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lyxos has contributed to 2 posts out of 21196 total posts (0.01%) in 3,255 days (0.00 posts per day).

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IQFeed Developer Support » Historical Interval Data Jun 27, 2015 12:30 PM (Total replies: 2)

Makes perfect sense!! Much appreciated.

Best,
Robert

IQFeed Developer Support » Historical Interval Data Jun 22, 2015 06:45 PM (Total replies: 2)

Hello,

I am looking for explanations with regards to the fields in the interval historical data for equities shown below from the documentation.

HIT

Time Stamp CCYY-MM-DD HH:MM:SS Example: 2008-09-01 16:01:00
High Decimal Example: 146.2587
Low Decimal Example: 145.2587
Open Decimal Example: 146.2587
Close Decimal Example: 145.2587
Total Volume Integer Example: 1285001
Period Volume Integer Example: 1285

Say I pull data at 1 minute intervals. Can you please confirm what each of these fields means and on what interval do they take place?

High: the highest price reached during that one minute interval from 16:00:00 - 16:01:00
Low: the lowest price reached during that one minute interval from 16:00:00 - 16:01:00
Open: the price of the equity at the exact time 16:01:00 ?? 16:00:00 ??
Close: the price of the equity a minute later 16:02:00 ?? 16:01:00 ??
Total Volume: the total volume at this particular time-stamp starting from the first trade that day
Period Volume: the volume from the time 16:00:00 - 16:01:00 ? or 16:01:00 - 16:02:00?

Here is some sample data I pulled:

2014-12-18 09:31:00,3.5500,3.4400,3.5100,3.5500,12427,12267,
2014-12-18 09:32:00,3.4500,3.4500,3.4500,3.4500,12527,100,
2014-12-18 09:33:00,3.5500,3.5400,3.5500,3.5400,13827,1300,

Shouldn't the the close price of the equity at 09:31:00 (3.5500) be equal to the open price (3.4500) of the equity at 09:32:00?

Also looking at the following equity data (minute interval) from day to day:

'2014-12-18 16:33:00' '50.3660' '50.3660' '50.3660' '50.3660' '156454' '238'
'2014-12-19 09:31:00' '51.2400' '50.7100' '50.7100' '51.2400' '11055' '11055'

Shouldn't one of the values of the previous day be equivalent to the open of the next day? The close values vs open values also do not correspond..

I even pulled some tick data, and the previous day close values do not correspond to the next days open values. (AAVL)

'2014-12-24 13:00:00' '47.3000' '1576' '161055' '47.2900' '47.3000' '970378'
'2014-12-26 09:30:00' '47.5000' '203' '203' '45.9500' '47.9000' '2550'

There is no detailed explanation of these values anywhere so I would appreciate your help.

Best,
Rob

Edited by lyxos on Jun 22, 2015 at 07:26 PM


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