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»Forums Index »IQFeed Developer »IQFeed Developer Support »78-Minute Bar alignment
Author Topic: 78-Minute Bar alignment (6 messages, Page 1 of 1)

Roberts
-Interested User-
Posts: 42
Joined: Mar 26, 2008


Posted: Dec 13, 2022 01:01 PM          Msg. 1 of 6
When requesting odd-intervals, like 13 or 78 minute bars (both of which divide evenly into a 390-minute day), what is the correct way to identify the starting time for the data compression?

For example, if you start at midnight, 78 minute bar end-of-bar timestamps for bars that contain data for the U.S. market regular session would be (in bold):
01:18
02:36
03:54
05:12
06:30
07:48
09:06
10:24
11:42
13:00
14:18
15:36
16:54

18:12
19:30

However, I need bar data aligned with the 09:30 market open whose end-of-bar times are:
10:48:00
12:06:00
13:24:00
14:42:00
16:00:00

Specifying 0930 and 1600 for the HIT filter times returns bars with the correct timestamps. e.g.,
HIT,ABBV,4680,20221213 000000,20221215 000000,,093000,160000,1,3,,s,0
20221213 10:48 166.92 167.16 165.62 166.06 417,761
20221213 12:06 166.05 166.06 164.71 164.99 394,991

HOWEVER, inspecting the 1-minute data (always referring to end-of-bar timestamps), the OPEN for ABBV today's 09:31 bar was 166.95 - not 166.92 as indicated in the 78-minute bar data.

More strikingly, the 1-min bar close at 10:48 is 166.41 - not 166.06. Note that the bar ending at 10:17 closed at 166.06 - the only 1 minute bar to close at that price before 10:48.

What's going on with this data compression?
What's IQFeed's guidance on how to do this correctly?

DTN_Gary_Stephen
-DTN Guru-
Posts: 295
Joined: Jul 3, 2019


Posted: Dec 13, 2022 02:55 PM          Msg. 2 of 6
You've got the right idea. Intervals assume a midnight start. 78 minutes divides evenly into a 390-minute day, but not a 1,440-minute day, and not in a way that 9:30 am is the start of a new bar. I used this, which is the same as your command:

HIT,ABBV,4680,20221213 000000,,,093000,160000,1,,,s,0
LH,2022-12-13 10:48:00,167.1600,165.6200,166.9200,166.0600,1134223,417761,0,
LH,2022-12-13 12:06:00,166.0600,164.7100,166.0500,164.9850,1709943,394991,0,
LH,2022-12-13 13:24:00,165.5500,164.6900,164.9850,165.0850,2106981,253186,0,
LH,2022-12-13 14:42:00,165.9400,164.8300,165.0900,164.8600,2610699,323191,0,
LH,2022-12-13 16:00:00,165.6500,164.6700,164.8900,164.9200,3536972,644521,0,
!ENDMSG!,

I'm looking into that Open price. I don't see any ticks for 166.92 during that time frame and I'm not sure where it's coming from.
Edited by DTN_Gary_Stephen on Dec 13, 2022 at 03:23 PM

Roberts
-Interested User-
Posts: 42
Joined: Mar 26, 2008


Posted: Dec 13, 2022 03:47 PM          Msg. 3 of 6
For that request, is it misleading that IQFeed timestamps the bars in the way that [appears to] use a 0930 start? If the (ending) timestamp of the 78-minute bar is 10:48, then that implies that it's the 78-minutes of data from 0930 to 1048 - yet that is not the case (today).

I had a hunch that paid off. I rescaled IQFeed 1-minute data and compared the result to the 78-minute bars returned from IQFeed. As it turns out, using the request above, IQFeed uses the 0930 filter time as a start reference. The problem is that it doesn't do that for the current day!

See the attached image that makes this comparison. Except for occasional - but significant - differences on [usually] the 1048 bar, the bars are identical prior to "today". My guess is that when I request the ABBV 78 minute bars tomorrow, they'll be different than they are today. That's not good.



File Attached: ABBV_IQFeed.png (downloaded 133 times)

Roberts
-Interested User-
Posts: 42
Joined: Mar 26, 2008


Posted: Dec 14, 2022 01:07 AM          Msg. 4 of 6
ABBV 78 Minute bars returned yesterday (12/13/2022) OHLCV
12/13/2022 10:48 166.92 167.16 165.62 166.06 417761
12/13/2022 12:06 166.05 166.06 164.71 164.985 394991
12/13/2022 13:24 164.985 165.55 164.69 165.085 253186
12/13/2022 14:42 165.09 165.94 164.83 164.86 323191
12/13/2022 16:00 164.89 165.65 164.67 164.92 644521

ABBV 78 Minute bars returned today (12/14/2022) OHLCV
12/13/2022 10:48 166.95 167.5 165.76 166.41 542785
12/13/2022 12:06 166.39 166.39 164.75 165.31 445391
12/13/2022 13:24 165.29 165.37 164.69 165.365 281420
12/13/2022 14:42 165.39 165.62 164.9 165.54 275937
12/13/2022 16:00 165.5491 165.94 164.67 164.92 786909

It's only 2AM EST, but the data returned for the same request has changed (and is now correct).

Roberts
-Interested User-
Posts: 42
Joined: Mar 26, 2008


Posted: Dec 14, 2022 02:41 AM          Msg. 5 of 6
Finally, another image attached highlighting that the first 1048 bar occasionally is wrong, completely missing the first 78 minutes of data and instead appears to insert data for the 1-min of premarket trading prior to 0930. The data shown were part of the response to this request:

HIT,ABBV,4680,20211003 000000,20221216 000000,,093000,160000,1,7,,s,0



File Attached: ABBV_IQFeed2.png (downloaded 133 times)

Roberts
-Interested User-
Posts: 42
Joined: Mar 26, 2008


Posted: Dec 16, 2022 08:02 AM          Msg. 6 of 6
Any chance that these issues will be fixed?
Edited by Roberts on Dec 16, 2022 at 08:02 AM
 

 

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