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Joined: Nov 22, 2022 03:33 PM
Last Post: Nov 22, 2022 03:49 PM
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kyrtas has contributed to 1 posts out of 21185 total posts (0.00%) in 520 days (0.00 posts per day).

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IQFeed Developer Support » @ES#C Historical Data has extra incorrect trades occurring on a Saturday Nov 22, 2022 03:49 PM (Total replies: 0)

Hello,

When requesting historical 1 min or 15 min bars (and I assume other resolutions) using HIT for @ES#C we get a random datapoint at 11pm Central Time on a Saturday in Aug '21. This seems inaccurate, and it is surrounded by bars on Friday and Sunday:

...
2021-08-06 15:58:00-05:00 4425.25 4426.0 4425.25 4425.75 913857 244
2021-08-06 15:59:00-05:00 4425.75 4425.75 4425.25 4425.5 914059 199
2021-08-07 23:00:00-05:00 4415.75 4415.75 4415.75 4415.75 48734 12
2021-08-08 17:00:00-05:00 4423.25 4424.75 4422.75 4423.25 604 603
2021-08-08 17:01:00-05:00 4423.5 4424.0 4423.25 4423.75 778 174
...

Please help explain where this erroneous data comes from, is it isolated to just this symbol? Is it related to continuous contract (#) or back adjustment (#C)?

Thanks


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