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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Extended/after hours Time & Sales tick data missing for some, but not all stocks.
Author Topic: Extended/after hours Time & Sales tick data missing for some, but not all stocks. (8 messages, Page 1 of 1)

AMA
-DTN Evangelist-
Posts: 183
Joined: Aug 1, 2007


Posted: Mar 30, 2011 03:47 PM          Msg. 1 of 8
Hi - I collect tick data on several well known stocks. In recent weeks, -some-, but not all of these stocks are missing most of the after hours tick trades. For example, I'm ok on AAPL and WFC, but for IBM, I'm getting very little to almost no after hours tick data. I checked today, and my IBM data stopped at 16:00:14, while as of right now, AAPL shows trades up to 16:34:04 and WFC shows ticks up toe 16:33:45. Now, I know for sure there's after hours trades in IBM, as I see them in a watchlist, and I'm also loading them into Excel.

Early morning, before the market opens, everything works fine. Just the after hours stuff is missing.

I run the same config for all of my T&S tick windows and do have extended trades selected...

So, what's up with the Time & Sales app in regards to some stocks failing, while others are OK?

AMA
-DTN Evangelist-
Posts: 183
Joined: Aug 1, 2007


Posted: Mar 30, 2011 03:51 PM          Msg. 2 of 8
Oh, btw, one more thing. I used to get T&S tick data for a couple of hours after the market closes. Not high volume, for sure, but whatever was traded would still show up.

And, I'm current on code: DTN = 2.7.0.3. IQFeed = 4.7.2.0

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005


Posted: Mar 30, 2011 04:01 PM          Msg. 3 of 8
The only non-last-qualifying trades that are sent in history requests for IQFeed currently is FormT trades(thats the way it has been for several years).

I checked another internal source and there have been a few other non-last qualifying trades for IBM that wouldn't have gotten stored in our history servers however, these shouldn't have appeared as trades in your watchlist either (the history should match the streaming data).

How are you determining that other trades are comming in using watchlist/Excel?

-edit- clarified first sentence
Edited by DTN_Steve_S on Mar 30, 2011 at 04:03 PM

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Mar 30, 2011 04:03 PM          Msg. 4 of 8
Hi AMA,

I checked a 1 min Time & Sales & see the same thing, very thin trading on the IBM after hours. With all other symbols trading normally it looks as if the data is accurate. But to be certain I am having our Market Integrity dept double check our data with other sources. We will see what we can find & get it corrected if needed.

Stan S

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AMA
-DTN Evangelist-
Posts: 183
Joined: Aug 1, 2007


Posted: Mar 30, 2011 05:08 PM          Msg. 5 of 8
Thanks, Steve. One day doesn't make a trend. However, I've encountered this problem for several weeks/months now. Very erratic; some trades show, most don't. Particularly w/IBM.

AMA
-DTN Evangelist-
Posts: 183
Joined: Aug 1, 2007


Posted: Mar 30, 2011 05:12 PM          Msg. 6 of 8
Getting Steve & Stan mixed up here

What usually happens is some of the trades are missing from T&S, but all trades show in a watchlist. Volume counter increments on all trades, and accumulates in later T&S trades, so it appears as if some of the individual trades/ticks are just no showing in T&S. Unfortunately, since the watchlist trades roll off, I effectively end up with an incomplete history.

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005


Posted: Mar 30, 2011 05:20 PM          Msg. 7 of 8
That makes sense. Non-last-qualifying trades do count towards volume so you will see essentially a volume update come through the feed that would be visible in watchlist. However, the price you see in watchlist won't actually be the price of the trade that just occured. It will be the price of the most recent Last qualifying trade that occured.

In future versions of IQFeed, we have plans to implement identification of all trade types in both the streaming data and history data but I don't have an ETA on which version that will be in yet.

AMA
-DTN Evangelist-
Posts: 183
Joined: Aug 1, 2007


Posted: Mar 31, 2011 04:17 PM          Msg. 8 of 8
Ok, Steve, I understand what you said. However, that doesn't help me much right now.

I wrote an Excel macro routine to grab/simulate a T&Sales tick data window. Worked ok during market hours, but the price quit updating after hours. I poked around in the help files and found 'ET Last', which I coded up in Excel as " =IQLink|AAPL!'ET Last' ", using AAPL as an example. This seemed to do the trick, and I'm now getting the 'missing' trades after hours.

I did note that in rapid trading, Excel may miss a trade or two while it's updating my T&S list, but for after hours this will probably work anyway, considering how light the volume is. My macro works off of live data only, so I can't grab historical data as I would with a real T&S window.

My entire run at this thing is for after market data, so what I have appears decent, and I don't wanna subscribe to the IQFeed Developer's site nor do I want to spend endless time pursuing something I used to get reliably.

If memory serves, a watchlist can grab after hours trade price, through 'et last' or sumpin' like that. I may add that to my watchlist, altho it isn't really the solution I want.

I'm not much of an Excel programmer(yet), but will see if I can speed it up, so as to catch more trades.

Any suggestions would be mucho appreciated, as I'd rather not wait around for an IQFeed update that may never happen.
 

 

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