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»Forums Index »Product Support »Data and Content Support »Historical candles were changed
Author Topic: Historical candles were changed (4 messages, Page 1 of 1)

tarasov
-Interested User-
Posts: 2
Joined: Oct 24, 2020


Posted: Oct 24, 2020 09:43 AM          Msg. 1 of 4
Hello.
I worked with API for the last week and I faced a situation I can't understand, I hope you can help me.

In the beginning of the last week (19.10.2020) I loaded 1-minutes bars for AAPL for period 2013-01-01 - 2020-10-16 with request HIT. I saved this data and after a couple of days (21.10.2020) I loaded the same data again, with the same request. I compared this data using pandas (datetime column in index, merge and calculating differences between corresponding columns) and saw that there are differences between old and new files.

I'm attaching a file with differences to the post, I hope you can look at this. Differences mostly in volume, but there are a few differences for prices too. Can you explain to me what data are correct, old one or new one and how is it possible, that so old data (2016 and 2018 years) was changed?

I tried to get a specific request from the package I use and I think it is
HIT,AAPL,60,20130101 000000,20201016 235959,"","","",True,1,100,s,True<CR><LF>

Time in file in GMT.



File Attached: diffs.txt (downloaded 85 times)

DTN_Gary_Stephen
-DTN Evangelist-
Posts: 165
Joined: Jul 3, 2019


Posted: Oct 26, 2020 07:21 AM          Msg. 2 of 4
Tarasov,

Are you certain that both were identical HIT requests? Because different historical requests handle trades and volume differently.

Interval history (HI_) includes only Last Qualified and Form T trades, and the period volume will include only those trades, but total volume includes all trades.

Daily history (HD_) includes only last-qualified prices (not Form T), and the period volume will include only those trades, but total volume includes all trades.

However, the daily volume includes all trades in both cases. So if you're doing different types of requests, the total volume will appear different.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

DTN_Gary_Stephen
-DTN Evangelist-
Posts: 165
Joined: Jul 3, 2019


Posted: Oct 26, 2020 01:41 PM          Msg. 3 of 4
Tarasov,

We are investigating something that might have caused the results you describe. I'll follow up on this thread when I have more info.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

tarasov
-Interested User-
Posts: 2
Joined: Oct 24, 2020


Posted: Oct 28, 2020 04:14 AM          Msg. 4 of 4
I'm sure that both queries were HIT type, so it means that both of them were "Interval history" type, right?

Thank you, I will wait for results of your investigation.
 

 

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