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» Some aftermarket bars missing
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| Author | Topic: Some aftermarket bars missing (3 messages, Page 1 of 1) |
 sweigner -Interested User- Posts: 7 Joined: Sep 26, 2017 |
Posted: Sep 26, 2017 11:48 AM
Msg. 1 of 3
I am seeing that some low volume aftermarket bars are not showing up in the historical data. For example, YELP 1 minute bar on 8/11/2017 at 03:35 is missing. It is low volume (10). IQFeed is showing bars on 01:41 and not another until 06:27, missing the bars at 02:23, 03:35, 06:06, 06:16 and 06:17. Is IQFeed skipping those because they are low volume?
Scott |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006 
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Posted: Sep 26, 2017 01:14 PM
Msg. 2 of 3
Hello,
Only last qualified and form T trades are included in minute data. Trades under 100 shares are generally neither of those, usually those are tagged as odd lot trades and those do not set a last, and in turn are not included in the minute data. You would need to build volume from the tick data to catch these trades. Tim |
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sweigner -Interested User- Posts: 7 Joined: Sep 26, 2017 |
Posted: Sep 26, 2017 02:30 PM
Msg. 3 of 3
Thanks Tim. That's a good explanation. Thanks for the quick reply!
Scott |
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