for analysis purposes I am supposed to consolidate interday minute data from both IQfeed and Bloomberg. When trying to compare data I found a lot of discrepancies for example existing minutes in IQfeed that are not in Bloomberg and vice verse or at the same minute I have different values between the two datafeeds. I know that IQfeed data timestamps are in EST so when comparing I first add 6 hours to the datetime and then compare it to Bloomberg.

Thanks,
Moustafa

Good morning,

It is hard for me to say what the differences could be, Bloomberg could have any number of configuration differences between us and them. For instance, if you are looking at equity data, are you seeing any trades of less than 100 shares? It could be they are filtering out these odd-lots since they are not last-qualifying. All I can say for sure is that we do not do any filtering of tick data at all. We will send along every trade, of any type to you, that we receive.

Are tick ids equal between the feed? Can you look at those to find places where they are different so you could provide me a specific example and I can research that one?

Lastly, I am not sure if Bloomberg does, but we will not have quote (bid and ask) data in our historical dataset, so that may account for part of the issue?

Tim

My apologies, I was thinking this was a tick data question, in regards to minute data though, it is somewhat similar, there is no way for me to know what ticks are used by Bloomberg to make up their minute data. So there may be differences from ours, but one immediate thing is that Bloomberg probably creates a 12:00 bar that represents from 12:00 to 12:01. We have a 12:01 bar that is built from 12:00 to 12:01. So take a look and make sure this isn't a simple off by one issue as that may be at least part of the issue.

Once again, a specific example would help.

Tim

Hello,
thanks for your reply. I have already noticed this one minute difference and adjusted my analysis accordingly, but I still got these differences. as an example for differences:

first date existing in IQfeed but not in bloomberg or vice verse
1- on 09 March 2015 for GX1 Index (XG#) the data ends at 21:59 in Bloomberg but when getting the data from IQfeed I get data till 17:04 (+6h - 1min = 23:03)

2- on 10 March 2015 same Index, bloomberg data starts at 8:00 while IQfeed data starts at 03:01 (+6h -1min = 9:00)

second date existing in both but different value
1- '13-Jul-2015 08:56:00' bloomberg 11482.5 IQfeed 11495
2- '18-Jun-2015 18:37:00' bloomberg 11198 IQfeed 11210.5

PS I add 6 hours because I am in Germany and I need to convert it to local time here in Germany.

Thanks.

Moustafa Shama

sorry, for the first part it is due the daylight saving start. in the USA it starts on the second sunday in march which was but in 08.03.2015 but in Germany it started on 29.03.2015. but still the second point holds out that some of the values at the same time are different.

Hello Mshama,

I sent you an email to try and further this conversation with the the data we have. Hopefully, something in the underlying tick data will help provide us a clue to the differences.

Tim