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» historical data files containing large gaps
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| Author | Topic: historical data files containing large gaps (5 messages, Page 1 of 1) |
 Lav2018 -Interested User- Posts: 10 Joined: Mar 15, 2018 |
Posted: Sep 29, 2018 12:11 PM
Msg. 1 of 5
I am very happy with the live data that IQfeed provides, but the historical data appears to have major issues.
How are historical files maintained and checked for accuracy? I tried downloading 25 symbols (minute bars from September 3 to September 28), and 14 out of 25 files were missing the entire trading day of September 20. I can't say all other bars were present, but missing an entire day was obvious. The symbols missing data were: SMM# STG# STM# STN# STO# @XAB# @XAE# @XAF# @XAI# @XAK# @XAP# @XAU# @XAV# @XAY# I brought up the missing data for @XAE# to support staff, and they have since fixed it. However, the symbols SMM, STG, STM, STN, STO all remain incomplete. Is there an easy explanation for the errors? I would like to think that I can rely on the data, but right now I feel responsible for finding gaps and reporting them to you. I am not in the best position to find gaps, and therefore worry that many others may exist in the data. |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006 
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Posted: Oct 1, 2018 04:56 AM
Msg. 2 of 5
Good morning,
All of the underlying data does appear to be here on our servers, but there appears to be some issues with the roll dates for these continuous contracts. You can see this on SMMU18 and SMMZ18. We will try and get those things addressed for you so the data will show on the # and #C contracts later today. Tim |
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Lav2018 -Interested User- Posts: 10 Joined: Mar 15, 2018 |
Posted: Oct 1, 2018 09:13 AM
Msg. 3 of 5
Thanks.
Will it be possible for your team to identify other days and other contracts that have this same problem? I was only checking 25 symbols for 1 month. I think it is likely that this happens with other contracts and on other roll dates. |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: Oct 1, 2018 09:48 AM
Msg. 4 of 5
The issue with these is that the expiration date was sent by the exchange and was correctly being used, but Eurex has contracts that will settle, but not have intra-day activity on the date of expiration (daily charts had no gap).
In some cases, especially on very thinly traded contracts, we would not want to change this default behavior so we have to look at each individually when someone asks. We are more than happy to discuss though and will evaluate these if you see any others that you feel are configured incorrectly. Tim |
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Lav2018 -Interested User- Posts: 10 Joined: Mar 15, 2018 |
Posted: Oct 1, 2018 08:35 PM
Msg. 5 of 5
Sounds reasonable. I will let you know if I find others. Thanks.
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