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IQ Data Feed using daily bars
Started:May 2nd, 2012 (09:29 PM) by Market Sniper 88 Views / Replies:945 / 3
Last Reply:May 3rd, 2012 (06:51 PM) Attachments:0

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IQ Data Feed using daily bars

Old May 2nd, 2012, 09:29 PM   #1 (permalink)
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IQ Data Feed using daily bars


I have been using IQ Feed as a data supplier with Sierra and have been happy with the service but I noticed something strange today.

I regularly trade from daily bars and I was looking at Gold futures (QGC#) and was seeing that going from yesterdays bar to the next there was a day missing in the dates.

So I contacted IQ Feed to see what was happening and they explained to me that they remove the current day's daily bar in preparation of the opening of a new session everyday. When an evening session opens up their system in not able to future date it so in this case they remove the current bar and when the new bar opens they create a new previous bar and puts its data there. This occurs everyday for every electronic future symbol that trades overnight.

Has anyone experienced this?

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Old May 2nd, 2012, 09:29 PM   #2 (permalink)
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Old May 3rd, 2012, 01:03 AM   #3 (permalink)
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Yes I've noticed the same thing.

I'm currently getting some custom coding done and noticed that SC would not plot the next days historical bar e.g 17:00 Globex open until midnight. Seems a bit odd to me but from what I gathered browsing around the net I got the same answer as IQFeed gave you.

This causes a slight inconvenience for my custom coding but is easy enough to get around by just referring to an intraday time frame until after midnight and the new days bar plots on the historical charts.

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Old May 3rd, 2012, 06:51 PM   #4 (permalink)
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I wonder if a 1440m bar would have the same results?

Or a 405 minute bar, if you are excluding ETH.


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