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Spuddy has contributed to 4 posts out of 21191 total posts
(0.02%) in 7,220 days (0.00 posts per day).
20 Most recent posts:
IQFeed Developer Support »
Anybody Interested in an Equity Put/Call Ratio Indicator ? Aug 28, 2006 04:48 PM
(Total replies: 2)
IQFeed supplies the CBOE Index Put/Call Ratio but not the Equity Put/Call Ratio. If you would like this indicator added to the feed then please e-mail support@iqfeed.net and request it. I have been assured that if enough people request this then it will be added. Thanks !
IQFeed Developer Support »
Historical Minute Data Accuracy Jun 13, 2005 03:39 PM
(Total replies: 3)
Oh that's great ! I look foward to that ! Thanks for your prompt reply
IQFeed Developer Support »
Historical Minute Data Accuracy Jun 13, 2005 02:06 PM
(Total replies: 3)
Hi, I've been developing my own T/A software using DTNs feeds for nearly 10 months now and right from day 1, I've been concerned about the accuracy of the historical data. Surpose I connect to DTNs servers and read as much historical data as possible (120 calender days) using say "HM,QQQQ,120,1;", parse the incoming data and plot a OHLC bar chart of the minute data, I'll notice minute bars that are very obviously wrong - they'll have a very long spike top or tail on the minute bar indicating a bad tick has sneaked into it's calculation. I notice these spikes on pretty much every stock and with a frequency of bad data maybe 1 in 5 days (very rough guess). Needless to say this makes the historical data very ugly without any filtering. Let me give you an example. Today is Monday 06/13/05 and I just retrieved the last 3 trading days worth of SPY minute data using the "HM,SPY,5,1" request (5 calender days). After plotting a chart of the minute data for these last 3 days, 2 huge spikes and 1 possible dodgy looking spike immediately came to my attention. On closer examination of the data returned from DTN, it's obvious that the following Lows that I've marked >>Low<< are badly wrong: 2005-6-13 9:32:00, 120.000000, 119.910000, 119.960000, 119.980000 2005-6-13 9:33:00, 120.090000, 119.950000, 120.000000, 120.060000 2005-6-13 9:34:00, 120.140000,>>112.040000<<,120.040000, 120.130000 2005-6-13 9:35:00, 120.140000, 120.080000, 120.100000, 120.110000 2005-6-13 9:36:00, 120.130000, 120.090000, 120.110000, 120.090000 2005-6-13 11:08:00, 121.020000, 120.840000, 120.850000, 120.980000 2005-6-13 11:09:00, 121.080000, 120.910000, 121.000000, 121.000000 2005-6-13 11:10:00, 121.050000,>>120.050000,<<121.000000, 121.010000 2005-6-13 11:11:00, 121.050000, 120.970000, 121.010000, 120.970000 2005-6-13 11:12:00, 120.990000, 120.940000, 120.980000, 120.950000 2005-6-9 12:24:00, 120.270000, 120.230000, 120.260000, 120.270000 2005-6-9 12:25:00, 120.330000, 120.250000, 120.260000, 120.320000 2005-6-9 12:26:00, 120.450000,>>119.340000,<<120.330000, 120.410000 2005-6-9 12:27:00, 120.540000, 120.420000, 120.420000, 120.520000 2005-6-9 12:28:00, 120.570000, 120.500000, 120.500000, 120.560000 I have written very simple filtering algorithms to scan through the minute data I receive and chop the tops and tails off the bars that are obviously wrong, but this leaves me with an inaccurate minute bar in my data as I don't know what the actual High and Low was and also, sometimes it's not quite so obvious that a minute bar has bad data - I would have to delve into the actual tick data to filter out each bad tick in order to obtain an accurate result. Filtering bad ticks isn't that difficult actually and that's what I've been doing recently. I walk through all the ticks at the end of the day and look for a tick with a price that pops up or down outside a threshold percentage I set, and then pops back on the next tick, suggesting that it was bad - or ticks that are wildly outside the bid and ask are also suspects. So it's not that difficult to write a tick filtering algorithm. I added a fairly effective one to my software in less than a day. However it takes quite a long time for my software to retrieve every tick for a particular stock at the end of each day. I'm looking at maybe 20 to 60 seconds per stock per day of tick data. This might not seem like long, but I want to retrieve accurate minute data for a thousand or so stocks at the end of each day so I can scan for setups and retrieving the tick data for a thousand stocks, just so I can filter out the bad ticks to obtain accurate minute data is not really an option. Also, if I go on holiday for over a week and can't run my software then my data will be at the mercy of your minute database as you only let us retrieve up to 6 trading days of ticks. I'm also suspect you'd rather we didn't hog your bandwidth downloading tons of ticks, so .... is their ANY chance that when DTN calculates the intraday and end of day minute data for each stock, that it can apply some simple bad tick filtering ? It shouldn't take a competent programmer very long to write some code that filters out bad ticks and also cleans up you archives of minute data. I don't like retrieving historical data that is very obviously bad a lot of the time. The accuracy of the minute data also makes me wonder about the accuracy of other time frames such as 60 minute, daily etc if they're calculated from the minute data. Makes your historical data much less useful if it's bad. I did post a message about this about 6 months ago but nothing productive appears to have come of it. Thanks !
Data and Content Support »
Historical Minute Data Cleansing Aug 1, 2004 02:15 PM
(Total replies: 1)
This is my first attempt at retreiving IQFeed's historical minute data via TCP/IP and I noticed that the data appears to be very unclean at times. Indices such as COMPX.X appear to be fine, but after retrieving 100 days of minute data for QQQ, there is usually at least one bad minute bar each day from what I assume is unfiltered Tick data being used to generate the minute data. Other stocks' minute data is similarly dirty. Are there any plans for DTN to filter out the bad ticks before it's used to generate the historical data ? I don't mind being delivered unfiltered Tick data but I'd like to be given accurate historical data. I surpose I could retrieve the tick data and do the filtering myself but that sort of defeats the point of being able to access historical minute data. Only 8 days of Tick data are supplied too and 120 days of dirty minute data is available. I can always filter my minute data and drop the bad bars but now I'm wondering how accurate longer time frames are such as 60 minute and daily data is if bad Ticks aren't being filtered out at DTN's end ? Also, when I retrieve a days worth of minute data for a particular stock, I've noticed that I'm not always delivered data for every single minute in the trading day. Is this because there were no trades during the minutes that IQConnect skips or shall I start looking for a bug in my code ? Thanks |
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