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semenchikus has contributed to 12 posts out of 19320 total posts
(0.06%) in 1,304 days (0.01 posts per day).
20 Most recent posts:
During some quality checks of my application (using IQFeed Protocol v5.1) I encountered some historical data mismatches between ticks and interval data in case of summary volume.
I've uploaded all the mismatch examples on my Dropbox: https://www.dropbox.com/sh/xndbnd2z255brhx/AAD9SLvIEE2CG3BRsSMkkX0_a?dl=0
There is a quality check results information: https://www.dropbox.com/s/on344n3tzjafh7y/historical_mismatch.txt?dl=0
This file contains a number of summary volume mismatches between the interval data bars (5 minute time frame) and historical ticks according to the bars. The other files contains historical ticks (columns from A to J) according to the bar in name of the file and a summary volume (column U) that should be equal to volume of the bar, but it doesn't.
processing QGC#C_5.csv with tick_size 0.1
incorrect total Vol 2015-12-06 18:40:00 Vol = 422 additional fields total Vol = 760
RESULT: all the tick data has been duplicated in IQFeed response (request was: HTT,QGC#C,20151206 183500,20151206 183959,,,,1,HTT_QGC#C\r\n)
Historical interval data by QGC#C with 5 minutes time frame and date/time = 2015-12-06 18:40:00 has volume = 422, but summary volume (in the file "ticks_QGC#C_5_20151206_1840.xlsx") = 760. Mismatch!
Could you give me any information about this issue please?
Edited by semenchikus on May 8, 2016 at 01:41 PM
Looks like I simply do not subscribed to the LF and LG instruments. There are reproducible 15 min delays in the historical data.
Thank you for your help!
Could you provide me any information about timelines of historical data delay?
I've encountered that when I'm requesting HID command the last row is delayed sometimes comparing to the time of request.
For example, if request was the following:
=17:28:01.737 DEBUG [connector_LF#C_1]: >>> HID,LF#C,60,1,,030000,,1,HID_LF#C
I'm subscibing to realtime data at the same time. The time difference between realtime tick data (Level1Update - Most Recent Trade TimeMS field) and historical interval data from the example above was 4 minutes. So I need to find a way to decrease this difference.
Thank you again for quick reply!
So, in the other words, your historical ticks (response for any of HT* command) according to realtime ticks in the following way:
Last (history) = Most Recent Trade (realtime)
Last Size (history) = Most Recent Trade Size (realtime)
Time Stamp (history) = Most Recent Trade Date + Most Recent Trade TimeMS (realtime)
Bid (history) = Bid (realtime)
Ask (history) = Ask (realtime)
Is it correct?
Thank you very much Tim.
Currently I'm testing my program with realtime (Level1) ticks. To build bars from tick I'm using the following felds of the Q messages: "Last", "Bid", "Ask", "Last Size", "Last TimeMS" and "Last Date".
Checks showed that value of "Last TimeMS" has a large difference sometimes (more than 5 minutes) comparing to current time. Should I use "Most Recent Trade", "Bid", "Ask", "Most Recent Size", "Most Recent TimeMS" and "Most Recent Date" instead? I want to build bars in realtime and the build bars should match your history interval data.
On startup my application connects to the Level1 and sets protocol v5.1.
Zip-file is re-uploaded. Just in case, here is a link on dropbox: https://www.dropbox.com/s/c9t8cc08jc8p4k2/ticks_BD%23C_20151119_0202.zip?dl=0
Hi guys, i'm finding numerous inconsistencies between interval data and tick data, could someone please get back to me on the above question today? Trying to get to the bottom of this!
Really appreciate your help
Sorry, xlsx attachments are not supported. Wrapped in a zip archive.
I'm checking the data matching between ticks and interval and found some inconsistencies.
Dealing with BD#C, timeframe is 1 minute, date - 19 November 2015, time 2:02.
Request of interval history data was the following:
HIT,BD#C,60,20150329 030000,20160329 160000,,,,1,HIT_BD#C
Interval data from response:
Next, requested tick data for the interval above:
HTT,BD#C,20151119 020100,20151119 020159,,,,1,HTT_BD#C
Response and volume calculations are in the attached file (ticks_BD#C_20151119_0202.xlsx). There are tick fields in the columns from "A" to "J". Look at column "T" please, there is summary volume (sum of "last size" fields) of the tick data and and interval (period) volume of the interval data.
Could you tell me the reason why these volumes are not equal?
Thank you Tim.
I have a custom application that collects tick data (realtime and history) into OHLCV bars by different timeframes and analyses the price levels. As a result I want to get the same price and volume as in your history interval data. Currently I'm testing my application on history and realtime ticks and want to have a clear understanding how should I filter ticks to get the same volume (period volume) and prices (open, high, low, close) as your historical interval data?
For example, currently I do not use the following ticks:
- Realtime ticks with "Message Contents" field that is not equal "C" (Last Qualified Trade)
- History ticks with "Basis For Last" field that is not equal "C" (Last Qualified Trade)
Should I implement any additional filtering?