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Quick question: does 5MS command (5 Minute Snapshot Summary) automatically retrieves data every 5 minutes? Or is the data just summarized every 5 minutes, while I'd need to resend 5MS request myself every 5 minutes if that's how often I'd like to receive it?
Correction to the 2nd issue:
After additional testing I see that streaming and history bars (like 60 seconds) are occasionally updated and resent with incremented data, mainly when the previous bar was sent a few seconds early.
I think it'd be better to receive a single bar once it's finalized, but the current approach is also acceptable once known.
The 1st issue with delayed "BC" stream still remains, though doesn't seem to happen as frequently during daytime when bars come pretty much within 1 second of each minute's ending, but still with some exceptions. The delays intensify after regular trading hours.
I'm testing 1-min streaming bars (derivative data, "BW" requests) and I'm seeing couples issues:
1. Delays as long as 3 minutes long. In fact, I can get the same data much sooner by requesting historical data for the last 1-2 minutes.
For example, received at 17:35:54:
But I received the same data over 3 minutes earlier via history request, at 17:32:22:
It's also possible to "cheat" by creating streaming bar watches and cancel them a minute later, then create them again and cancel them again - just to get the initial data on time... By doing so I'm able to get the initial BH history records sooner than the delayed watch records (BC), for example:
At 17:51:02: BH,SPY,2017-03-29 17:51:00,235.5200,235.5200,235.5200,235.5200,61804158,956,0,
At 17:51:27: BC,SPY,2017-03-29 17:51:00,235.5200,235.5200,235.5200,235.5200,61804158,956,,
My question is if there is a way to receive streaming data in the form of actual streaming, meaning immediately after each minute passes?
Note I'm testing this after-hours, which I'd assume would keep your servers less busy and able to provide data real-time?
2. In some cases both streaming bar and historical data arrive earlier than the time they indicate, for example:
Received at 17:35:59:
Or another minute's history received 17:32:22:
Subsequent data requests show that this 'early' data is final and no longer changes later, thus it seems to be finalized before the actual time covered by the specific period.
I'm guessing there may be some explanation to the minute's data being summarized and arriving early?
Note that my clock is synchronized with yours and generally correct, though above issues don't seem to be clock-related.
Great, thanks, for quick response and resolution.
Just wanted to help you deliver cleanest data possible and always happy with your service and support :-)
I'm now running consistency checks on other data and finding more potential issues with other symbols, so will email you full report. Some issues could be justified by large pricing fluctuations, but other seem to be data errors.
One especially re-occurring issue is with $0 pricing for some record in 2008. For example Adobe:
$0 pricing should be easy to skip by users, but probably shouldn't be there anyway.
Other issues could be due to lack of trading volume, but I see more data and better consistency from other providers (just looking at Interactive Brokers chart), therefore such issues could also be worth taking a look. For example CBX on 2016-04-15:
(this is 1-minute data, with weird pricing $9-$117 on 4/15/2016, while other data for prior and later days missing, but generally the pricing being ~$0.90)
In any case, I'll email you full report tonight, after it finishes running.
I would like to report the following data issues:
GLTR: 2016-09-27 - 2016-09-30
Each day within that period has mixed prices ~$4.70 and $67.00
Raw data from 60-second feed:
It would be awesome to have.
DTN, can you please explain if the API subscription is separate from data feeds?
I mean, are any data feeds included in the API subscription fee, or all data feed are priced separately?