Joined: Apr 24, 2017
Posted: Jun 21, 2017 11:40 PM
Msg. 1 of 5
For the symbol WDR (NYSE, Waddell & Reed Financial), there seems to be a gap of 1 hour 15 minutes in the tick data for June 9, 2017. Here are six consecutive lines I get from IQFeed:
This is a pretty actively-traded stock that usually has at least one trade every minute. It's simply not possible that there were really no trades during the 1 hour 15 minutes between 13:01 and 14:16.
Is this a hole in your database?
I also found that the ticks for WFM (Whole Foods) on June 16, 2017 start at 9:50:00. That's 20 minutes worth of trading (since 9:30:00) missing. Again, hard to believe that nobody traded Whole Foods at all for 20 minutes at the beginning of the market.
I ran a script through all the ticks I've downloaded (for about 800 symbols) for the past six months, and found 162 instances of two ticks being more than 10 minutes apart. These are all pretty actively-traded symbols, so it is unlikely that there were really no trades. Can you take a look at the file I attached?