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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »mistakes in historic data

Author	Topic: mistakes in historic data (3 messages, Page 1 of 1)
orbwen -Interested User- Posts: 12 Joined: Feb 5, 2011	Posted: Jun 21, 2011 05:28 PM Msg. 1 of 3 IQFeed support: While performing some backtesting I'm seeing a lot of instances where the intraday data doesn't seem to agree with the daily historic data. I'm hoping there's just a mistake in my approach and that IQFeed is not giving me corrupt data. Take for example ZUMZ 1/2/2008 - 1/4/2008. There have been no splits or dividends; adjusted prices should match unadjusted. I used two requests: HIT,ZUMZ,1800,20080101 190000,20080104 190000,,0930,1630,1,Intraday,10000 HDT,ZUMZ,20080102,20080105,,1,EndOfDay,10000 The closing price from 30-min intraday history does not agree with end of day: Intraday,2008-01-02 16:00:00,22.4600,22.0000,22.2700,22.2300,1024622,168063, Intraday,2008-01-02 16:30:00,22.9133,22.2000,22.2000,22.9115,1042027,17405, EndOfDay,2008-01-02 15:00:00,24.3000,22.0000,24.2600,22.2000,1045027,0, Intraday,2008-01-03 16:00:00,20.4700,20.2100,20.2900,20.2700,1167870,99933, Intraday,2008-01-03 16:30:00,20.9192,20.2800,20.2800,20.9110,1196828,28958, EndOfDay,2008-01-03 15:00:00,22.6352,20.0700,22.2000,20.2800,1197028,0, Intraday,2008-01-04 16:00:00,19.0000,18.5600,18.8400,18.6600,3300269,247920, Intraday,2008-01-04 16:30:00,18.6600,17.8090,18.6600,17.8090,3320548,20279, EndOfDay,2008-01-04 15:00:00,19.5100,16.4900,19.2800,18.6475,3320852,0, And on 1/4 the opening price does not agree: Intraday,2008-01-04 10:00:00,19.5100,16.4900,19.4500,17.2000,864150,881350, EndOfDay,2008-01-04 15:00:00,19.5100,16.4900,19.2800,18.6475,3320852,0, I tried using the start of the 4:30-5pm interval as the closing price of the day. That worked for 1/2 and 1/3, but on 1/4: Intraday,2008-01-04 16:30:00,18.6600,17.8090,18.6600,17.8090,3320548,20279, EndOfDay,2008-01-04 15:00:00,19.5100,16.4900,19.2800,18.6475,3320852,0, The problems exist for almost any symbol, and throughout the time period I'm looking at. Most are only a few cents off, but some are significantly more. Is this a problem in the data, my interpretation or the feed? Any information is appreciated! Jonathan
DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005	Posted: Jun 22, 2011 08:37 AM Msg. 2 of 3 Jonathan, your intraday request is limiting data to data that falls in the range of 09:30 - 16:30. For the most part this is normal market hours. However, open and closing prices do not always fall within this time range. Usually that will be the case, but it is entirely possible (and happens frequently) for the exchange to send us data outside that time range. This would explain some of your discrepancies. But more importantly, our interval/intraday data includes pre/post market trades which are non-last-qualifying and won't be accounted for in the daily OHLC (they are counted in volume). This makes it impossible to reconcile prices between intraday and daily data.
orbwen -Interested User- Posts: 12 Joined: Feb 5, 2011	Posted: Jun 22, 2011 02:11 PM Msg. 3 of 3 Thanks for the reply, Steve. So this leaves me with a problem -- how to I get unadjusted daily OHLC prices? I was using the 30min interval prices to manually calculate unadjusted daily OHLC, then using the daily query to get the adjusted close. Now I don't see how to get this info for your feed. Suggestions? Thoughts? Solutions? Thanks, Jonathan