I am comparing data retrieved by "ReqHistoryTickDatapoints" with data retrieved by "ReqHistoryIntervalDatapoints," using two different intervals for the latter: 60 seconds and 1 second. Please consult the attached Word file to illustrate the question.

The requested data begin March 6 of this year. They do not match up at the start because of the number of records requested, but they come into synch at 15:54:46. There are two Ticks for this second (green highlight), and they are matched correctly in the Minute data with the 15:55:00 record, both as to price and volume. The next two Ticks at 15:55:16 (blue highlight) also match the minute data, both as to volume and the different prices of the Ticks. These data are also found in the Second data, although one would have expected the time specification to have been at the Second level, not the Minute level.

When we come to the group of 19 Ticks for 16:46 (yellow highlight), we still get a correct grouping in the Minute data (shown in 16:47:00). But one would have expected five separate records in the Second data because the 19 different ticks occurred in 5 different seconds. Instead, we get the same grouping we got in the Minute data. In fact, it is clear that the Second and Minute data do not differ at all.

Perhaps there is some specification for a minimum limit to the interval specification, but I have not found it. I'd appreciate some help on this.

N.B. When I went to attach the Word document, I notice that you don't allow .doc files, only .txt files, so the highlighting is gone. But I think I have included enough information that you can easily mark the groupings yourself.

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Eric

Eric, you are correct. This bit of information apparently never got added to the documentation. The protocol was designed to allow second intervals in the future but it is currently being limited to minutes. I will make sure the documentation gets updated to reduce confusion on this.
Edited by DTN_Steve_S on Mar 9, 2009 at 10:27 AM