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»Forums Index »Product Support »Data and Content Support »Option data - wrong daily close price
Author Topic: Option data - wrong daily close price (5 messages, Page 1 of 1)

-Interested User-
Posts: 2
Joined: Jun 14, 2020

Posted: Jun 14, 2020 04:10 PM          Msg. 1 of 5

Accidentaly I noticed that there is a mismatch in FB1901W187.5, daily close seems to be wrong:

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

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

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 26 times)

-DTN Guru-
Posts: 258
Joined: Aug 22, 2014

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


-Interested User-
Posts: 93
Joined: Jul 3, 2019

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.

Gary Stephen
DTN IQFeed Implementation Support Specialist

-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?

-Interested User-
Posts: 93
Joined: Jul 3, 2019

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.

Gary Stephen
DTN IQFeed Implementation Support Specialist


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