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»Forums Index »Product Support »Data and Content Support »Odd bars in CME futures historic data
Author Topic: Odd bars in CME futures historic data (5 messages, Page 1 of 1)

Skaarj
-Interested User-
Posts: 10
Joined: Jul 10, 2014


Posted: Feb 3, 2020 05:32 AM          Msg. 1 of 5
I've downloaded QCL#C 1-min bars historic data from IQFeed, the contract specification told me, that trading hours is 6:00 p.m. - 5:00 p.m. (and 6:00 p.m. - 5:15 p.m. before 2015 September 21). But, there are a lot of bars in data from IQFeed which are within exchange closed/maintenance period when executions are not allowed.

In other futures contract the same thing. Where are thees bars from?

For QCL#C:
- only one odd bar from 2015 September 21 to now:

2019-05-02 17:01:00;62.06;62.06;62.06;62.06;5

- and 110 bars from 2007 January to 2015 September:

2007-01-26 17:16:00;126.39;126.39;126.37;126.37;24
2007-03-02 17:16:00;131.6;131.6;131.6;131.6;1
2007-03-16 17:16:00;124.99;124.99;124.99;124.99;1
2007-04-11 17:16:00;129.78;129.78;129.78;129.78;5
2007-05-15 17:16:00;129.69;129.7;129.69;129.7;14
2007-07-12 17:16:00;137.66;137.66;137.66;137.66;9
2007-07-23 17:16:00;139.77;139.77;139.77;139.77;10
2007-07-26 17:16:00;139.67;139.67;139.67;139.67;1
2007-08-02 17:16:00;141.82;141.82;141.82;141.82;2
2007-08-17 17:16:00;136.73;136.73;136.73;136.73;1
2007-09-14 17:16:00;144.07;144.07;144.07;144.07;2
2007-12-03 17:16:00;158.01;158.01;158.01;158.01;1
2008-02-28 17:16:00;171.12;171.12;171.12;171.12;1
2008-05-09 17:16:00;196.4;196.4;196.4;196.4;30
2008-05-21 17:16:00;204.73;204.73;204.73;204.73;1
2008-05-28 17:16:00;201.49;201.49;201.49;201.49;1
2008-06-05 17:16:00;198.89;198.89;198.89;198.89;1
2008-06-11 17:16:00;207.03;207.03;207.01;207.01;3
2008-08-31 17:16:00;185.89;185.89;185.89;185.89;1
2008-08-31 17:17:00;185.9;185.91;185.9;185.91;8
2008-08-31 17:18:00;185.91;185.91;185.66;185.79;37
2008-08-31 17:19:00;185.69;185.79;185.66;185.71;114
2008-08-31 17:20:00;185.7;185.77;185.69;185.77;9
2008-08-31 17:21:00;185.73;185.73;185.73;185.73;1
2008-08-31 17:22:00;185.7;185.89;185.65;185.89;25
2008-08-31 17:23:00;185.89;185.91;185.89;185.89;8
2008-08-31 17:24:00;185.89;185.89;185.84;185.84;16
2008-08-31 17:25:00;185.84;185.94;185.84;185.94;7
2008-08-31 17:26:00;185.93;185.93;185.93;185.93;2
2008-08-31 17:27:00;185.94;185.99;185.94;185.99;3
2008-08-31 17:28:00;185.99;185.99;185.97;185.99;4
2008-08-31 17:29:00;185.98;185.98;185.98;185.98;2
2008-08-31 17:30:00;185.99;185.99;185.98;185.98;6
2008-08-31 17:31:00;185.97;185.97;185.97;185.97;1
2008-08-31 17:35:00;185.96;185.97;185.96;185.96;10
2008-08-31 17:36:00;185.93;185.93;185.83;185.83;13
2008-08-31 17:37:00;185.84;185.84;185.75;185.75;10
2008-08-31 17:38:00;185.84;185.84;185.84;185.84;3
2008-08-31 17:39:00;185.84;185.84;185.79;185.79;4
2008-08-31 17:41:00;185.74;185.74;185.74;185.74;1
2008-08-31 17:42:00;185.84;185.84;185.84;185.84;2
2008-08-31 17:43:00;185.84;185.84;185.84;185.84;2
2008-08-31 17:45:00;185.84;185.84;185.83;185.84;10
2008-08-31 17:46:00;185.84;185.89;185.84;185.89;27
2008-08-31 17:48:00;185.85;185.89;185.85;185.89;5
2008-08-31 17:49:00;185.84;185.84;185.74;185.74;8
2008-08-31 17:51:00;185.84;185.84;185.84;185.84;1
2008-08-31 17:52:00;185.84;185.84;185.84;185.84;2
2008-08-31 17:53:00;185.75;185.75;185.75;185.75;1
2008-08-31 17:54:00;185.77;185.77;185.69;185.69;5
2008-08-31 17:56:00;185.77;185.89;185.77;185.89;6
2008-08-31 17:57:00;185.85;185.85;185.85;185.85;3
2008-08-31 17:58:00;185.85;185.89;185.82;185.89;8
2008-08-31 17:59:00;185.84;185.87;185.84;185.87;2
2008-09-14 17:16:00;168.23;168.23;168.23;168.23;1
2008-09-14 17:18:00;168.13;168.13;168.13;168.13;1
2008-09-14 17:19:00;168.1;168.12;168.1;168.12;4
2008-09-14 17:20:00;168.2;168.2;168.2;168.2;1
2008-09-14 17:26:00;168.11;168.11;168.08;168.08;5
2008-09-14 17:29:00;168.08;168.08;168.08;168.08;1
2008-09-14 17:30:00;168.19;168.19;168.19;168.19;1
2008-09-14 17:31:00;168.14;168.14;168.09;168.09;8
2008-09-14 17:32:00;168.02;168.02;168.01;168.01;17
2008-09-14 17:33:00;168.02;168.03;168.02;168.02;6
2008-09-14 17:34:00;167.99;167.99;167.98;167.98;2
2008-09-14 17:36:00;168.02;168.02;168.02;168.02;1
2008-09-14 17:37:00;168.02;168.02;168.02;168.02;1
2008-09-14 17:39:00;168.01;168.01;168.01;168.01;49
2008-09-14 17:41:00;167.97;167.97;167.94;167.94;3
2008-09-14 17:42:00;167.94;167.94;167.89;167.89;7
2008-09-14 17:44:00;167.93;167.93;167.93;167.93;1
2008-09-14 17:45:00;167.89;167.89;167.89;167.89;1
2008-09-14 17:47:00;167.93;167.93;167.93;167.93;1
2008-09-14 17:48:00;167.93;167.93;167.88;167.88;5
2008-09-14 17:49:00;167.85;167.89;167.8;167.89;17
2008-09-14 17:50:00;167.86;167.86;167.86;167.86;1
2008-09-14 17:51:00;167.88;167.89;167.88;167.89;18
2008-09-14 17:52:00;167.89;167.89;167.89;167.89;3
2008-09-14 17:53:00;167.84;167.84;167.76;167.76;17
2008-09-14 17:54:00;167.81;167.82;167.81;167.82;8
2008-09-14 17:55:00;167.82;167.82;167.79;167.79;2
2008-09-14 17:56:00;167.89;167.89;167.89;167.89;3
2008-09-14 17:57:00;167.89;167.89;167.89;167.89;6
2008-09-14 17:58:00;167.91;168.03;167.91;168.03;5
2008-10-22 17:16:00;136.07;136.07;136.07;136.07;1
2008-11-24 17:16:00;122.54;122.54;122.54;122.54;2
2009-04-30 17:16:00;102.55;102.55;102.55;102.55;1
2009-05-12 17:16:00;110.98;110.98;110.98;110.98;1
2009-06-30 17:16:00;120.79;120.79;120.79;120.79;4
2009-09-14 17:16:00;115.8;115.8;115.8;115.8;9
2009-10-28 17:16:00;123.2;123.2;123.2;123.2;1
2009-11-09 17:16:00;125.37;125.37;125.37;125.37;1
2009-12-09 17:16:00;116.21;116.21;116.21;116.21;8
2010-01-07 17:16:00;126.52;126.52;126.52;126.52;1
2010-07-07 17:16:00;111.94;111.94;111.94;111.94;5
2011-01-06 17:16:00;121.35;121.35;121.35;121.35;4
2011-11-29 17:16:00;125.4;125.4;125.4;125.4;2
2012-01-13 17:16:00;124.73;124.73;124.73;124.73;2
2012-04-09 17:16:00;126.81;126.81;126.81;126.81;17
2012-05-30 17:16:00;111.3;111.3;111.3;111.3;2
2012-09-04 17:16:00;118.56;118.56;118.56;118.56;3
2013-02-01 17:16:00;118.32;118.32;118.32;118.32;1
2014-09-18 17:16:00;116.88;116.88;116.88;116.88;1
2014-12-23 17:16:00;82.16;82.16;82.16;82.16;1
2015-03-27 17:16:00;70.78;70.78;70.78;70.78;1
2015-03-31 17:16:00;69.84;69.84;69.84;69.84;1
2015-04-07 17:16:00;75.6;75.6;75.6;75.6;5
2015-05-26 17:16:00;78.34;78.34;78.34;78.34;1
2015-06-11 17:16:00;80.55;80.55;80.55;80.55;4
2015-08-25 17:16:00;58.35;58.35;58.35;58.35;1

DTN_mark_e
-Interested User-
Posts: 18
Joined: Sep 25, 2014


Posted: Feb 3, 2020 06:45 PM          Msg. 2 of 5
sorry for the late response. We're looking into these and will hopefully have an answer for you shortly.

Mark Eash, Trading Markets Customer Service DTN
9110 West Dodge Rd, Ste 200, Omaha, Ne 68114
800-397-7000 (DTNIQ & IQFEED) | 402-255-3682 (Fax)
www.dtn.com/trading | www.dtniq.com | http://www.iqfeed.net

DTN_Stephen
-DTN Evangelist-
Posts: 226
Joined: Aug 22, 2014


Posted: Feb 4, 2020 07:50 AM          Msg. 3 of 5
In the event the exchange sends a post close trade, we will display it. We do not cut off trade messages at 16:59:59 in this case. If the exchange sends a trade message at 17:00:01 IQ history will build a 17:01 bar.

Please keep in mind most 3rd party software will allow you to stipulate Session times if you wish to filter out this data.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
stephen.shockey@dtn.com

Skaarj
-Interested User-
Posts: 10
Joined: Jul 10, 2014


Posted: Feb 4, 2020 08:15 AM          Msg. 4 of 5
Thanks for the answer.

Quote: If the exchange sends a trade message at 17:00:01

Did you know why the exchange sends trades like this? In case when there is only one bar after close - it is ok, just an outlier. But there are few days (e.g., 2008-08-31, 2008-09-14) when we have bars every minute within 45 minutes after market close (may be these were some special days?)

If I want to process thees bars correct (in bar-by-bar analysis for example) how to hand with it? Just ignore, or add to the last bar of the session? Hope, you can give me some advice.

DTN_Stephen
-DTN Evangelist-
Posts: 226
Joined: Aug 22, 2014


Posted: Feb 4, 2020 08:53 AM          Msg. 5 of 5
Unfortunately we are not provided with any details regarding these bars.

We are not traders and are unable to provide any advise on how to treat this data outside of the normal session times.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
stephen.shockey@dtn.com
 

 

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