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»Forums Index »IQFeed Developer »IQFeed Developer Support »HIT: Missing data or data compression?
Author Topic: HIT: Missing data or data compression? (4 messages, Page 1 of 1)

shanezilla
-Interested User-
Posts: 3
Joined: Jun 11, 2020


Posted: Jul 16, 2020 04:36 PM          Msg. 1 of 4
I have been using the HIT command to retrieve historical 1-min (60 second) data and I have come across a scenario where the time sequence skips.

Specifically, for the ESH10 contract the retrieved 1-min data skips from ESH10 "2010-01-03 17:46:00" to "2010-01-03 17:48:00". Bypassing "2010-01-03 17:47:00".

Is this missing data? Or is this a data compression technique of some sort? Missing bar = previous bar?

Thanks,
Shane

altmany
-Interested User-
Posts: 69
Joined: Jul 30, 2018

IQML - IQFeed-MATLAB connector


Posted: Jul 16, 2020 04:52 PM          Msg. 2 of 4
Interval bars during which no trading occurred are not reported. For this reason you often see many such gaps in non-trading hours, but sometimes also during the trading day. Naturally, the wider that your requested interval bar size is, the less likely this is to happen.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

shanezilla
-Interested User-
Posts: 3
Joined: Jun 11, 2020


Posted: Jul 16, 2020 04:56 PM          Msg. 3 of 4
Ok, I see.

So for these periods price has not changed and volume is zero.

Thanks,
Shane

DTN_Gary_Stephen
-DTN Guru-
Posts: 267
Joined: Jul 3, 2019


Posted: Jul 17, 2020 08:08 AM          Msg. 4 of 4
Yes, this is standard behavior of the API. If no data exists for a specified time period, the API will omit it from the response. There were no transactions for this symbol in the minute of 2010-01-03 17:47:00, so no record is created.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist
 

 

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