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20 Most recent posts:
Data and Content Support » tick to minute conversion Feb 17, 2015 03:53 PM (Total replies: 7)

Steve,

Attached is DG data for 2/11

thanks.

ajs

Data and Content Support » tick to minute conversion Feb 16, 2015 12:23 PM (Total replies: 7)

I had highlighted the incorrect sample, so I'll try again.

Here is the tick data for that period without any omissions. I was looking at the last "C" sample before the new 1/2 hr,
but it looks like you are using the 2nd one _after_ the 30 min mark.

I'm wondering why you are using the "C" sample at 14:00:11.738 for 30 min when there is also one at 14:00:07.486.
Also note (near the bottom of this data) the volumes that match the "C" sample you used and the 30 min are also from later.

thanks


Q,DG,67.8650,100,13:59:46.230,19,1697704,67.8500,600,67.8800,200,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8650,100,13:59:46.233,19,1697804,67.8500,600,67.8800,200,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8650,100,13:59:46.233,19,1697804,67.8500,600,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:46.233,19,1697804,67.8500,600,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:46.233,19,1697804,67.8500,600,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:46.233,19,1697804,67.8500,600,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,600,67.8800,200,67.8000,68.0900,67.6500,67.8200,C,01, << the one I'm using

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,600,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,600,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,600,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,600,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,600,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,600,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,600,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,600,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,700,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,700,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,800,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,800,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,800,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8500,800,67.8800,200,67.8000,68.0900,67.6500,67.8200,C,01, << why not use this one?

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8500,800,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8500,800,67.8800,400,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8500,800,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8500,1000,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8500,1000,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8500,1000,67.8800,300,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8500,1000,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,100,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,200,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,200,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,200,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,200,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,200,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,300,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,600,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,600,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,600,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,700,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,600,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8600,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8600,100,14:00:11.738,12,1698104,67.8600,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,3D, <<<<<<<< tick you used for 30 min sample. vol doesn't match

Q,DG,67.8600,100,14:00:11.738,12,1698104,67.8600,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,3D,

Q,DG,67.8600,100,14:00:11.738,12,1698104,67.8600,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,3D,

Q,DG,67.8700,200,14:00:12.989,19,1698304,67.8600,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8700,200,14:00:12.989,19,1698304,67.8600,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8800,16,14:00:13.446,7,1698320,67.8600,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,O,3D87,

Q,DG,67.8800,16,14:00:13.446,7,1698320,67.8600,600,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,3D87,

Q,DG,67.8800,16,14:00:13.446,7,1698320,67.8700,100,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,3D87,

Q,DG,67.8800,16,14:00:13.446,7,1698320,67.8700,100,67.8900,100,67.8000,68.0900,67.6500,67.8200,ba,3D87,

Q,DG,67.8800,16,14:00:13.446,7,1698320,67.8700,100,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,3D87,

Q,DG,67.8800,84,14:00:13.446,7,1698404,67.8700,100,67.8800,100,67.8000,68.0900,67.6500,67.8200,O,3D87,

Q,DG,67.8700,100,14:00:13.448,5,1698504,67.8700,100,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,3D,

Q,DG,67.8800,100,14:00:13.449,5,1698604,67.8700,100,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8700,100,14:00:13.449,18,1698704,67.8700,100,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8700,100,14:00:13.450,18,1698804,67.8700,100,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8700,100,14:00:13.450,18,1698804,67.8700,200,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8700,100,14:00:13.450,18,1698804,67.8700,100,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8700,100,14:00:13.450,18,1698804,67.8700,200,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8700,100,14:00:13.450,18,1698804,67.8700,300,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8700,100,14:00:13.450,18,1698804,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.463,18,1698904,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8750,100,14:00:13.463,18,1698904,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.463,18,1698904,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.463,18,1698904,67.8700,300,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.470,18,1699004,67.8700,300,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8750,100,14:00:13.470,18,1699004,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,600,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,700,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,600,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,600,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,600,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:13.485,19,1699104,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8800,66,14:00:16.955,18,1699170,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,O,3D87,

Q,DG,67.8800,100,14:00:16.955,7,1699270,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,3D,

Q,DG,67.8800,34,14:00:16.955,18,1699304,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,O,3D87,

Q,DG,67.8750,100,14:00:16.956,18,1699404,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8750,100,14:00:16.956,18,1699404,67.8700,400,67.8900,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:16.956,18,1699404,67.8700,500,67.8900,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:16.956,18,1699404,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:16.956,18,1699504,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8750,100,14:00:16.957,19,1699604,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01, <<<<<<< vol matches 30 min for 14:00

Q,DG,67.8750,100,14:00:16.957,18,1699704,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8750,100,14:00:16.957,18,1699704,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,ba,01,

Q,DG,67.8750,100,14:00:17.040,19,1699804,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01, <<<<<<< vol matches your tick from 11.738

Q,DG,67.8750,100,14:00:17.040,19,1699904,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8750,100,14:00:17.040,19,1700004,67.8700,400,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,

Q,DG,67.8750,100,14:00:17.040,19,1700004,67.8700,400,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,

Data and Content Support » tick to minute conversion Feb 12, 2015 03:46 PM (Total replies: 7)

Most of the time the volume/price value for the minute data matches the very last sample _before_ the minute time
from the tick data. On this occasion the minute data used the price from the period immediately before 14:00:00 but the volume
from 14:00:16.957. I looked at about 2600 stocks on this day and they all match the expected pattern until 14:00:00 but then
some of them deviate as below. We’re trying to make a simulation that works the same way with historic data as it does
with streaming but these discrepancies are causing us problems.

thanks.

ajs


this is historic data download for NYSE.DG in 30 min

2015-02-11 10:00:00,68.0850,67.7200,67.8000,67.9400,312891,300918,
2015-02-11 10:30:00,68.0100,67.7500,67.9400,67.8900,546386,223726,
2015-02-11 11:00:00,68.0900,67.8750,67.8900,68.0000,712456,158922,
2015-02-11 11:30:00,68.0000,67.8500,67.9900,67.9300,842175,123811,
2015-02-11 12:00:00,68.0300,67.8400,67.9300,67.9000,1016018,168191,
2015-02-11 12:30:00,67.9100,67.6500,67.9100,67.8200,1110477,86471,
2015-02-11 13:00:00,67.8900,67.7500,67.8000,67.8300,1382853,264184,
2015-02-11 13:30:00,67.9000,67.7150,67.8300,67.8900,1546523,156955,
2015-02-11 14:00:00,67.9050,67.7975,67.8900,67.8650,1699604,145708, <<<<<<<<<
2015-02-11 14:30:00,67.9100,67.7975,67.8650,67.9000,1867674,157084,
2015-02-11 15:00:00,67.9600,67.8350,67.8900,67.8900,2104135,149117,
2015-02-11 15:30:00,67.9300,67.8100,67.8950,67.8900,2422166,300001,
2015-02-11 16:00:00,67.9500,67.6300,67.9000,67.7100,3428190,967405,

this is the streaming tick data for DG
normally the price/volume for 14:00:00 in 30 minute would be the last price/volume before then.

Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,800,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01,
Q,DG,67.8650,100,13:59:49.859,19,1697904,67.8500,800,67.8800,200,67.8000,68.0900,67.6500,67.8200,ba,01, <<<<<<<<<
Q,DG,67.8650,100,14:00:07.486,18,1698004,67.8500,800,67.8800,200,67.8000,68.0900,67.6500,67.8200,C,01,

……data omitted

Q,DG,67.8750,100,14:00:16.956,18,1699504,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,
Q,DG,67.8750,100,14:00:16.957,19,1699604,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01, <<<<<<<<<<<<<<<<<
Q,DG,67.8750,100,14:00:16.957,18,1699704,67.8700,500,67.8800,100,67.8000,68.0900,67.6500,67.8200,C,01,


Time: Sat May 4, 2024 4:41 AM CFBB v1.2.0 15 ms.
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