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» Missing option data
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| Author | Topic: Missing option data (5 messages, Page 1 of 1) |
 arturo didonna -Interested User- Posts: 22 Joined: Oct 10, 2008 |
Posted: Jan 10, 2017 06:45 AM
Msg. 1 of 5
I was looking at times&sales data for the option DIS1716F120. I noticed a jump in the TotVol column with no activity in the LastSize column. Is there any way to recover such missing data?
"Date" "Time" "Last" "LastSize" "TotVol" "Bid" "Ask" "TickID" "BidSize" "AskSize" ...................... 01/09/2017 14:39:58 1.54 2 11421 1.51 1.54 32904299 0 0 01/09/2017 14:39:58 1.54 25 11446 1.54 1.55 32904342 0 0 01/09/2017 14:39:58 1.54 3 11449 1.54 1.55 32904905 0 0 01/09/2017 14:41:18 1.55 10 11459 1.54 1.55 33014451 0 0 01/09/2017 14:49:16 1.55 1 11480 1.54 1.55 33785653 0 0 01/09/2017 14:52:59 1.56 10 16490 1.54 1.56 34143692 0 0 <--------------- 01/09/2017 14:52:59 1.56 2 16492 1.54 1.56 34143711 0 0 01/09/2017 14:52:59 1.56 13 16505 1.54 1.56 34143713 0 0 01/09/2017 14:52:59 1.56 9 16514 1.54 1.56 34143714 0 0 ..................... |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006 
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Posted: Jan 10, 2017 07:25 AM
Msg. 2 of 5
The volume can be found in non-last qualified trades. In DTN.IQ time and sales, if you go into the settings you can enable extended trades so that these other trades will be shown.
Tim |
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arturo didonna -Interested User- Posts: 22 Joined: Oct 10, 2008 |
Posted: Jan 15, 2017 11:18 AM
Msg. 3 of 5
I am not sure that I understand what you mean. I am using Qcollector in combination with my iqfeed subscription.. Could you please detail a little bit more what I should do to recover these missing data?
Thanks in advance. |
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arturo didonna -Interested User- Posts: 22 Joined: Oct 10, 2008 |
Posted: Jan 15, 2017 11:28 AM
Msg. 4 of 5
Also, there are other funny things going on. On this instrument the bid price is bigger than the ask price!
ABBV1716R57.5_0.txt "DateTime" "Last" "LastSize" "TotVol" "Bid" "Ask" "TickID" "BidSize" "AskSize" ........... 01/11/2017 11:47:43 2.36 11 538 2.40 2.32 33971371 0 0 01/11/2017 11:47:43 2.40 22 560 2.40 2.32 33971395 0 0 01/11/2017 11:47:43 2.40 357 917 2.36 2.32 33971417 0 0 01/11/2017 11:47:43 2.36 131 1048 2.36 2.32 33971432 0 0 01/11/2017 11:47:43 2.36 1 1049 2.36 2.32 33971434 0 0 ........ |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: Jan 15, 2017 04:19 PM
Msg. 5 of 5
I do not know how QCollector has configured their software. It may not be possible, depending on their implementation, but you would need to contact them to be sure.
Bids and asks come down a different feed from the exchange then the trades do, so while it is unusual, there are times where they get out of sync. We do not save historical bid and ask data so I do not have a way to go back and find out what the bid and ask were prior to this specific trade. Tim |
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