Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"Interactive Brokers tick data was inconsistent, so I have switched to using DTN exclusively. It is great to no longer have to worry about my datafeed all day long." - Comment from Philippe
"Can I get another account from you? I am tired of ******* going down so often" - Comment from George
"Boy, probably spent a thousand hours trying to get ******* API to work right. And now two hours to have something running with IQFeed. Hmmm, guess I was pretty stupid to fight rather than switch all this time. And have gotten more customer service from you guys already than total from them… in five years." - Comment from Jim
"I'm satisfied with IQFeed. It's the most reliable and fastest quote feed I have ever used. Although I'm a resident in China, it's still very fast!" - Comment from Xiaofei
"I had always used ******* but for the past 2 weeks have been trying DTN IQFeed. Customer support has been extraordinary. They call just to make sure your problem hasn't recurred." - Comment from Public Forum
"I started a trial a few weeks back before the market went wild. DTN.IQ didn’t miss anything and beat my other provider. I decided to stay with you because of the great service through all the volatility." - Comment from Mike
"IQ feed is brilliant. The support is mind-bending. What service!" - Comment from Public Forum Post
"Everything is working great with the API. I love it." - Comment from Calvin
"You are much better than lawyers or the phone company because you answer the phone when I call! I just love your customer service." - Comment from Isreal
"I've been using IQFeed 4 in a multi-threaded situation for the last week or two on 2600 symbols or so with 100 simultaneous daily charts, and I have had 100% responsiveness." - Comment from Scott
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »Archive (2017 and earlier) »Data and Content Support »minute bars from tick data
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?

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

DTN_Stephen
-DTN Guru-
Posts: 453
Joined: Aug 22, 2014


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

lufeng
-Interested User-
Posts: 7
Joined: May 16, 2017


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.

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


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

lufeng
-Interested User-
Posts: 7
Joined: May 16, 2017


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

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


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

lufeng
-Interested User-
Posts: 7
Joined: May 16, 2017


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

lufeng
-Interested User-
Posts: 7
Joined: May 16, 2017


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

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: May 18, 2017 08:11 AM          Msg. 10 of 10
Nope, but you can edit it. :)
 

 

Time: Fri April 19, 2024 4:03 PM CFBB v1.2.0 16 ms.
© AderSoftware 2002-2003