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» Out-of-order trades during history fetch
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| Author | Topic: Out-of-order trades during history fetch (9 messages, Page 1 of 1) |
 taa_dtn -DTN Evangelist- Posts: 154 Joined: May 7, 2004 |
Posted: Oct 5, 2023 09:12 PM
Msg. 1 of 9
I fetch historical data (ticks) for a large number of stocks at end-of-day (8PM Eastern). Yesterday I noticed several symbols for which trades were returned out-of-order chronologically. It's been a number of years since I've seen this behavior.
Examples: IAS WTW FTDR TTMI WOOF JD XP My code hasn't changed since I upgraded to protocol 6.2 shortly after it was released. Has anyone else noticed this? Or is it expected behavior that just didn't occur for years? |
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Stellarator -Interested User- Posts: 5 Joined: Apr 20, 2021 |
Posted: Oct 6, 2023 01:34 AM
Msg. 2 of 9
Yes, I can confirm this. There are two problem periods, around the beginning of 12:00 and 14:00. Periods last 12-15 minutes. The reorder of data is not so scary. It is important to understand whether everything is fine with the data itself. But only DTN can confirm this to us.
Guys, many symbols are affected. If you need fatter ones for analysis, then here they are: TSLA, TQQQ, GOOG, SQQQ, INTC, VINO, ... Update: We're talking about 2023-10-04. Edited by Stellarator on Oct 6, 2023 at 01:37 AM |
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DTN_Gary_Stephen -DTN Guru- Posts: 403 Joined: Jul 3, 2019 
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Posted: Oct 6, 2023 01:52 PM
Msg. 3 of 9
We're already aware of this issue and are working on a correction. I'll post an update here when I have news.
Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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taa_dtn -DTN Evangelist- Posts: 154 Joined: May 7, 2004 |
Posted: Oct 10, 2023 07:09 PM
Msg. 4 of 9
Any progress on this? I see data for 2023-10-04 is still out-of-order.
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DTN_Gary_Stephen -DTN Guru- Posts: 403 Joined: Jul 3, 2019
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Posted: Oct 11, 2023 08:03 AM
Msg. 5 of 9
Not as of yesterdaty afternoon, I'll check again today.
Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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DTN_Gary_Stephen -DTN Guru- Posts: 403 Joined: Jul 3, 2019
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Posted: Oct 11, 2023 04:48 PM
Msg. 6 of 9
We are correcting the order of the tick data. This process is still ongoing. When it is complete, historical data requests for October 4 will be in the correct order.
Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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DTN_Gary_Stephen -DTN Guru- Posts: 403 Joined: Jul 3, 2019
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Posted: Oct 12, 2023 08:10 AM
Msg. 7 of 9
The corrections should be complete as now. Let me know if you still see any out-of-order ticks for October 4.
Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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taa_dtn -DTN Evangelist- Posts: 154 Joined: May 7, 2004 |
Posted: Oct 12, 2023 09:16 PM
Msg. 8 of 9
MUCH improved, though I still see out-of-order data for these symbols:
KYMR TRUP TMDX TPIC URGN TNDM TLT UPLD HLMN TTD WEST STRO FOLD ZLAB IBB VAXX |
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taa_dtn -DTN Evangelist- Posts: 154 Joined: May 7, 2004 |
Posted: Oct 16, 2023 07:10 PM
Msg. 9 of 9
Everything looks good today. Thanks for the fix!
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