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||May 17, 2018 05:45 AM
BlackSheep has contributed to 17 posts out of 19320 total posts
(0.09%) in 1,123 days (0.02 posts per day).
20 Most recent posts:
Has this exchange correction problem been solved and is the patch live?
No problem. Thanks for making the change in the first place.
Is the patch still live? I am seeing a sold out of sequence tick on a bar on GE on 3/29/2018
I understand now. I would imagine that most users that want historical bar data would want it for backtesting and thus the change makes sense. Please keep me updated on what is decided on.
Oh, in message 13 I asked if it would effect historical bars and in 14 you said it would.
>I see, will the change effect historical bars also?
>Yes, it will be an O trade throughout the system.
I truly believe that for backtesting purposes the historical bar data should not include these tick since they will not trigger a realized trade.
Did the update go out this weekend? I still see Sold out of Sequence ticks in historical bar data.
Do you have any updates on this?
I had a stock (MU) that came through today on streaming bars with a sold out of sequence tick so I assume it hasn't been implemented yet.
3A -> 58,FORTMTSOLDOSEQ,Form-T Sold Out of Sequence,
I see, just to be clear, all sold out of sequence trade conditions will be marked as O (25, 49, 58) and thus no longer show up in streaming and historical bars?
Do you have a timeframe on when the change will go live and what is the best way for me to know when the change is live?
Lastly, I am very impressed with the support you guys have given me. You have a great product also.
Thank you for your attention with this matter.
Edited by BlackSheep on Feb 25, 2018 at 08:54 PM
I see, will the change effect historical bars also?
Isn't 58 a Form-T trade and a E trade?
58,FORTMTSOLDOSEQ,Form-T Sold Out of Sequence,
E - Extended Trade = Form T trade.
Edited by BlackSheep on Feb 25, 2018 at 08:01 PM
Did you ever figure this out?
I am having a similar problem. I am unable to request HTT data from before October 2017. Data after then works fine.
Edited by BlackSheep on Feb 25, 2018 at 07:57 PM
After spending some more time looking at the data, I believe I actually do need the O (and possibly E) trades and need more than the C DTN trade conditions.
I looked at the hex codes from the STC command and all my problem ticks are of type "Sold Out Of Sequence"
25,SOLDOSEQ,Sold Out of Sequence,
49,STPD_SOLDOSEQ,Stopped Stock - Sold out of sequence,
58,FORTMTSOLDOSEQ,Form-T Sold Out of Sequence,
If I had to guess, the inconsistency between IB's data and DTN's data is IB filters out the "Sold Out Of Sequence" ticks since it is a broker and is going to be executing trades and the "sold out of sequence" ticks give a improper picture of the current market. I opened a support ticket with IB to see if that is the case.
So essentially, I would want the requested bars from the streaming/historical bar service to not include the above sold out of sequence ticks.
Sorry, if you had already started the other solution. I have created a solution for historical bars but I am more concerned about streaming bars. Will streaming bars also include "Sold Out Of Sequence" ticks?
Edited by BlackSheep on Feb 24, 2018 at 05:37 PM
Edited by BlackSheep on Feb 24, 2018 at 05:39 PM
Edited by BlackSheep on Feb 24, 2018 at 05:45 PM
Edited by BlackSheep on Feb 24, 2018 at 06:15 PM
Edited by BlackSheep on Feb 24, 2018 at 06:16 PM
8 calendar days would be enough for me.
Thank you for your reply.
I was not aware you made the trade conditions available. I have built a tick to bar converter that excludes the E, O and S DTN bucket trade condition types. Since I am pulling much more data now, the process is much slower.
If you do add the filter trade conditions on historical bars, just giving me the ability to only include C trade conditions would be enough for me.
Edited by BlackSheep on Feb 24, 2018 at 06:44 AM
For comparison, here is IB's historical data. No such tick is registered and would not trigger a stop loss/limit order.
One feature I would very much like to see is the ability to ignore OddLot/SoldOutOfSequence ticks. For back testing on historical data, you will sometimes get a high/low that it insanely high. While not "bad ticks", these really mess up TA indicators and unlikely to trigger a stop loss order/etc.
It would be nice to have a flag on historical data request and streaming bars to ignore these ticks. Below is a picture of a oddlot tick before IQFeed removed it from their database per my inquiry.
A "fix" I devised was looking for large percentage changes +/- 13% on legs and trimming them. However, it has come to my attention that a number of smaller but still significant oddlot ticks are below that threshold and the "fix" doesn't work that well.
Edited by BlackSheep on Feb 21, 2018 at 07:03 PM
I will likely be transitioning to IQFeed.
However, I would like clarification on all the fees. After going through the pricing questions my total with the start up fee was $137.00.
I remember reading somewhere that there was a yearly $300 fee for API access.
Is this still the case?