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»Forums Index »Product Support »Data and Content Support »"Unstable" historical tick data
Author Topic: "Unstable" historical tick data (13 messages, Page 1 of 1)

mvvcorp
-Interested User-
Posts: 24
Joined: Apr 7, 2010


Posted: Apr 15, 2012 01:17 PM          Msg. 1 of 13
27-03-2012 I've downloaded some history tick data.
Recently I re-downloded history for the same tickers and found multiple discrepancies:

It seems like historical (!!) bid-ask prices are changing continuously for last hist. record (until new last trade appeared).
Could you fix this problem?

DTN_Steve_S
-DTN Guru-
Posts: 2085
Joined: Nov 21, 2005


Posted: Apr 16, 2012 09:44 AM          Msg. 2 of 13
If I'm understanding you correctly, you are saying that you are making two requests for the most recent trade on a symbol and comparing the results. And when doing so, you are getting differing results for the bid/ask prices?

If I am seeing this correctly in your screenshot, the most recent incident of this happening is from March 19th 2012? Can you tell me when the requests were made for data and what your requests were for?
Edited by DTN_Steve_S on Apr 16, 2012 at 09:45 AM

mvvcorp
-Interested User-
Posts: 24
Joined: Apr 7, 2010


Posted: Apr 17, 2012 01:46 AM          Msg. 3 of 13
---->If I'm understanding you correctly, you are saying that you are making two requests for the most recent trade on a symbol and comparing the results.
--->And when doing so, you are getting differing results for the bid/ask prices?

I've made multiple historical requests (at least two) appending my historical tick data files with identical parameters (the same ticker, the same period) at different time (let it be one month ago, end two months ago - sorry, but I have not logs to say precisely) into two different csv files.

It was my mistake (duplicates files), but it allowed me to compare theoretically identical files then.
It should be identical, but not.

Data was "as is" (only date field changed, others field - unchanged! without rounding -> raw text data from socket). I used my command line utility (simple HIT request as I remember), developed 3-4 years ago when I had subscription to IQFeed developer section.
So I compared historical data then.
Let me show another example.
I compared two historical tick files (WinMerge), downloaded at different times for the same ticker (AAN) and period:

There are thousands and thousands of such cases
And I'm sure it's not a client software problem...
Thx

Edited by mvvcorp on Apr 17, 2012 at 01:54 AM

mvvcorp
-Interested User-
Posts: 24
Joined: Apr 7, 2010


Posted: Sep 25, 2012 05:02 AM          Msg. 4 of 13
I'm still having the same problem (right part of the line is almost pure output from iqconnect socket; downloaded at different times, hard to say precisely dates):


mvvcorp
-Interested User-
Posts: 24
Joined: Apr 7, 2010


Posted: Sep 25, 2012 05:10 AM          Msg. 5 of 13

mvvcorp
-Interested User-
Posts: 24
Joined: Apr 7, 2010


Posted: Sep 25, 2012 05:19 AM          Msg. 6 of 13
I found millions and millions discrepancies in the "theoretically" same data (mostly in bidask and cum.volume), which I've got with the 1-2 weeks pause between two downloads.
What is that?

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Sep 25, 2012 08:21 AM          Msg. 7 of 13
Hello mvvcorp,

In today's IQFeed historical data, I show total volume of 10386 for tick id 15795 for IE#.
We will take a closer look at this and get back to you here.

The explanation for @TY# may be a separate issue, but we will get back on that also.
Thanks.

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Sep 25, 2012 10:21 AM          Msg. 8 of 13
Hello mvvcorp,

Our developers tell me that this problem in IQFeed was recently corrected and you should not see those kinds of discrepancies now. If you do come across a current example, please let us know.

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Sep 25, 2012 10:38 AM          Msg. 9 of 13
Mvvcorp,

The correction above referred to the problem with the data for @TY# - we are still looking at the IE# data and will be back with an answer for that - thanks.

steve1986
-DTN Evangelist-
Posts: 119
Joined: Apr 13, 2009


Posted: Sep 28, 2012 08:09 AM          Msg. 10 of 13
Hi Todd,

Can you describe to me the issues that your developers found with @TY#, and how long ago this problem existed and when it was fixed? This is data that I use as well, and if there was a time period with bad data, I will need to double check my data as well.

thanks,

Steve

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Sep 28, 2012 03:35 PM          Msg. 11 of 13
Steve1986,

I am still waiting for that answer, but I will post it when I get it. Thanks.

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Oct 2, 2012 03:11 PM          Msg. 12 of 13
Steve1986,

This is what I have found, so far:
We had server problems in the past couple of weeks and the past tick data may still not be corrected - and we do not yet know when it will be. The issue of seeing different data when requested at different times has been corrected and the current data should be good. If you see any problem in the current data, please let us know. Thanks.

steve1986
-DTN Evangelist-
Posts: 119
Joined: Apr 13, 2009


Posted: Oct 2, 2012 05:15 PM          Msg. 13 of 13
Okay thanks Todd!
 

 

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