Hi. We are fetching historical data for FDAX. Latest test fetching using HTT,XG#,20190606 000000,20190611 170500,,,,0,,.

The fetched ticks timestamp seems to have been moved back 5 hours from the usual 1am/2am that it usually starts.

So end part of raw data looks ok, ends around 15XX/16XX (we fetch it with closest datetime being retrieved first)

2019-06-11 16:03:24.215000,12154.00,73,105233,12154.00,12154.00,2743249,C,68,01, <== end
2019-06-11 15:59:59.674000,12145.50,2,105160,12145.00,12145.50,2743053,C,68,01,
2019-06-11 15:59:56.711000,12145.00,2,105158,12144.00,12145.00,2743036,C,68,01,
2019-06-11 15:59:55.466000,12144.00,1,105156,12144.00,12145.00,2743032,C,68,01,

Then we get to here where it should had stopped at 1am/2am but goes back passed 0a and back further to previous day

2019-06-11 00:03:16.804000,12114.50,1,1036,12112.00,12114.50,1043420,C,68,01,
2019-06-11 00:01:27.540000,12115.00,1,1035,12112.50,12115.00,1043277,C,68,01,
2019-06-11 00:01:24.790000,12112.50,1,1034,12112.50,12115.00,1043249,C,68,01,
2019-06-11 00:01:07.922000,12112.50,1,1033,12112.50,12115.00,1043221,C,68,01,
2019-06-11 00:00:08.134000,12114.50,1,1032,12112.50,12114.50,1043178,C,68,01, <== new day
2019-06-10 23:59:58.424000,12114.50,1,1031,12112.50,12114.50,1043175,C,68,01,
2019-06-10 23:58:29.982000,12114.00,2,1030,12112.00,12114.00,1043094,C,68,01,
2019-06-10 23:57:50.899000,12113.50,1,1028,12111.50,12113.50,1043073,C,68,01,

This continues until here

2019-06-10 20:15:27.993000,12079.50,1,42,12077.50,12079.50,988692,C,68,01,
2019-06-10 20:15:27.134000,12079.00,1,41,12076.50,12079.00,988677,C,68,01,
2019-06-10 20:15:24.822000,12074.50,1,40,12074.50,12079.00,988646,C,68,01,
2019-06-10 20:15:23.338000,12073.00,39,39,12073.00,12073.00,988556,C,68,01, <== new session start??
2019-06-10 16:03:35.737000,12096.50,37,48420,12096.50,12096.50,988017,C,68,01, <== previous day session end
2019-06-10 15:59:57.689000,12087.00,1,48383,12087.00,12090.50,987387,C,68,01,
2019-06-10 15:59:57.688000,12087.00,1,48382,12087.00,12090.50,987384,C,68,01,
2019-06-10 15:59:55.916000,12087.00,1,48381,12087.00,12091.00,987268,C,68,01,

Same thing happens on the other days:

2019-06-10 00:01:37.788000,12107.00,1,955,12104.50,12107.00,71532,C,68,01,
2019-06-10 00:01:05.796000,12105.50,1,954,12104.50,12105.50,71497,C,68,01,
2019-06-10 00:00:46.297000,12104.50,1,953,12104.50,12106.50,71471,C,68,01,
2019-06-10 00:00:39.994000,12104.50,1,952,12104.50,12106.50,71466,C,68,01, <== new day
2019-06-09 23:59:27.013000,12104.50,1,951,12104.50,12106.50,71426,C,68,01,
2019-06-09 23:59:12.510000,12104.50,1,950,12104.50,12106.50,71423,C,68,01,
2019-06-09 23:58:56.789000,12104.50,1,949,12104.50,12106.50,71421,C,68,01,
...
...
2019-06-09 20:15:24.558000,12101.00,1,49,12100.50,12101.00,687,C,68,01,
2019-06-09 20:15:24.556000,12100.50,1,48,12100.50,12101.00,683,C,68,01,
2019-06-09 20:15:24.556000,12101.00,2,47,12100.50,12101.00,681,C,68,01,
2019-06-09 20:15:24.556000,12100.50,45,45,12100.50,12100.50,649,C,68,01, <== ??
2019-06-07 16:03:39.563000,12055.00,37,105100,12055.00,12055.00,12426297,C,68,01, <== session end
2019-06-07 15:59:59.411000,12050.00,1,105063,12048.00,12050.00,12425814,C,68,01,
2019-06-07 15:59:59.401000,12050.00,6,105062,12048.00,12050.00,12425812,C,68,01,
2019-06-07 15:59:59.390000,12050.00,6,105056,12048.00,12050.00,12425806,C,68,01,

Issue appears to have started from 12/10/2018 based on a table we use to keep start / end timestamps for each day's session.

2018-12-04 02:00:00.000000
2018-12-05 02:00:00.000000
2018-12-06 02:00:00.000000
2018-12-07 02:00:00.000000
2018-12-09 19:30:00.000000
2018-12-10 00:00:00.000000 <==
2018-12-11 00:00:00.000000
2018-12-12 00:00:00.000000
2018-12-13 00:00:00.000000
2018-12-14 00:00:00.000000
...
...
(part where its DST)
2019-03-07 00:00:00.000000
2019-03-08 00:00:00.000000
2019-03-10 19:30:00.000000
2019-03-10 23:00:00.000000
2019-03-11 23:00:00.000000
2019-03-12 23:00:00.000000
2019-03-13 23:00:00.000000
2019-03-14 23:00:00.000000
2019-03-17 19:30:00.000000
2019-03-17 23:00:00.000000
2019-03-18 23:00:00.000000
...

Any idea why this happened? a way to fix it?

---

Lance

After checking with a ninjatrader chart, timestamp that goes back to 20:00 is actually an additional 5 hours of tick data prefixed to the start of the expected historical tick data. Not sure what they are.

---

Lance
Edited by lgwaustralia on Jun 19, 2019 at 10:19 PM

Is there any way to exclude those additional historical tick data? Was it because of the command string that we sent?

Would like for you to test on your end and see if we get the same result.

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Lance

In December of 2018 the DAX increased it's trading hours to start a few hours after the Close on the previous day. The additional data you are seeing represents those additional market trades, it is not erroneous data. You could filter the data you receive but then you would be throwing away a significant portion of the actual DAX trading.

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Lonnie Shumate
Development Manager, IQ Systems
DTN

Thanks for the reply.

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Lance

Just had to change Trading hours to the Extended one and can now see the additional market data in NT.

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Lance