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»Forums Index »IQFeed Developer »IQFeed Developer Support »On the historical data, The Close Price are almost ALWAYS different from the next Open price
Author Topic: On the historical data, The Close Price are almost ALWAYS different from the next Open price (4 messages, Page 1 of 1)

ant1
-Interested User-
Posts: 2
Joined: Nov 5, 2019


Posted: Nov 5, 2019 09:55 AM          Msg. 1 of 4
I was under the assumption that Always, the close price equals the next opening price durg the opening trading day - with the expection of stock exchange closing vs stock exchange opening the next day.

For example, when I query any NASDAQ stock minute granularity historical data, I get improper values.

Statistically, 90% of the time, the close price is different from the next opening price.

I can also see that inconsistency in the Charts App from the IQFEed API Connection Manager, to reproduce, just open the Charts APP, take ABC Symbol, for example, load the minutes, display OHLC and click on each minute - and you will see the inconsistency by yourself.

Same Happens when doing a
HIT,Symbol,60,date from,date to,,,,1,Requestid
request to the API.

How can I get consistent open/close historical data with IQFeed?

DTN_Gary_Stephen
-DTN Evangelist-
Posts: 141
Joined: Jul 3, 2019


Posted: Nov 5, 2019 11:06 AM          Msg. 2 of 4
The short answer is: that's an incorrect assumption.

The Close of a minute is not necessarily the Open of the next minute, even within the same day. Minute data is built from individual trade data within that minute. For example, the last transaction of the 10:00 minute can have a price $5.00, and the first transaction of the 10:01 minute can have a price of $5.01. That would give you a 10:00 Close of $5.00 and a 10:01 Open of $5.01. This is common.

In other words, IQFeed doesn't publish an Open based on the Close of the previous interval. An Open only occurs when a new transaction happens, and that new transaction may be at a different price level than the previous.

Sometimes the Open of a minute (or any interval) will match the Close of the previous one, but this is by circumstance only.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

ant1
-Interested User-
Posts: 2
Joined: Nov 5, 2019


Posted: Nov 5, 2019 05:44 PM          Msg. 3 of 4
Thanks Gary for the quick answer and pointing out that this asumption is wrong.

I am quite not sure to understand how, and I would greatly appreciate to get the long answer.

So what you are saying is that - purelly timely speaking - is that for example - if we have the following two minutes for Ask:

10:00 : Open $4.95, Close $5.00
10:01: Open $5.02, Close $5.05

The open time for the 10:01 is not exactly 10:01:00.000000 but between 10:01:00.0000 and 10:01:59.9999999, the first time the order book has changed during this time span, modifying the Ask price.

Or is it that the close price of $5.00 doesn't really happens at 10:00.59.99999 - it is the last change in value recorded between 10:00:00.00000 & 10:00:59.999999 - and that it happens that the price changes at exactly 10:01:00.000000 - giving a different Open value than the close value?

Or is it a bit of the both?

Xed43
-Interested User-
Posts: 1
Joined: May 16, 2020


Posted: May 16, 2020 10:28 PM          Msg. 4 of 4
Both...

The open price is the price of the first order in that timespan -- the time start/end are just aggregation limits for orders. Technically a bar doesn't have a price until the first order executes in that time window.

As only the orders matter, the time is just how we break up the order into buckets. So there is no price at "10:01:00.000000" unless an order executed at "10:01:00.000000". If the first order after the clock strikes "10:01:00.000000" happens at "10:01:02.473829" that is the open price for the bar we lump the orders from 10:01:00.0000 and 10:01:59.9999999 together for and call "10:01".

Same for the close price -- its the last order in the time period. It can happen at any time within the time window, and might come before "10:00.59.99999".

Order #1 @ "10:00.58.435321": $5.00
Order #2 @ "10:01:02.473829": $5.02

...gives you...

10:00: Close $5.00
10:01: Open $5.02

Open and close prices are only ever the same if those two sequenced orders on either side of a time threshold happen to execute for the same price.

In other words, bars don't exist. Only orders exist.
 

 

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