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»Forums Index »Product Support »Data and Content Support »Different Data on Tick vs 1min
Author Topic: Different Data on Tick vs 1min (11 messages, Page 1 of 1)

ChainsawDR
-Interested User-
Posts: 17
Joined: Jan 4, 2019


Posted: Aug 18, 2021 07:49 PM          Msg. 1 of 11
Hi,
I use Iqfeed with NinjaTrader 8. I'm seeing material differences between tick and 1 min data, and unsure if I should contact Iqfeed or NinjaTrader (presume Iqfeed as its a data issue).

Please see attached screenshots for VUZI on 1/20/21. On a 1min bar the High reaches $9.69 at 11:47, On tick data the high reaches $10.13. If you look at the 1min chart for 15mins either side, it gets nowhere close to $10. It's clear that for the same time and the same stock, pulling tick and 1min data is telling different stories. Please could you take a look at the data for VUZI to see if there is an issue, and which source of truth is correct?

I am building an algorithm that auto-trades with tick and 1min data, so obviously very nervous about this issue and guarding against future instances. Do you have any advice please on how to guard against repeat issues?

Many thanks

ChainsawDR



File Attached: VUZI minute.png (downloaded 289 times)

ChainsawDR
-Interested User-
Posts: 17
Joined: Jan 4, 2019


Posted: Aug 18, 2021 07:49 PM          Msg. 2 of 11
adding tick screenshot



File Attached: VUZI tick.png (downloaded 287 times)

DTN Todd
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Posts: 72
Joined: Mar 24, 2010


Posted: Aug 18, 2021 08:44 PM          Msg. 3 of 11
Hello ChainsawDR

There are a few things that this could be, I am having our data team look into the data aspect. When we have an answer we will post that information

Thanks
Todd IQfeed Customer Support

DTN_Stephen
-DTN Guru-
Posts: 434
Joined: Aug 22, 2014


Posted: Aug 19, 2021 08:08 AM          Msg. 4 of 11
What time zone are the 11:47 timestamps in you are looking at?

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

DTN_Stephen
-DTN Guru-
Posts: 434
Joined: Aug 22, 2014


Posted: Aug 19, 2021 02:13 PM          Msg. 5 of 11
After review of the data, unfortunately the tick data in question exceeds our 180 calendar days of tick data that we store.

Additionally You are looking at a 100 tick chart in Ninja Trader; which we believe does not use our tick interval bars. We believe that the data you are displaying has been manipulated inside of Ninja Trader by their chart and not our actual data.

That being said if you can find a more recent example within our 180 days calendar days tick data window we will be happy to explore it.

I would also consider contacting Ninja Trader Support directly to investigate how the 100 tick chart is building it's data or what they underlying data actually is.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

ChainsawDR
-Interested User-
Posts: 17
Joined: Jan 4, 2019


Posted: Aug 20, 2021 03:23 AM          Msg. 6 of 11
Thank you both. I was able to recreate the issue for another stock at a later time, and clicking 'reload historical data' updated the tick data. Stephen your comment on timezone is likely an apt one. I'm on pacific time and at one point I changed it to Eastern time. I suspect the data I'm looking at may have an issue because of this. I will purge and reload. Thanks for your help with this.

ChainsawDR
-Interested User-
Posts: 17
Joined: Jan 4, 2019


Posted: Nov 11, 2021 09:22 PM          Msg. 7 of 11
Hi Stephen,

Re-Posting on this topic as its causing some frustration. When downloading historical data from iqfeed using NinjaTrader 8, I'm frequently seeing issues with the tick data (unsure if its a problem with iqfeed, NT, or user error). Yesterday I set off a download of ~6 months of tick data for ~500 stock symbols, and today when testing using that data there were tick data issues with ~50 of them (obvious issues such as having 1MM trade volume for the same microsecond time stamp). What I have been doing as a workaround is to delete the data for the affected symbols and redownloading them. However when I just did this a moment ago, I'm still seeing the same issue for some of the symbols. A good example is the stock GPS...

I setoff a download for GPS Tick, Minute & Day data for Bid/Ask/Last from 4/1/21 to 9/30/21 (in NinjaTrader>Import Historical Data>Download.
The tick data for 9/13/2021 looks corrupted (minute data looks fine).
The screenshot attached shows tick data and 1min data side by side for GPS. In the tick data there are ~2MM+ trades in GPS with the timestamp 3:57:00:438, which 1min data for 3:57 has ~88k volume.

As I mentioned earlier, I'm not sure if the issue is at iqfeed's end or NT8's end, but hoping you can please look into the data from iqfeed's side to rule out a data issue please.

Many thanks in advance

ChainsawDR
Edited by ChainsawDR on Nov 11, 2021 at 09:23 PM



File Attached: corrupted tick data.png (downloaded 180 times)

ChainsawDR
-Interested User-
Posts: 17
Joined: Jan 4, 2019


Posted: Nov 11, 2021 09:36 PM          Msg. 8 of 11
In case it helps, these are the stock symbols (all nasdaq or nyse) that were corrupted during the overnight download:
IOVA
GPS
SAVE
EQT
DISCK
KEY
SM
NWSA
EQH
IVZ
HUN
DVN
SPWR
AES
NI
NVTA
VRT


I then deleted all historical data and redownloaded for these symbols, which fixed the issue for all except the following 5:
GPS
DISCK
KEY
IVZ
OXY

I've just noticed that for GPS, the corrupted data on the original download was for different days (not 9/13) so I do think it'll be a NT8 issue (but if you could please confirm that'd be great). Many thanks

ChainsawDR

DTN Todd
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Posts: 72
Joined: Mar 24, 2010


Posted: Nov 11, 2021 10:14 PM          Msg. 9 of 11
Checking the IQfeed data for GPS our tick data matches what you have for your minute data. Random check of some of the other symbols you listed does not show any issues. There have not been any reported issues with the listed symbols. You can check the data I referring to before it is transferred to NinjaTrader On your desktop select the icon IQfeed applications then select time and sales. In request details select tick data in settings you can select date specific data. NinjaTrader support should be able to assist with how their chart is building the data.

Thanks
Todd IQfeed Customer Support

ChainsawDR
-Interested User-
Posts: 17
Joined: Jan 4, 2019


Posted: Nov 12, 2021 02:44 AM          Msg. 10 of 11
Thanks for looking into this Todd

ChainsawDR
-Interested User-
Posts: 17
Joined: Jan 4, 2019


Posted: Nov 12, 2021 06:51 PM          Msg. 11 of 11
In case anyone else has this issue in future, there's more info on workaround steps on the NT8 forum thread here: https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/1178301-corrupted-tick-data-iqfeed-downloads

Thanks
 

 

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