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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »Some aftermarket bars missing
Author Topic: Some aftermarket bars missing (3 messages, Page 1 of 1)

sweigner
-Interested User-
Posts: 7
Joined: Sep 26, 2017
Posted: Sep 26, 2017 11:48 AM          Msg. 1 of 3
I am seeing that some low volume aftermarket bars are not showing up in the historical data. For example, YELP 1 minute bar on 8/11/2017 at 03:35 is missing. It is low volume (10). IQFeed is showing bars on 01:41 and not another until 06:27, missing the bars at 02:23, 03:35, 06:06, 06:16 and 06:17. Is IQFeed skipping those because they are low volume?
Scott

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006
Posted: Sep 26, 2017 01:14 PM          Msg. 2 of 3
Hello,

Only last qualified and form T trades are included in minute data. Trades under 100 shares are generally neither of those, usually those are tagged as odd lot trades and those do not set a last, and in turn are not included in the minute data. You would need to build volume from the tick data to catch these trades.

Tim

sweigner
-Interested User-
Posts: 7
Joined: Sep 26, 2017
Posted: Sep 26, 2017 02:30 PM          Msg. 3 of 3
Thanks Tim. That's a good explanation. Thanks for the quick reply!
Scott
 

 

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