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»Forums Index »Product Support »Data and Content Support »Odd data in Historical 1 sec OHLCV vs tick data
Author Topic: Odd data in Historical 1 sec OHLCV vs tick data (5 messages, Page 1 of 1)

ChainsawDR
-Interested User-
Posts: 8
Joined: Jan 4, 2019


Posted: Apr 12, 2020 06:22 PM          Msg. 1 of 5
Hi,
I'm retrieving the historical 1 second OHLCV data for backtesting, however I'm seeing some odd spikes in the data that I don't see when I use the 'IQFeed Time & Sales' application to view tick and/or 1min data. It's causing me to doubt whether I should pull/use the historical 1 sec OHLCV or whether I need to start pulling tick data and compiling this myself. I've attached an image that puts the 1sec vs tick vs 1min side by side and have highlighted the 85.39 1sec OHLCV that I can't reconcile with the tick or 1min data. Please could anyone let me know if I am misinterpreting this?
Thanks in advance for any help
Edited by ChainsawDR on Apr 12, 2020 at 06:22 PM



File Attached: BBY.png (downloaded 145 times)

ChainsawDR
-Interested User-
Posts: 8
Joined: Jan 4, 2019


Posted: Apr 12, 2020 06:33 PM          Msg. 2 of 5
Adding a clearer version. Attached is the 1 sec OHLCV data for BBY on 02/03/2020. Higlighted in yellow is a drop from $86 close price to $85.65, then back to $86. Neither the tick or 1min data from 'Time & Sales' shows any drop down to $85.65. My system triggered a signal on this 1 sec OHLCV data that wouldn't be triggered with the other iqfeed dataset. Unsure of the reason for the discrepancy, or wondering if I have a bug in my data retrieval of 1 sec OHLCV data.



File Attached: BBY2.png (downloaded 162 times)

DTN Todd
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Posts: 55
Joined: Mar 24, 2010


Posted: Apr 12, 2020 08:24 PM          Msg. 3 of 5
Hello

I have reviewed that data on multiple of our platforms and i am not showing that drop to $85.65 If we can be of any additional assistance let us know.

Thanks
Todd

ChainsawDR
-Interested User-
Posts: 8
Joined: Jan 4, 2019


Posted: Apr 12, 2020 08:44 PM          Msg. 4 of 5
Thanks for looking into it Todd. I'll look into our systems to see if we're doing any unexpected transformations or gaps fills that might be causing this. Thank you

DTN_mark_e
-Interested User-
Posts: 24
Joined: Sep 25, 2014


Posted: Apr 13, 2020 10:09 AM          Msg. 5 of 5
I'm sorry, we need to correct our earlier posting -- IQFeed is indeed showing the various ticks at 85.39 on 2/3/20, albeit as "extended trades," which by default are not displayed in the Time & Sales window. To turn on Extended trades, you will need to go into the T&S Settings, and under the General tab, check the box for "Enable Extended Trades."

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File Attached: bbytick.png (downloaded 155 times)
 

 

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