:14.8 3/24/2020 52.96
09:55:14.8 3/24/2020 52.96
09:55:14.8 3/24/2020 52.96
09:55:14.8 3/24/2020 52.96
09:55:14.8 3/24/2020 52.96
09:55:14.8 3/24/2020 52.97
09:55:14.8 3/24/2020 52.96
09:55:14.8 3/24/2020 52.96
09:55:14.8 3/24/2020 52.96
09:55:14.8 3/24/2020 52.96
09:55:14.8 3/24/2020 52.96
09:55:14.8 3/24/2020 52.96
09:55:14.8 3/24/2020 52.96
09:55:14.4 3/24/2020 52.97
09:55:14.4 3/24/2020 52.96
09:55:14.4 3/24/2020 52.96
09:55:14.1 3/24/2020 52.96
09:55:14.1 3/24/2020 52.96
09:55:14.1 3/24/2020 52.96
09:55:14.1 3/24/2020 52.95
09:55:14.1 3/24/2020 52.95
09:55:14.1 3/24/2020 52.95
09:55:14.1 3/24/2020 52.95
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.1 3/24/2020 52.94
09:55:14.0 3/24/2020 52.93
09:55:14.0 3/24/2020 52.925
09:55:14.0 3/24/2020 52.93
09:55:14.0 3/24/2020 52.93
09:55:14.0 3/24/2020 52.93
09:55:14.0 3/24/2020 52.93
09:55:14.0 3/24/2020 52.93
09:55:14.0 3/24/2020 52.93
09:55:14.0 3/24/2020 52.93
09:55:14.0 3/24/2020 52.93
09:55:14.0 3/24/2020 52.9201
09:55:14.0 3/24/2020 52.925
09:55:14.0 3/24/2020 52.925
09:55:14.0 3/24/2020 52.925
09:55:14.0 3/24/2020 52.925
09:55:14.0 3/24/2020 52.925
Thanks
Todd

karthikkrishnan
-Interested User-
Posts: 19
Joined: Nov 4, 2015


Posted: May 19, 2020 08:42 PM          Msg. 6 of 10
What does your message look like ? Could you also post the entire line for the rows you are showing. What I posted includes last_trade, bid, ask etc (basically entire feed and I am looking at last price). My row header is
timestamp,last_price,last_size,total_volume,bid,ask,tickid,basis,trade_market_center,trade_condition,trade_aggresor,day_of_month,

Edited by karthikkrishnan on May 19, 2020 at 08:43 PM

DTN Todd
-Interested User-
Posts: 52
Joined: Mar 24, 2010


Posted: May 19, 2020 08:51 PM          Msg. 7 of 10
I can go over the data with you. Instead of taking up forum space with this specific details if you could contact IQfeed Support. I am available for chat at www.iqfeed.net or by email at support@iqfeed.net

Thanks
Todd

DTN_Gary_Stephen
-Interested User-
Posts: 75
Joined: Jul 3, 2019


Posted: May 20, 2020 08:08 AM          Msg. 8 of 10
Yeah, that is unusual. I will have our data team investigate, and will post my findings. ETA: I see that my teammate Steve has already given an explanation below.


Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Edited by DTN_Gary_Stephen on May 20, 2020 at 08:34 AM

DTN_Stephen
-DTN Guru-
Posts: 256
Joined: Aug 22, 2014


Posted: May 20, 2020 08:33 AM          Msg. 9 of 10
karthikkrishnan I believe we spoke in chat this morning and I provided a complete explanation of this trade. However I will recap it here in the forums for all readers.

The trade in question was a Trade Condition: ODDLOT/CASH with an INC Volume 1. This trade was non-last qualifying trade that did not set a new low for the date of 3/24/20.

Symbol: INTC
09:55:13.986418 2020-03-24 49.5800 1 52.9200 52.9300 6246194 0 0 7317 Other Trade NTRF ODDLOT/CASH

https://www.investopedia.com/terms/o/oddlot.asp

What is an Odd Lot?
An odd lot is an order amount for a security that is less than the normal unit of trading for that particular asset. Odd lots are considered to be anything less than the standard 100 shares for stocks. Trading commissions for odd lots are generally higher on a percentage basis than those for standard lots, since most brokerage firms have a fixed minimum commission level for undertaking such transactions.


Understanding Odd Lots
Odd lots may inadvertently arise in an investor's portfolio through reverse splits or dividend reinvestment plans. For example, a one-for-eight reverse split of a security, of which the investor holds 200 shares, will result in a post-split amount of 25 shares. While trading commissions for odd lots may still be higher than for standard lots on a percentage basis, the popularity of online trading platforms and the consequent plunge in brokerage commissions means that it is no longer as difficult or expensive for investors to dispose of odd lots as it used to be in the past.


Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

Edited by DTN_Stephen on May 20, 2020 at 08:35 AM

karthikkrishnan
-Interested User-
Posts: 19
Joined: Nov 4, 2015


Posted: May 20, 2020 08:41 AM          Msg. 10 of 10
That explains it. Thanks!
 

 

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