Hello.

I am using the following HIX API command to request historical data:

HIX,SPY,1,1404000,0

I was attempting to request 1 second data for approximately the last 60 days. I set max data points (1404000) by multiplying the number of seconds in a trading day (23400) by 60. I did get 1404000 data points, however the time between data points varied from 2 seconds all the way up to over 15 seconds. However, if I lower my number of days back to about 20 (468000 data points), I get just one second between every data point.

I have a couple questions:

- how can I restrict my request to return only data points inside primary market hours (9:30 - 4PM ET)?
- I thought I could get 1 second resolution going back 180 calendar days. Do I need to use some other API call or modify the one I am currently using?

Thanks!

Good morning,

In our history, if there are no ticks for a given interval you will receive no data. So when you are at a 1 second resolution there are several of these. By the time you get to 20 seconds, the gap is large enough (in this instance) that there is always at least one tick.

To restrict your request, the HIT request has begin filter time and end filter time setting which I think will meet your need.

Tim

Oh, and to the last point, 180 days of tick data is available outside of the US market hours, otherwise you are limited to 8 days.

Tim

OK thanks for the reply Tim. All helpful points. I'm trying to match up your tick data now with the aggregated per second data I got with the HIT query. I am now just trying to get tick data from this past trading session like so:

HTX,SPY,46800

My Java client just hangs reading from the socket. Any ideas on what's happening or what I may be doing wrong?

Thanks!