I’ve encountered
an issue using historical data from IB in having large “spikes”
down on daily charts (I am looking that the data in MultiCharts 6
Beta3).
The “spike down”
shows a Low for the daily bar that is far outside the usual trading
range. As an example, I downloaded a year worth of data for GLD. I
have at least three spikes down on 9.21.09, 3.29.10, and 5.6.10.
Even disregarding May 6
th(“flash crash”), the 3.29.10 shows O:H:L:C of
$108.87:$109.17:$78.36:$108.76,
the $78.36 being in question. I have checked
Yahoo historical quotes for that day. Open and High are the same.
Close is 1c less ($108.75). The Low, however, is $108.40 – a
believable number compared to $78.36. (Stockcharts historical data
for that day matches Yahoo).
I could not look
at the minute charts – don’t have the IB data that far back.
The instrument
(GLD) is configured to SMART routing from IB. I understand that
SMART is used to route orders to the exchange that offers the best
price depending on the order type. However, it is not clear what
happens when this is used for getting historical data. While it
possible that somewhere, on some “odd-ball” exchange GLD indeed
traded at this price, how do I avoid getting this data?
I tried another
experiment. GLD is listed at NYSE Arca. I deleted and reentered the
symbol listing ARCA as an exchange (wiping out all old data) – I
assume that this will make IB provide me with data from one
exchange only. Two spikes disappeared but the one on 9.21.09 still
remained – Low of $79.00 vs. $97.73 from other sources.
Such data wrecks
havoc with trying to backtest mechanical systems. Of course, I can
go and manually delete such spikes but this requires visually
finding them. How can one be sure that other data is not erroneous,
just less obvious?
Did anyone else
encounter similar issues and what is the best way of dealing with
them?
Is there a good
source of historical data that is formatted for easy import into
MultiCharts?
Is there a
source of historical data that is split and dividend
adjusted?
How do you
handle splits on non-adjusted data when running mechanical
systems?
Thank you in
advance for any answers or suggestions.
I'm using Tradestation data and iQFeed data with
multicharts. iQFeed data is great, clean, reliable and
seemingly more dense than other data -- I totally recommend it.
I have always just got data from another exchange . You have
already done that,so cannot suggest anything that may help.You
might want to try multicharts live help as they can pretty much
sort most problems out.
That said, I too am looking for a data source as IB data is
limited to a year back. If anyone knows of a free source of delayed
data or a reasonably priced realtime source , I'd be grateful.
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IB Historical Data Issue
Posted by kayak5 on 10th of Aug 2010 at 01:17 am
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I’ve encountered an issue using historical data from IB in having large “spikes” down on daily charts (I am looking that the data in MultiCharts 6 Beta3).
The “spike down” shows a Low for the daily bar that is far outside the usual trading range. As an example, I downloaded a year worth of data for GLD. I have at least three spikes down on 9.21.09, 3.29.10, and 5.6.10. Even disregarding May 6 th(“flash crash”), the 3.29.10 shows O:H:L:C of $108.87:$109.17:$78.36:$108.76, the $78.36 being in question. I have checked Yahoo historical quotes for that day. Open and High are the same. Close is 1c less ($108.75). The Low, however, is $108.40 – a believable number compared to $78.36. (Stockcharts historical data for that day matches Yahoo).
I could not look at the minute charts – don’t have the IB data that far back.
The instrument (GLD) is configured to SMART routing from IB. I understand that SMART is used to route orders to the exchange that offers the best price depending on the order type. However, it is not clear what happens when this is used for getting historical data. While it possible that somewhere, on some “odd-ball” exchange GLD indeed traded at this price, how do I avoid getting this data?
I tried another experiment. GLD is listed at NYSE Arca. I deleted and reentered the symbol listing ARCA as an exchange (wiping out all old data) – I assume that this will make IB provide me with data from one exchange only. Two spikes disappeared but the one on 9.21.09 still remained – Low of $79.00 vs. $97.73 from other sources.
Such data wrecks havoc with trying to backtest mechanical systems. Of course, I can go and manually delete such spikes but this requires visually finding them. How can one be sure that other data is not erroneous, just less obvious?
Did anyone else encounter similar issues and what is the best way of dealing with them?
Is there a good source of historical data that is formatted for easy import into MultiCharts?
Is there a source of historical data that is split and dividend adjusted?
How do you handle splits on non-adjusted data when running mechanical systems?
Thank you in advance for any answers or suggestions.
data
Posted by Michael on 10th of Aug 2010 at 09:12 am
I'm using Tradestation data and iQFeed data with multicharts. iQFeed data is great, clean, reliable and seemingly more dense than other data -- I totally recommend it.
Hi Kayak. I have always just
Posted by jambo1 on 10th of Aug 2010 at 03:28 am
Hi Kayak.
I have always just got data from another exchange . You have already done that,so cannot suggest anything that may help.You might want to try multicharts live help as they can pretty much sort most problems out.
That said, I too am looking for a data source as IB data is limited to a year back. If anyone knows of a free source of delayed data or a reasonably priced realtime source , I'd be grateful.