|
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)
"I am a hedge fund manager here. It’s funny, I have a Bloomberg terminal and a Bridge feed, but I still like having my DTN feed!" - Comment from Feras
"I've been using Neoticker RT with IQFeed for two months, and I'm very happy with both of the products (I've had IQFeed for two years with very few complaints). The service from both companies is exceptional." - Comment from Public Forum
"It’s so nice to be working with real professionals!" - Comment from Len
"After all the anxiety I had with my previous data provider it is a relief not to have to worry about data speed and integrity." - Comment from Eamonn
"Version 4.0.0.2 has been working well for me and I appreciate that it is now a much tighter client to work with. I feel I can go to press with my own application and rely on a stable platform" - Comment from David in IA.
"I started a trial a few weeks back before the market went wild. DTN.IQ didn’t miss anything and beat my other provider. I decided to stay with you because of the great service through all the volatility." - Comment from Mike
"I'm very glad I switched to IQFeed. It's working perfectly with no lag, even during fast market conditions." - Comment from Andy via Email
"There is no doubt that IQFeed is the best data provider. I am very satisfied with your services. And IQFeed is the only one that I would recommend to my friends. Now, most of them are using your product in China." - Comment from Zhezhe
"IQ feed works very well, does not have all of the normal interruptions I have grown used to on *******" - Comment from Mark
"Boy, probably spent a thousand hours trying to get ******* API to work right. And now two hours to have something running with IQFeed. Hmmm, guess I was pretty stupid to fight rather than switch all this time. And have gotten more customer service from you guys already than total from them… in five years." - Comment from Jim
|
|
|
|
ant1
-Interested User-
Posts: 2
Joined: Nov 5, 2019
|
Posted: Nov 5, 2019 09:55 AM
Msg. 1 of 4
I was under the assumption that Always, the close price equals the next opening price durg the opening trading day - with the expection of stock exchange closing vs stock exchange opening the next day. For example, when I query any NASDAQ stock minute granularity historical data, I get improper values. Statistically, 90% of the time, the close price is different from the next opening price. I can also see that inconsistency in the Charts App from the IQFEed API Connection Manager, to reproduce, just open the Charts APP, take ABC Symbol, for example, load the minutes, display OHLC and click on each minute - and you will see the inconsistency by yourself. Same Happens when doing a HIT,Symbol,60,date from,date to,,,,1,Requestid request to the API. How can I get consistent open/close historical data with IQFeed?
|
DTN_Gary_Stephen
-DTN Guru-
Posts: 394
Joined: Jul 3, 2019
|
Posted: Nov 5, 2019 11:06 AM
Msg. 2 of 4
The short answer is: that's an incorrect assumption.
The Close of a minute is not necessarily the Open of the next minute, even within the same day. Minute data is built from individual trade data within that minute. For example, the last transaction of the 10:00 minute can have a price $5.00, and the first transaction of the 10:01 minute can have a price of $5.01. That would give you a 10:00 Close of $5.00 and a 10:01 Open of $5.01. This is common.
In other words, IQFeed doesn't publish an Open based on the Close of the previous interval. An Open only occurs when a new transaction happens, and that new transaction may be at a different price level than the previous.
Sometimes the Open of a minute (or any interval) will match the Close of the previous one, but this is by circumstance only.
Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
|
ant1
-Interested User-
Posts: 2
Joined: Nov 5, 2019
|
Posted: Nov 5, 2019 05:44 PM
Msg. 3 of 4
Thanks Gary for the quick answer and pointing out that this asumption is wrong.
I am quite not sure to understand how, and I would greatly appreciate to get the long answer.
So what you are saying is that - purelly timely speaking - is that for example - if we have the following two minutes for Ask:
10:00 : Open $4.95, Close $5.00 10:01: Open $5.02, Close $5.05
The open time for the 10:01 is not exactly 10:01:00.000000 but between 10:01:00.0000 and 10:01:59.9999999, the first time the order book has changed during this time span, modifying the Ask price.
Or is it that the close price of $5.00 doesn't really happens at 10:00.59.99999 - it is the last change in value recorded between 10:00:00.00000 & 10:00:59.999999 - and that it happens that the price changes at exactly 10:01:00.000000 - giving a different Open value than the close value?
Or is it a bit of the both?
|
Xed43
-Interested User-
Posts: 1
Joined: May 16, 2020
|
Posted: May 16, 2020 10:28 PM
Msg. 4 of 4
Both...
The open price is the price of the first order in that timespan -- the time start/end are just aggregation limits for orders. Technically a bar doesn't have a price until the first order executes in that time window.
As only the orders matter, the time is just how we break up the order into buckets. So there is no price at "10:01:00.000000" unless an order executed at "10:01:00.000000". If the first order after the clock strikes "10:01:00.000000" happens at "10:01:02.473829" that is the open price for the bar we lump the orders from 10:01:00.0000 and 10:01:59.9999999 together for and call "10:01".
Same for the close price -- its the last order in the time period. It can happen at any time within the time window, and might come before "10:00.59.99999".
Order #1 @ "10:00.58.435321": $5.00 Order #2 @ "10:01:02.473829": $5.02
...gives you...
10:00: Close $5.00 10:01: Open $5.02
Open and close prices are only ever the same if those two sequenced orders on either side of a time threshold happen to execute for the same price.
In other words, bars don't exist. Only orders exist.
|
|
|
|