Search found 8 matches

by johnkd
Tue Apr 28, 2020 3:22 am
Forum: General Discussion
Topic: FX Missing Ticks at Year End/Start
Replies: 3
Views: 7654

Re: FX Missing Ticks at Year End/Start

Ouch, that's a pretty painful workaround.

Is there any schedule for when this bug will be fixed?
by johnkd
Fri Apr 24, 2020 3:53 am
Forum: General Discussion
Topic: FX Missing Ticks at Year End/Start
Replies: 3
Views: 7654

FX Missing Ticks at Year End/Start

The FX ticks appear to skip a day at the end of the year, until the start of the new year for example, AUDUSD: 20101231 21:59:51:541,1.0223,1.02408,1.64999997615814,1.20000004768372 20110102 22:00:26:747,1.0199,1.0207,1.58000004291534,1.5 (using UTC time) Is there a way to fill in those missing ticks?
by johnkd
Thu Mar 05, 2020 4:18 am
Forum: General Discussion
Topic: Historical Index Data Issues
Replies: 1
Views: 5740

Historical Index Data Issues

I am looking at some of the index data and I have several issues: - the times look very strange. For example on the FTSE 100, the 1-min bars run for 24 hours with the exception of a gap for the 21.00 - 22.59 period. HSI runs from about 09.00 - 01.00. (I use local times - London and Hong Kong for the...
by johnkd
Wed Jan 22, 2020 6:27 am
Forum: General Discussion
Topic: FX Volumes
Replies: 1
Views: 6091

FX Volumes

I'm struggling to understand the volumes in the FX data.

For example, on USDCAD:
20190718 01:03:00,1.30561,1.30565,1.30557,1.30558,64.5

What is the 64.5? Is it in units of 1000 or 1000000 ?

Thx
by johnkd
Tue Nov 12, 2019 12:58 am
Forum: Global
Topic: US Stock Tick Data
Replies: 0
Views: 100341

US Stock Tick Data

What is the source for the tick data for US equities? Is it NBBO?

Also, I just see bid/ask/bid volume/ask volume , but nothing on last trade which I understand that stock tick data should have (otherwise it is just the order book and no trades...).
by johnkd
Mon Nov 11, 2019 8:51 am
Forum: General Discussion
Topic: Exclude out of hours data
Replies: 3
Views: 8631

Re: Exclude out of hours data

It happens with Hang Seng Index data (using 1-minute intervals), some random datapoints before 9.30am and after 4pm.
by johnkd
Sun Nov 10, 2019 11:37 pm
Forum: General Discussion
Topic: Exclude out of hours data
Replies: 3
Views: 8631

Exclude out of hours data

For stock indices, the data includes several quotes before and after official trading hours. How can I exclude these from the data download?
by johnkd
Fri Mar 15, 2019 9:17 am
Forum: Issue/Bug tracking
Topic: Missing Stock Codes
Replies: 1
Views: 7603

Missing Stock Codes

I just purchased TickStory but looking through the stock listing there are almost no stock codes - zero for the US and only a handful for Europe. How do I access historic data for US tickers?

Thx