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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Strange tick data for XG# on 03/09/2013
Author Topic: Strange tick data for XG# on 03/09/2013 (4 messages, Page 1 of 1)

jmv
-Interested User-
Posts: 19
Joined: May 31, 2011


Posted: Sep 5, 2013 02:52 AM          Msg. 1 of 4
Hello,

I was wondering if anyone is getting "weird" (so to say) tick data for that day (03/09) for DAX futures (iqfeed symbol: XG#).

An HTD request, say, for the last 20 days of tick data, will return all other days "normal", but that one (09/03) seems strange.

For one, its size DOUBLES the average size of the other days (this is, you could say as if that day is showing twice the normal/average number of ticks for a standard DAX trading day).

Also, the volume data which this file holds is inconsistent with what happened that day (I followed the session real-time, as everyday we do, and I am pretty sure there was no such activity spike to be found that day).

Just wondering if everything's ok with that day... retrieving it via HTD gives a really, really strange result.

thanks,

jmv
-Interested User-
Posts: 19
Joined: May 31, 2011


Posted: Sep 5, 2013 04:46 AM          Msg. 2 of 4
We have found further evidence that something seems to be wrong with the 03/09 day.

Since we usually run a daily HTD early in the morning, we've checked the HTD we ran yesterday ( 04/09 ). Such HTD gave us 03/09 day too, of course.

Much to our surprise, the 03/09 day within yesterday's HTD request is _very_ different from the 03/09 day which is returned by today's HTD request.

Which is really strange since, both today and yesterday, 03/09 is supposed to be a "settled" day at DTN's truetick database. This would mean that, somehow, DTN's database for day 03/09 has changed and/or been modified between yesterday and today.

Strange as it might sound, this is what we're seeing right now. We have been retrieving truetick data, both via HTD and realtime, from IQFEED for some years and on a daily basis, so we are pretty sure about these findings.

thanks for your help,

DTN_Nathan_Bartsch
-IQ Developer-
Posts: 33
Joined: May 3, 2004

Telvent DTN


Posted: Sep 5, 2013 06:57 AM          Msg. 3 of 4
After looking at the data, I would agree that this data is highly suspect. I am currently working with our Market Data Services Department to correct / modify this tick data.

Thanks,

Nathan W. Bartsch - Senior Software Engineer - Telvent DTN

jmv
-Interested User-
Posts: 19
Joined: May 31, 2011


Posted: Sep 6, 2013 03:09 AM          Msg. 4 of 4
09/03 is again back on track as of now.

Thanks for a great customer support,
 

 

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