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Direct MessagesDate/Time: Wed, 08 May 2024 22:40:28 +0000
Post From: SC Real-time vs. IQ Feed huge difference
| [2016-10-12 20:55:11] |
| DabbaDo - Posts: 146 |
|
I have been having some SPY real-time bid/ask issues on a Numbers chart that didn't "make sense." Today I compared IQFeed data for SPY with SierraChart Real-time data. Attached are 4 charts showing the difference. I'm suspicious that the IQ Feed version is correct, but I don't know how to prove it. I'm not even sure you would care. But here is info, FWIW. All of this revolves around a huge "adjustment" trade at 1600 today (which happens every day). I've attached 6 snips to document this. Note in IQ1S (IQ Feed 1-second) and SC1S (SierraChart 1-second), OHLCV are identical, but note that Bid and Ask are approximately reversed. Note IQ1T (1-trade) has a single trade with volume of 1,250,831. Note how that trade is "spread out" in SC1T. Note that IQ1M_Numbers (1-minute) shows a very different VolumeAtPrice picture than SC1M_Numbers. By the way, I know the huge trade at 1600 every day may not be "important." But what led me to this was some significant VaP differences at 9:30 to 10:00 yesterday when we had a high-volume down market. Those are much harder to document. Both have DTS set to 1-Tick storage. I deleted the SC SPY.scid file and re-downloaded to be sure that wasn't the issue. Windows 10, SC1471 Thank you, Dale Date Time Of Last Edit: 2016-10-12 20:56:58
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