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Direct MessagesDate/Time: Sat, 20 Apr 2024 08:55:30 +0000
IQFeed Real-time Volume is Not the same as Back-filled Historical Intraday Volume
View Count: 1775
| [2013-12-31 08:59:06] |
| xfighter - Posts: 36 |
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After I updated to Version 1067, a very wierd thing happened. My IQFeed real-time data showed a higher Volume on almost every single minute bar comparing to the backfilled historical intraday data which should ideally be exactly the same, although the price has no problem at all. It never happens before and it is not limited to only one symbol. At lease both symbols I was watching (DIA and SPY) have the same problem. I am not sure it is a bug from IQFeed or from sierrachart but eagerly want it to be solved. Thank you!
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| [2013-12-31 09:09:21] |
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This problem relates to a change we did in response to this thread: TuS We do not know what is correct. It seems as though that small trades are identified differently in the IQ Feed data. Those smaller trades are now being counted. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2013-12-31 09:51:16] |
| xfighter - Posts: 36 |
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To me, the logic is quite simple. IQFeed marked these "other trades" as "0" which suggest these may be misdocumented. And they actually exclude these trades from their back-fill historical data server which further demonstrate these are misdocumented. Another way to look at it. If someone use IQFeed historical data to do a backtest and got some system developed, now would this guy trade his system by using the real-time data which has the same way as the historical data or the different way? The answer is obviously "the SAME way". Thank you!
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| [2013-12-31 10:03:20] |
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We will include the 'o' trades in the Time and Sales window but they will not be recorded in the chart data. This will be out in the next release.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-01-07 00:41:08] |
| xfighter - Posts: 36 |
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I do see the IQ data feed get back to normal volume for several days. But today the same problem happened again. Could you please fix it? Thank you!
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| [2014-01-07 00:46:57] |
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Not quite sure what version this change was out in, but make sure you are on version 1072. We have released this change.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-01-07 00:47:28
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| [2014-01-07 16:03:51] |
| WarriorTrader - Posts: 245 |
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Hello, I have been a SC user for five years and will continue to be one for the foreseeable future. But it is very crazy for you guys to change the DTN/IQ real time data, making it different than the historical data, and then leaving it up to the user to decide what is valid. You are also leaving it up to the user to do your testing for you. You’ve done some great work last year. Hope you can keep things tight. Thx, WT |
| [2014-01-07 16:51:58] |
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We did not consider how the change would result in the real-time data being different to the historical data . We thought that we were not processing all of the trade data and including it in the chart, based upon a report from another user. We thought we were solving a problem and improving the data feed processing. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-01-07 16:52:19
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