DTN IQFeed, DTN.IQ, DTN ProphetX Support Forums

Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)

"You have an excellent feed. Very few spikes for Spot Forex." - Comment from Public Forum Post

"My broker in Davenport suggested I give you a try as he uses your service and says its the best." - Comment from Bill via RT Chat

"This beats the pants off CQG, I am definitely switching to the ProphetX 3.0!" - Comment from Stephen

"I have been using IQFeed now for a few years in MultiCharts and I have zero complaints. Very, very rare to have any data hiccups or anything at all go wrong." - Comment from Public Forum

"I cannot believe what a difference it makes trading with ProphetX!" - Comment from Bruce in Los Angeles

"Very impressed with the quality of your feed - ******* is a real donkey in comparison." - Comment from A.C. via Email

"I just wanted to say how happy I am with your service. I was able to download the API docs last week and I was able to replicate Interactive Brokers historical bar queries and realtime bar queries over the weekend. That was about one of the fastest integrations that I've ever done and it works perfectly!!!!" - Comment from Jason via Email

"I use IQ Feed, Great stuff as far as data analysis information, storage and retrieval is concerned." - Comment from Public Forum

"Its working FABULOUSLY for me!! Holy cow...there has been so much I've been missing lately, and with this feed and Linnsoft software...I'm in the game now." - Comment from Chris R.

"I just wanted to tell you what a fine job you have been doing. While *******, from what I hear, has been down and out, off and on, IQ feed has held like a champ this week." - Comment from Shirin

Home

Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather

DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter

»Forums Index »Archive (2017 and earlier) »Data and Content Support »Incorrect daily bars for @TFS

Author	Topic: Incorrect daily bars for @TFS (6 messages, Page 1 of 1)
Xyzzy -Interested User- Posts: 10 Joined: Feb 6, 2011	Posted: Sep 22, 2012 05:17 PM Msg. 1 of 6 I'm using IQFeed with MultiCharts. I noticed what appears to be a bug with the daily bars for both @TFS and @TFS#C. Specifically, the daily bars appear to be reporting a "close" time of 18:00 Exchange Time (i.e., Eastern Time). However, the actual closing time should be 16:15 Eastern Time, as explained here: "Daily Settlement: The volume-weighted average price of all electronic trades transacted in the closing session (16:14 to 16:15 ET)." https://www.theice.com/productguide/ProductSpec.shtml;jsessionid=AA7E20A9A74CA75CAB1EF8635C4C39E2?specId=86 I.e., the official trading hours for this symbol are from 20:00 ET to 18:00 ET, but 16:15 ET is considered to be the official closing time. This is consistent with the other e-mini contracts, like @ES, which also close at 16:15 ET. There might be similar problems for other ICE symbols -- I haven't checked. Can this be fixed? Thank you.
DTN_ToddH -DTN Guru- Posts: 287 Joined: Oct 6, 2011	Posted: Sep 24, 2012 07:46 AM Msg. 2 of 6 Hello Xyzzy, I will check with our Market Data Services and be back with a reply. Thanks.
DTN_ToddH -DTN Guru- Posts: 287 Joined: Oct 6, 2011	Posted: Sep 24, 2012 08:40 AM Msg. 3 of 6 Hello again, Even though it may appear that the close of the daily bar is coming from the 18:00 price, the daily settlement price actually comes from the exchange and, as you point out, is based on the 16:15 time - even though prices continue trading until 18:00. The official settlement price is usually released by the exchange 10 minutes (or so) after 16:15 and that is what is used for the close field in our daily data.
Xyzzy -Interested User- Posts: 10 Joined: Feb 6, 2011	Posted: Sep 24, 2012 04:45 PM Msg. 4 of 6 Thanks Todd. I reloaded the data, and it looks like the timestamp has been updated to show "16:15" as the correct daily bar time.
Xyzzy -Interested User- Posts: 10 Joined: Feb 6, 2011	Posted: Sep 24, 2012 04:59 PM Msg. 5 of 6 I misspoke -- actually, the daily bars are now showing a closing time of 15:15, not 16:15, even though they are showing closing prices as of 16:15. This could throw off the results for people who are using this data for backtesting. Could this be fixed, so that the daily bars show the correct closing time of 16:15?
DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005	Posted: Sep 24, 2012 05:02 PM Msg. 6 of 6 Are you talking about the time portion of the timestamp in the data returned from the daily history requests? If so, then that timestamp is simply your local PC time when the first datapoint is returned and should be ignored.