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» Option data - wrong daily close price
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| Author | Topic: Option data - wrong daily close price (5 messages, Page 1 of 1) |
 Petr -Interested User- Posts: 2 Joined: Jun 14, 2020 |
Posted: Jun 14, 2020 04:10 PM
Msg. 1 of 5
Hi,
Accidentaly I noticed that there is a mismatch in FB1901W187.5, daily close seems to be wrong: Daily: 2019-10-24 7.59 8.19 6.35 6.35 2019-10-23 8.50 8.50 6.47 8.15 <--- 2019-10-22 4.77 9.00 4.50 9.00 Hourly: 2019-10-24 10:00 7.59 7.85 7.40 7.85 2019-10-23 16:00 6.75 6.79 6.47 6.47 <--- 2019-10-23 15:00 6.76 6.76 6.65 6.65 Minutely: 2019-10-24 09:36 7.59 7.59 7.59 7.59 2019-10-23 15:59 6.47 6.47 6.47 6.47 <--- 2019-10-23 15:56 6.52 6.52 6.52 6.52 I haven't checked other strikes/symbols. Please let me know why "8.15" is there as 23rd's close price. Thank you File Attached: daily_wrong.png (downloaded 796 times) |
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DTN_Stephen -DTN Guru- Posts: 453 Joined: Aug 22, 2014 
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Posted: Jun 15, 2020 09:07 AM
Msg. 2 of 5
We have corrected the daily history to reflect the 6.47.
Unfortunately there is not a way to determine why the daily close is different from the minute history since the tick data is outside the 180 calendar days of tick data that we store. We are unable to determine if it was some sort of cancellation or restated close. Stephen Shockey Senior Customer Support Representative and Product Support Specialist DTN 800-779-7299 support@iqfeed.net |
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DTN_Gary_Stephen -DTN Guru- Posts: 394 Joined: Jul 3, 2019
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Posted: Jun 15, 2020 09:13 AM
Msg. 3 of 5
Also: interval requests (the Minute and Hour requests in your screenshot) include data from FormT trades. Daily requests do not. You can see these trades in Time & Sales by checking "Use Extended Trades" in Settings.
Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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Petr -Interested User- Posts: 2 Joined: Jun 14, 2020 |
Posted: Jun 15, 2020 01:36 PM
Msg. 4 of 5
Thank you for the data correction and information. Does it mean that with "Extended Trades" disabled, the data coming from interval requests should always match the daily data?
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DTN_Gary_Stephen -DTN Guru- Posts: 394 Joined: Jul 3, 2019
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Posted: Jun 15, 2020 05:17 PM
Msg. 5 of 5
In a word, no. There are a number of reasons for this. Beyond Daily and Interval commands not including the same trades, the biggest obstacle is not knowing exactly when trading will end for the day. It starts precisely at 8:30, but the end time can vary.
Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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