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» minute bars from tick data
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| Author | Topic: minute bars from tick data (10 messages, Page 1 of 1) |
 salemreyen -Interested User- Posts: 9 Joined: Sep 13, 2016 |
Posted: May 2, 2017 12:08 AM
Msg. 1 of 10
1. Are historical 1 minute bars computed directly from historical tick data?
2. Is is considered an error if there is a difference between a minute bar computed directly from ticks and a minute bar received from a historical lookup? 3. Are daily bars also computed from tick data? |
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DTN Todd -Interested User- Posts: 74 Joined: Mar 24, 2010 |
Posted: May 2, 2017 12:17 AM
Msg. 2 of 10
Hello
We will have our data team review your inquiry Todd |
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DTN_Stephen -DTN Guru- Posts: 453 Joined: Aug 22, 2014 
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Posted: May 2, 2017 07:53 AM
Msg. 3 of 10
(1) Minute bars are built from the previous minutes tick data.
(2) I will be unable to answer your second question without more specific information. (3) Daily data is built from tick data yes. Please contact us at support@iqfeed.net by email; you can also contact us through a chat from our website iqfeed.net. You will find a link for technical support chat on the left hand side of the page. Lastly you can also contact us at (800) 779-7299 for phone support to help you answer your second question. Stephen Shockey | Telvent DTN LLC | Trading Markets | United States |Customer Service Technical Support Email: support@iqfeed.net |
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lufeng -Interested User- Posts: 7 Joined: May 16, 2017
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Posted: May 16, 2017 07:55 PM
Msg. 4 of 10
It seems that the minute bars constructed by DTN precisely consist of 1) all last-qualifying trades, and 2) all formT trades. Is this correct?
Is there a list of all trade condition codes that are "last qualifying"? Thanks. |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: May 17, 2017 07:53 AM
Msg. 5 of 10
Good morning,
You are correct in regards to minute bars. Last qualified flags are determined by using the exchange specifications. Each exchange is different, so you would need to look at feed specifications for each one to know them all, but here is the Nasdaq one for you to peruse. http://www.utpplan.com/DOC/utdfspecification.pdf Just search the document for Trade Condition or section 7.5.1.1 and you should be able to find within that matrix. Tim |
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lufeng -Interested User- Posts: 7 Joined: May 16, 2017
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Posted: May 17, 2017 09:06 AM
Msg. 6 of 10
Thanks, Tim.
1) Do you happen to have the same document for the NYSE (and other exchanges)? 2) Within that matrix, there are two columns for "Update Last": Consolidated Processing vs Market Center. Which column is used to define "last qualified" for the purpose of constructing a DTN minute bar? Lu |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: May 17, 2017 10:51 AM
Msg. 7 of 10
I found this link which look like it matches what you want.
https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/cts_output_spec.pdf I do not have a full listing of these. We would use the consolidated. Tim |
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lufeng -Interested User- Posts: 7 Joined: May 16, 2017
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Posted: May 17, 2017 08:47 PM
Msg. 8 of 10
Thanks Tim. That's very helpful.
Edited by lufeng on May 17, 2017 at 09:03 PM |
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lufeng -Interested User- Posts: 7 Joined: May 16, 2017
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Posted: May 17, 2017 08:51 PM
Msg. 9 of 10
Is there a way to erase a post (for example, asking a question but realize the answer right away)?
Edited by lufeng on May 17, 2017 at 09:06 PM |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: May 18, 2017 08:11 AM
Msg. 10 of 10
Nope, but you can edit it. :)
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