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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Wish List »IQFeed makes it IMPOSSIBLE to get clean data
Author Topic: IQFeed makes it IMPOSSIBLE to get clean data (2 messages, Page 1 of 1)

dhakme
-DTN Evangelist-
Posts: 150
Joined: Sep 17, 2004


Posted: Dec 9, 2004 12:17 AM          Msg. 1 of 2
I have been trying for days to correct NASDAQ data (in the form of update records) but have been foiled at every turn. As anyone who has dealt with exchanges around the world will know, data that is not filtered in any way (eg the IQFeed service) will have incorrect data. Common errors include values such as zero for a bid/ask/trade and a value such as $223.1 instead of $22.31 (misplaced decimal point). Some data feeds implement correction algorithms and I am attempting to do this. However, to do this effectively when the data is being delivered via an inherently unreliable medium such as the Internet you need to know when some transactions have been missed.

IQFeed supplies two fields that can assist:

field 56 (number of trades today) - I'll call this trade_count
field 7 (total volume) - I'll call this day_volume

trade_count appears to be generated locally. I am unsure whether day_volume is server generated (I hope it is).

The problem is that both of these fields can jump around unexpectedly. For example, I have seen trade_count jump backwards from 2741 to 2034. It then continues normally (ie 2035, 2036, ...). Day_volume can also jump around, both forwards and backwards. I have seen it jump forward a large amount, proceed normally for a few hundred updates, and then jump back to the earlier value! They usually don't jump around at the same point. These unusual movements are NOT related to missed updates. Unfortunately, from the perspective of tick correction, these jumps often occur at the same time as incorrect data is received......I don't think this is a coincidence.

I have just got to the point where I can deal with the high level of corrupt data (discussed elsewhere in these forums) that is dished out by the IQFeed client and this is just one more setback. Tick correction is VITAL to active traders as incorrect data can easily trigger a BUY or SELL order.

So IQFeed developers, WHERE is this data coming from? Why is it jumping around?

Thanks, Dennis

PS please don't tell me to get a faster machine or increase my buffer size, etc

dhakme
-DTN Evangelist-
Posts: 150
Joined: Sep 17, 2004


Posted: Dec 9, 2004 07:15 AM          Msg. 2 of 2
Moderator/Administrator,

I've accidently posted this into the wrong forum. Could you please move it to the IQFeed Developer Support forum.

Thanks
 

 

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