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» How to obtain historical data (OHLC) for current bars
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| Author | Topic: How to obtain historical data (OHLC) for current bars (2 messages, Page 1 of 1) |
 JJTrader -Interested User- Posts: 1 Joined: Nov 4, 2016 |
Posted: Nov 7, 2016 06:12 AM
Msg. 1 of 2
Hi
One of my requirements is to be able to pull OHLC for a bar that has not closed yet. The bar timeframe could be anything from say 5min up to a monthly bar. So I might want to pull OHLC for a 60min bar at xx:59, or a daily bar at 1500, or a weekly bar midweek, or a monthly bar mid-month. Is this doable? I have had a partial answer via email that has said intraday data can be done easily, but the answer was ambiguous with respect to timeframes higher than intraday. Could someone answer this question for me please? What I don't want to have to do is "hand crank" OHLC for a higher timeframe by downloading a load of data on a lower timeframe, iterating over it and pulling out the OHLC myself. I currently use Interactive Brokers and their reqHistoricalData function does this easily in one function call. Thanks in advance. |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004 
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Nov 7, 2016 08:30 AM
Msg. 2 of 2
We received your follow up email as well and a response is coming shortly. For those on this forum with the same question, I will also answer here:
We store tick data for 180 days. This data can be retrieved in nVolume, nTick or nSecond intervals where “n” is whatever interval you choose. We store many years of 1 minute data. This data can be retrieved in nMinute intervals. Thus, you can request 60 minute bars and you will get data up to the latest tick with the last bar being a partial bar. We store daily data with bars generated at the end of each day. When you ask for weekly or monthly bars, we derive that from the daily bars. These intervals will not include the current day's trading session until the end of the day. Our customers are traders, and thus they are nearly always also watching a stream of the instruments they are interested in. The stream includes everything they need to create their own partial/current bar for the day/session including OHLCV. You don't need to hand crank over a load of data. You just need to watch the stream on the symbol. When you watch a symbol we send the current session OHLCV immediately and update it with every tick throughout the session so your chart/analysis can stay current. Jay Froscheiser Vice President, Active Trader Products |
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