I'm using a 30 minute chart of SPX.XO (s&p 500 cash index). Instead of showing gaps from the prior close to the next open, the opening bar is expanding to fill the gap. I'd prefer to just see the gap. Is this an IRT setting or is this how IQFeed reports the data?

My chart:
http://screencast.com/t/ZYloGxvvHV

Settings for the instrument:
http://screencast.com/t/94muy2TG

Hello josh,

The short answer is that IQFeed reports every tick as it comes from the exchange. I do not know of any data issue that would affect how you are seeing this on your chart. As you asked, there may be a setting in your IRT software that could help, but I do not know what it would be. IRT may be able to help with that.

The other thing that I wanted to mention is that, as I look very carefully at your 30 minute candlestick chart, I do show several examples where the close of one bar did not match the open of the next bar. I know that this is a very subtle thing, but if we can do more to help, feel free to email us at support@iqfeed.net or call us at 1-800-779-7299.

Thank you.

Todd, been a while since I posted here, but I am about to upgrade my IQFeed to receive real-time data for SPX.XO, currently it's delayed 20 minutes. Would the delay cause these gaps? I just downloaded tick data and it does not change the picture, so my guess is that this is what it would look like real time. This is an index of course and so is this just the result of taking a snapshot of the index? Not sure how the exchange feeds this to you for this symbol.

Attached picture, and it's here too:
http://screencast.com/t/jiSsi8OQNoA
Edited by josh on Dec 22, 2011 at 12:33 PM

Hello Josh,

I brought up the equivalent real-time SPX.XO chart here and it looks very similar to your screenshot. One of the biggest gaps occurred between the 12:26 (eastern) bar and the 12:27 bar. Time and sales for SPX.XO tick data shows a trade of 1252.57 at 12:25:45 and a trade of 1253.29 at 12:26:00 (the start of the 12:27 bar). So my first assessment is that what you are seeing is legitimate.

If you send an email to me at Todd.Hultman@Telventdtn.com , I will gladly send you a screenshot of my real-time chart and a copy of time and sales for that period.

Josh,

I forgot to also mention that on the time and sales, you will see that this index is reported every 15 seconds.

Thanks Todd, this is the key and what I needed to know, didn't think to look at T&S. Wasn't sure the update frequency; that explains the large gaps between the bars. Do you happen to know if this is the best interval the exchange offers? Something closer to 1 to 5 seconds would be ideal.

Also Todd, due to this being simply a snapshot at intervals, is it possible that a high or low may be incorrectly reported, and will only be corrected on a refresh of the data?

Josh,

The data from SPX.XO comes from the exchange in 15-second intervals, so I do not know a way to make that more frequent. And, yes, the exchange may make occasional trade corrections as they see the need.

Josh,

Here is some helpful information from our Market Data Services:

CBOE is actually changing the following indexes from a 15 second interval to a 5 second interval effective January 3, 2012:

OEX.XO S&P 100
SPX.XO S&P 500
XEO.XO S&P 100 European Style
XSP.XO MINI S&P 500

CME’s S&P Index feed is doing the same for the following indexes:

SP500.X S&P 500
SP100.X S&P 100

Have a good holiday.

Wonderful news! Thanks Todd!

Do you know the difference between the SP500.X and SPX.XO?

You are welcome Josh.
The SPX.XO and SP500.XO are both cash indexes of the S&P 500.
SPX.XO comes from the CBOE and SP500.X comes from the CME.