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I am working on futures and trying to get perfect historical one minute data from the last previous years.
So I subscribed to kinetick but now I can see that there is many dates (not early close days or holidays) who are missing data.
Normaly I should always get for each regular day 1365 one minute candles, but that is not the case.
For example I get the following numbers of candles in one minute with Kinetick (date in dd/mm/yyyy format) :
NQ 09-19 :
13/06/2019 : 1279
14/06/2019 : 1356
So I tried to bypass this problem by downloading historical tick data, but Kinetick only propose the last 6 months from current date of historical tick data.
Furthermore I subscribed to another third party add-on to download market replay data, so I tried to bypass the problem by trying to find a way to convert market replay data to historical minute data but I found nothing.
I didn't find anything on the forum exactly related to my problem reason why I am writing this topic.
Have you any solution for me to be able to get perfect historical one minute data (I can't burn my money by trying all the data providers).
Thanks in advance.
Can you help answer these questions from other members on NexusFi?
Still I need perfect historical minute data for some reasons (minute backtest, intraday analysis).
In the meantime Kinetick support answer me and tell me that it only guarantees historical minute data up to the two previous years from current date after what it does not guarantee the quality of the data.
I quote a part of Kinetick support's answer :
So if anyone have any idea of how I can access at least from 2017-2018 perfect historical minute data I take it.
Just for information, in case of someone read this topic.
So I tried to subscribe to IQFeed but at the beginning I observed the same problem as with Kinetick with gaps in one minute data.
So I ask the IQFeed support and his answer made me realise that it is actually possible at certain times (especially during extended trading hours) that the market is so illiquid that there are no transactions for one or several consecutive minutes (I confirm that by comparing historical tick and minute data).
I'm not sure if this explains the systematic absence of candles (when there are missing candles), but being aware of this fact changes my perspective, and I will adjust my analysis accordingly to account for this.
So the fact that there are some gaps on historical minute data is not a problem for me anymore (and so I no longer need to be able to convert market replay data to historical one minute data).
