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»Forums Index »Product Support »IQFeed 3rd Party Software Support »Raw data error correction RealTime
Author Topic: Raw data error correction RealTime (4 messages, Page 1 of 1)

davidt07
-Interested User-
Posts: 8
Joined: Jul 31, 2011


Posted: Oct 6, 2011 04:47 PM          Msg. 1 of 4
Hi, I'm looking at @YMZ11 and just over this week there has been several errors in the tick data. For example LastTraded price of 0 or even -34 !!!

So I am able to filter these out using a simple algorithm checking the LastTraded price against the Bid/Ask, but what about other smaller glitches?

For example, I have compared tick by tick data from eSignal and IQFeed over certain periods and eSignal's data in their Chart seems to be much cleaner and get good readings.

How does everyone filter out bad trades during Real-Time ????

Thanks

David

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Oct 7, 2011 07:56 AM          Msg. 2 of 4
Hi David,

Thank you for the question. We take very seriously the quality of the tick data that we send out so we encourage you to report possible bad ticks to us. As you know, we send out every tick that the exchange provides us. If a possible bad trade goes through, we must first verify the data with the exchange before any changes can be made. We cannot just make changes on our own.

In your particular case, I looked at this week's data for @YMZ11 and did not see the bad ticks that you cited. If you could give me the specific date and times that they occurred, we would be glad to check into it and make any necessary corrections.

Thanks again.

davidt07
-Interested User-
Posts: 8
Joined: Jul 31, 2011


Posted: Oct 7, 2011 07:58 AM          Msg. 3 of 4
Hi,

For today, I had these results. My Last values are obviously wrong. Please look at the DTNTickID and the LastTradeTime.

Last Bid Ask LastTradeTime Spread LastTradeDate TimeStampInternal DTNTickID
0 11056 11057 03:42:42 1 2011-10-07 2011-10-07 03:42:32.500 12791395
-37 11009 11011 05:24:41 2 2011-10-07 2011-10-07 05:24:31.033 12932000
0 11014 11015 05:52:18 1 2011-10-07 2011-10-07 05:52:07.533 12965105
0 11013 11015 08:00:14 2 2011-10-07 2011-10-07 08:00:03.610 13109290

Many thanks

David

DTN_Steve_S
-DTN Guru-
Posts: 2086
Joined: Nov 21, 2005


Posted: Oct 7, 2011 08:10 AM          Msg. 4 of 4
David, thanks for the info, we are looking into it now. I am available in chat again if you want to continue our conversation from yesterday.
 

 

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