orbwen
-Interested User-
Posts: 12
Joined: Feb 5, 2011
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Posted: Jun 21, 2011 05:28 PM
Msg. 1 of 3
IQFeed support:
While performing some backtesting I'm seeing a lot of instances where the intraday data doesn't seem to agree with the daily historic data. I'm hoping there's just a mistake in my approach and that IQFeed is not giving me corrupt data.
Take for example ZUMZ 1/2/2008 - 1/4/2008. There have been no splits or dividends; adjusted prices should match unadjusted.
I used two requests: HIT,ZUMZ,1800,20080101 190000,20080104 190000,,0930,1630,1,Intraday,10000 HDT,ZUMZ,20080102,20080105,,1,EndOfDay,10000
The closing price from 30-min intraday history does not agree with end of day: Intraday,2008-01-02 16:00:00,22.4600,22.0000,22.2700,22.2300,1024622,168063, Intraday,2008-01-02 16:30:00,22.9133,22.2000,22.2000,22.9115,1042027,17405, EndOfDay,2008-01-02 15:00:00,24.3000,22.0000,24.2600,22.2000,1045027,0,
Intraday,2008-01-03 16:00:00,20.4700,20.2100,20.2900,20.2700,1167870,99933, Intraday,2008-01-03 16:30:00,20.9192,20.2800,20.2800,20.9110,1196828,28958, EndOfDay,2008-01-03 15:00:00,22.6352,20.0700,22.2000,20.2800,1197028,0,
Intraday,2008-01-04 16:00:00,19.0000,18.5600,18.8400,18.6600,3300269,247920, Intraday,2008-01-04 16:30:00,18.6600,17.8090,18.6600,17.8090,3320548,20279, EndOfDay,2008-01-04 15:00:00,19.5100,16.4900,19.2800,18.6475,3320852,0,
And on 1/4 the opening price does not agree: Intraday,2008-01-04 10:00:00,19.5100,16.4900,19.4500,17.2000,864150,881350, EndOfDay,2008-01-04 15:00:00,19.5100,16.4900,19.2800,18.6475,3320852,0,
I tried using the start of the 4:30-5pm interval as the closing price of the day. That worked for 1/2 and 1/3, but on 1/4: Intraday,2008-01-04 16:30:00,18.6600,17.8090,18.6600,17.8090,3320548,20279, EndOfDay,2008-01-04 15:00:00,19.5100,16.4900,19.2800,18.6475,3320852,0,
The problems exist for almost any symbol, and throughout the time period I'm looking at. Most are only a few cents off, but some are significantly more. Is this a problem in the data, my interpretation or the feed? Any information is appreciated!
Jonathan
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