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»Forums Index »IQFeed Developer »IQFeed Developer Support »Historical Data question
Author Topic: Historical Data question (11 messages, Page 1 of 1)

fredericf
-Interested User-
Posts: 13
Joined: Aug 1, 2018


Posted: Sep 9, 2018 01:08 PM          Msg. 1 of 11
Hi,

There is something I don't understand with Historical Data.

Let's say I receive the following:

Downloading symbol: ASGN...
2018-07-20 16:00:00,84.4600,84.2700,84.3000,84.4300,179737,10029
2018-07-23 16:00:00,85.0600,85.0300,85.0300,85.0500,170771,3729

The format is supposed to be
[DATE],[OPEN],[LOW],[HIGH],[CLOSE],[VOLUME],[OPEN INTEREST]

So, for the first line of ASGN, I have
Open = 84.46
Low = 84.27
High = 84.30
Close = 84.43

Which makes the High lower than the Open and the Close. This I don't understand. How can the High be lower than the Open and the Close?

Can you please tell me what I am missing here?

Thanks!

Frederic

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Sep 10, 2018 10:53 AM          Msg. 2 of 11
Good morning,

Where did you see the format listing that you mentioned?

That is not what I show in my docs, it should be

[DATE],[HIGH],[LOW],[OPEN],[CLOSE],[VOLUME],[OPEN INTEREST]

Which results in :
Open = 84.30
Low = 84.27
High = 84.46
Close = 84.43

I think that is the issue. So please let me know where you got the info and I can try to get it updated.

Relevant documentation:
https://www.iqfeed.net/dev/api/docs/HistoricalviaTCPIP.cfm

Tim

fredericf
-Interested User-
Posts: 13
Joined: Aug 1, 2018


Posted: Sep 10, 2018 02:17 PM          Msg. 3 of 11
Hi Tim,

Thank you for the answer.
Indeed, it makes more sense this way.

Here is where I got the info, see the bottom of the page, in red (I am not sure there is anything you can do about it):
https://www.quantstart.com/articles/Downloading-Historical-Intraday-US-Equities-From-DTN-IQFeed-with-Python

Lesson learned, I shall be reading the official doc only.

By the way, where exactly did you find it in the official documentation?
When I read it, I find, for HIT requests:
Request ID, High, Low, Open, Close, Total Volume, Period Volume, Number of Trades.

Frederic

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Sep 10, 2018 02:19 PM          Msg. 4 of 11
I was looking at the daily request a bit farther down on the same page.

Tim

fredericf
-Interested User-
Posts: 13
Joined: Aug 1, 2018


Posted: Sep 10, 2018 02:57 PM          Msg. 5 of 11
I cannot find what you are talking about...

On the same page, that is: https://www.iqfeed.net/dev/api/docs/HistoricalviaTCPIP.cfm?

Frederic

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Sep 10, 2018 03:06 PM          Msg. 6 of 11
This is the example return from the daily request. I just rewrote this into the format that you were used to seeing from your example.

i.e.
[DATE],[HIGH],[LOW],[OPEN],[CLOSE],[VOLUME],[OPEN INTEREST]

from the webpage itself

Date Stamp CCYY-MM-DD Example: 2013-07-15
High Decimal Example: 928.00
Low Decimal Example: 916.36
Open Decimal Example: 924.30
Close Decimal Example: 924.69
Period Volume Integer Example: 1961361
Open Interest Integer Example: 128

fredericf
-Interested User-
Posts: 13
Joined: Aug 1, 2018


Posted: Sep 11, 2018 08:02 AM          Msg. 7 of 11
Ok, I got it, thanks.

I really appreciate your help.

Well, I do have another question now :-)

Here is my message to retrieve data :
HIT,ZGNX,300,20180910 075000,,,093000,160000,1

Here is what I receive:

2018-09-10 09:35:00,47.4500,47.2000,47.2500,47.2500,6099,4892
2018-09-10 09:40:00,47.3500,46.7750,47.1500,46.7750,15978,9040
2018-09-10 09:45:00,46.8000,46.6250,46.8000,46.6500,22087,5200
2018-09-10 09:50:00,46.7000,46.4750,46.7000,46.5500,36165,12897

According to the doc, the last two fields are [Total Volume] [Period Volume] (I don know why I do no get the '0' corresponding to the [Number of Trades]).

However, when you add the periods volumes, you never find the total volume:
Total Volume for the first line should be equal to the period's volume, that is 4892 and not 6099
Total Volume for the second line should be: 6099 + 9040 = 15139, whereas it shows 15978.
Total Volume for the third line should be 15978 + 5200 = 21178, whereas it shows 22087.

In the examples in the documentation (result Format for HIX, HID, and HIT requests) the calculations are correct.

Is there something I am missing?

Thanks again..

Frederic

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Sep 11, 2018 09:02 AM          Msg. 8 of 11
Are you setting the protocol for your history connection to 6.0? That is probably what you are missing.

As to the other, period volume only reflects the last qualifying and Form-T trades (Extended) trades, so things like Other trades which can account for significant volume are not going to be there and that would skew any attempt to reconcile those two numbers.

You

fredericf
-Interested User-
Posts: 13
Joined: Aug 1, 2018


Posted: Sep 11, 2018 10:51 AM          Msg. 9 of 11
Ok, thank you very much.

I still have much to learn.

(seems like your message was truncated)

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Sep 11, 2018 11:00 AM          Msg. 10 of 11
Sorry, not sure what my unfinished thought was there. :)

Just let me know if there is anything else I can help with.

Tim

fredericf
-Interested User-
Posts: 13
Joined: Aug 1, 2018


Posted: Sep 11, 2018 12:18 PM          Msg. 11 of 11
Sure will!
 

 

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