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»Forums Index »Archive (2017 and earlier) »Data and Content Support »INDU.X bad intraday volume data?
Author Topic: INDU.X bad intraday volume data? (8 messages, Page 1 of 1)

chanlenger
-Interested User-
Posts: 5
Joined: Sep 21, 2016
Posted: Sep 21, 2016 12:25 AM          Msg. 1 of 8
Hi,

There seems to be some bad volumes on intraday data of INDU.X around 2013/10/29 from 12:49:00 to 13:00:00.

Here's a command I send over TCP:
HIT,INDU.X,60,20131029 124000,20131029 130500

Results:
2013-10-29 13:06:00,15667.160,15665.170,15666.200,15665.300,38058668,0,0,
2013-10-29 13:05:00,15666.450,15664.910,15664.910,15666.200,37996252,0,0,
2013-10-29 13:04:00,15665.160,15663.430,15663.620,15664.980,37927739,0,0,
2013-10-29 13:03:00,15664.520,15662.020,15662.530,15663.550,37868722,0,0,
2013-10-29 13:02:00,15664.330,15662.340,15662.470,15662.470,37778070,0,0,
2013-10-29 13:01:00,15663.990,15660.150,15660.150,15662.530,37732796,0,0,
2013-10-29 13:00:00,15662.340,15659.990,15662.210,15660.090,37640928,901918556,0,
2013-10-29 12:59:00,15663.550,15661.980,15662.910,15662.210,37556502,1125756896,0,
2013-10-29 12:58:00,15664.620,15660.800,15664.620,15662.320,37481911,1123678367,0,
2013-10-29 12:57:00,15666.590,15664.490,15666.020,15664.490,37410878,1120757675,0,
2013-10-29 12:56:00,15666.340,15665.130,15665.990,15666.210,37306576,1117209936,0,
2013-10-29 12:55:00,15667.510,15665.100,15666.030,15666.090,37192436,1114260616,0,
2013-10-29 12:54:00,15667.150,15665.190,15665.610,15665.710,0,1112649393,0,
2013-10-29 12:53:00,15666.380,15665.130,15666.220,15665.420,0,1109907647,0,
2013-10-29 12:52:00,15666.220,15662.880,15662.880,15666.160,0,1107779326,0,
2013-10-29 12:51:00,15662.680,15660.280,15660.280,15662.680,0,957674083,0,
2013-10-29 12:50:00,15661.370,15660.030,15661.370,15660.280,0,698750639,0,
2013-10-29 12:49:00,15661.530,15660.760,15661.120,15661.500,0,844870729,0,
2013-10-29 12:48:00,15661.120,15658.900,15659.090,15661.120,36693484,0,0,
2013-10-29 12:47:00,15660.510,15658.420,15658.420,15659.290,36626386,0,0,
2013-10-29 12:46:00,15659.160,15657.970,15658.880,15658.390,36492739,0,0,
2013-10-29 12:45:00,15658.930,15655.510,15655.510,15658.750,36409822,0,0,
2013-10-29 12:44:00,15657.490,15655.570,15657.490,15655.570,36264309,0,0,
2013-10-29 12:43:00,15659.250,15657.300,15658.530,15657.430,36178989,0,0,

Generally, the last 2 values are 0 for indexes.
Are there some bad volume data here in the bold parts?

DTN Todd
-Interested User-
Posts: 74
Joined: Mar 24, 2010
Posted: Sep 21, 2016 12:30 AM          Msg. 2 of 8
Hello

We will take a look into this

chanlenger
-Interested User-
Posts: 5
Joined: Sep 21, 2016
Posted: Sep 21, 2016 12:45 AM          Msg. 3 of 8
I see a similar behavior with TRAN.X for exactly the same timestamps.

Command:
HIT,TRAN.X,60,20131029 124000,20131029 131000

Results:
2013-10-29 13:03:00,7048.610,7046.860,7047.360,7048.340,5249098,0,0,
2013-10-29 13:02:00,7048.370,7047.360,7048.090,7047.360,5243848,0,0,
2013-10-29 13:01:00,7047.880,7046.870,7046.870,7047.880,5235498,0,0,
2013-10-29 13:00:00,7047.410,7046.450,7047.410,7046.920,5228488,41708907,0,
2013-10-29 12:59:00,7048.830,7047.410,7048.610,7047.410,5210401,62451738,0,
2013-10-29 12:58:00,7049.380,7048.390,7049.380,7048.670,5196984,62275431,0,
2013-10-29 12:57:00,7050.300,7049.430,7050.030,7049.430,5183189,62125463,0,
2013-10-29 12:56:00,7050.190,7047.580,7047.580,7050.030,5170590,61919509,0,
2013-10-29 12:55:00,7047.790,7046.380,7046.590,7047.790,5146656,61648924,0,
2013-10-29 12:54:00,7046.750,7046.180,7046.430,7046.690,0,61549702,0,
2013-10-29 12:53:00,7046.760,7046.270,7046.760,7046.270,0,61429991,0,
2013-10-29 12:52:00,7047.140,7046.480,7046.700,7046.540,0,61204103,0,
2013-10-29 12:51:00,7047.220,7046.700,7047.220,7046.810,0,45829450,0,
2013-10-29 12:50:00,7047.110,7045.860,7045.860,7047.110,0,50858996,0,
2013-10-29 12:49:00,7045.910,7045.260,7045.750,7045.910,0,40623039,0,
2013-10-29 12:48:00,7045.910,7042.910,7042.910,7045.910,5073784,0,0,
2013-10-29 12:47:00,7043.190,7042.340,7042.340,7042.750,5058135,0,0,
2013-10-29 12:46:00,7042.390,7041.790,7041.790,7042.290,5019769,0,0,
2013-10-29 12:45:00,7042.010,7041.200,7041.790,7041.790,5005272,0,0,

thanks!

DTN_Stephen
-DTN Guru-
Posts: 453
Joined: Aug 22, 2014
Posted: Sep 21, 2016 10:14 AM          Msg. 4 of 8
The incorrect tick data values have been deleted from TRAN.X and INDU.X. for the date of 10/29/2013.

Please let me know if there is anything else we can assist you with.
Stephen Shockey | Telvent DTN LLC | Trading Markets | United States |Customer Service Technical Support
Email: support@iqfeed.net

chanlenger
-Interested User-
Posts: 5
Joined: Sep 21, 2016
Posted: Sep 21, 2016 08:59 PM          Msg. 5 of 8
Thanks for looking into this!

The volume in the second-to-last column has been erased.
But is there a way to correct the third-to-last columns with 0 volume?

INDU.X
2013-10-29 13:02:00,15664.330,15662.340,15662.470,15662.470,37778070,0,0,
2013-10-29 13:01:00,15663.990,15660.150,15660.150,15662.530,37732796,0,0,
2013-10-29 13:00:00,15662.340,15659.990,15662.210,15660.090,37640928,0,0,
2013-10-29 12:59:00,15663.550,15661.980,15662.910,15662.210,37556502,0,0,
2013-10-29 12:58:00,15664.620,15660.800,15664.620,15662.320,37481911,0,0,
2013-10-29 12:57:00,15666.590,15664.490,15666.020,15664.490,37410878,0,0,
2013-10-29 12:56:00,15666.340,15665.130,15665.990,15666.210,37306576,0,0,
2013-10-29 12:55:00,15667.510,15665.100,15666.030,15666.090,37192436,0,0,
2013-10-29 12:54:00,15667.150,15665.190,15665.610,15665.710,0,0,0,
2013-10-29 12:53:00,15666.380,15665.130,15666.220,15665.420,0,0,0,
2013-10-29 12:52:00,15666.220,15662.880,15662.880,15666.160,0,0,0,
2013-10-29 12:51:00,15662.680,15660.280,15660.280,15662.680,0,0,0,
2013-10-29 12:50:00,15661.370,15660.030,15661.370,15660.280,0,0,0,
2013-10-29 12:49:00,15661.530,15660.760,15661.120,15661.500,0,0,0,
2013-10-29 12:48:00,15661.120,15658.900,15659.090,15661.120,36693484,0,0,
2013-10-29 12:47:00,15660.510,15658.420,15658.420,15659.290,36626386,0,0,
2013-10-29 12:46:00,15659.160,15657.970,15658.880,15658.390,36492739,0,0,
2013-10-29 12:45:00,15658.930,15655.510,15655.510,15658.750,36409822,0,0,


TRAN.X
2013-10-29 13:01:00,7047.880,7046.870,7046.870,7047.880,5235498,0,0,
2013-10-29 13:00:00,7047.410,7046.450,7047.410,7046.920,5228488,0,0,
2013-10-29 12:59:00,7048.830,7047.410,7048.610,7047.410,5210401,0,0,
2013-10-29 12:58:00,7049.380,7048.390,7049.380,7048.670,5196984,0,0,
2013-10-29 12:57:00,7050.300,7049.430,7050.030,7049.430,5183189,0,0,
2013-10-29 12:56:00,7050.190,7047.580,7047.580,7050.030,5170590,0,0,
2013-10-29 12:55:00,7047.790,7046.380,7046.590,7047.790,5146656,0,0,
2013-10-29 12:54:00,7046.750,7046.180,7046.430,7046.690,0,0,0,
2013-10-29 12:53:00,7046.760,7046.270,7046.760,7046.270,0,0,0,
2013-10-29 12:52:00,7047.140,7046.480,7046.700,7046.540,0,0,0,
2013-10-29 12:51:00,7047.220,7046.700,7047.220,7046.810,0,0,0,
2013-10-29 12:50:00,7047.110,7045.860,7045.860,7047.110,0,0,0,
2013-10-29 12:49:00,7045.910,7045.260,7045.750,7045.910,0,0,0,
2013-10-29 12:48:00,7045.910,7042.910,7042.910,7045.910,5073784,0,0,
2013-10-29 12:47:00,7043.190,7042.340,7042.340,7042.750,5058135,0,0,
2013-10-29 12:46:00,7042.390,7041.790,7041.790,7042.290,5019769,0,0,
Edited by chanlenger on Sep 21, 2016 at 09:01 PM

chanlenger
-Interested User-
Posts: 5
Joined: Sep 21, 2016
Posted: Sep 21, 2016 10:22 PM          Msg. 6 of 8
Is there a symbol that would give the volume data of INDU.X?

I looked at several symbols such as VI1T.Z or DI1T.Z, but they didn't come close to the "total volume" field of INDU.X.
The "total volume" field of INDU.X is very close to the reported volume by Google (they are identical for the daily volumes). Shouldn't VI1T.Z report the same volume?

DTN_Stephen
-DTN Guru-
Posts: 453
Joined: Aug 22, 2014
Posted: Sep 22, 2016 07:06 AM          Msg. 7 of 8
The symbol INDU.X is a symbol we get from the Dow Jones Exchange. The symbols VI1T.Z or DI1T.Z are in house calculated symbols.

These symbols will not be comparable.
Stephen Shockey | Telvent DTN LLC | Trading Markets | United States |Customer Service Technical Support
Email: support@iqfeed.net

DTN_Stephen
-DTN Guru-
Posts: 453
Joined: Aug 22, 2014
Posted: Sep 22, 2016 02:43 PM          Msg. 8 of 8
Unfortunately we will not be able to recover the Volume for those minutes in 10-29-2013 for both INDU.X and TRAN.X
Stephen Shockey | Telvent DTN LLC | Trading Markets | United States |Customer Service Technical Support
Email: support@iqfeed.net
 

 

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