Hi all,

I want to chart a standard price chart, similar to what we see at finance.google.com or biz.yahoo.com etc.

I am wondering the following:

1) Is it recommended to get minute-frequency OHLC data for each data point or is it better to get every tick and find unique ticks per second and use each second as data points?

2) When looking at either of these datasets, I sometimes see large spikes, what techniques do you guys have to drop these spikes (or are they natural, valid data?)

3) Sometimes when getting the minute-based OHLC data I see price flat for 10 or 15 minutes at a time, for graphs like YHOO and ETFC - during regular-trading hours. What might cause this to occur?

4) Does anyone have algorithms, psuedo-code, or code samples of how they are drawing a price chart. The rendering/visuals aren't as important as: a) what data are you pulling from IQFeed and b) what portion of this data is going into the graph itself?


Thanks a lot for discussion around any of these questions..
Edited by shortorlong on Jan 31, 2008 at 01:44 AM

Most people are looking at interval charts - (x)Minute. You need to decide what interval you want, then request that from the IQ servers. You don't want to request tick data and build your own minute bars due to the time it will take to retrieve the data. Minute data is much faster assuming that is the interval you want. Most web based charts allow you to choose the interval. The higher the inverval, the less "choppy" the chart will be. I would suggest starting with 1 minute data, then increasing to 5, 10,30,60 and see which fits your trading style and indicators.

Flat trading in a stock is common for any of several reasons, so there really is no way to explain it in general terms. You will often see flatlines on stocks before major announcements as the market prepares to trade the release. Spikes in the data is what we receive from the exchange. It is valid in the sense that the exchange sent the data. Some traders prefer to see this noise, while others build their own algorithms to filter the spikes (by taking a average over the last (x)bars to determine if something is out of range).

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Jay Froscheiser
DTN - Trading Markets