WL8 Build 27
IQFeed Build 9
The following pictures describe the problem. Time frames of daily and 60 minute seem to be OK. Time frames of 30 minute and less are affected.
Date 7-13-17 - 30 Minute bars.
Date 7-13-17 - 15 minute bars.
IQFeed Build 9
The following pictures describe the problem. Time frames of daily and 60 minute seem to be OK. Time frames of 30 minute and less are affected.
Date 7-13-17 - 30 Minute bars.
Date 7-13-17 - 15 minute bars.
Rename
There are a few things at play here.
1. IQFeed does not adjust intraday data for splits - so we have to do it.
2. IQFeed supplies only the last 2 splits - so we use an embedded resource that we update periodically for previous splits.
3. The spikes are a result of a Opening price correction from Daily data because you have configured "Regular Session Only" . (Note that the open spike is actually the correct price!)
4. It looks like the problem here occurred because our resource file has 7/17/2017 as the split date, but IQFeed is returning 7/14/2017. Consequently this split was applied twice - once on the 17th and again on the 14th. We'll have to investigate which is correct (Yahoo! Finance has it as the 17th.)
For now, you can correct it by applying the reverse split. However, you'll need to normalize those opening prices first by refreshing the chart first:
1. Disable the "Regular Session Only" option in IQFeed settings
2. Right click the chart and "Reload Chart Data from Provider"
3. Right click the first bar on 7/14/2017 and select "Apply a Stock Split". Enter 1 to 2 for the Split Factor.
4. Repeat for each chart scale you're using
5. Re-enable "RSO" from #1.
1. IQFeed does not adjust intraday data for splits - so we have to do it.
2. IQFeed supplies only the last 2 splits - so we use an embedded resource that we update periodically for previous splits.
3. The spikes are a result of a Opening price correction from Daily data because you have configured "Regular Session Only" . (Note that the open spike is actually the correct price!)
4. It looks like the problem here occurred because our resource file has 7/17/2017 as the split date, but IQFeed is returning 7/14/2017. Consequently this split was applied twice - once on the 17th and again on the 14th. We'll have to investigate which is correct (Yahoo! Finance has it as the 17th.)
For now, you can correct it by applying the reverse split. However, you'll need to normalize those opening prices first by refreshing the chart first:
1. Disable the "Regular Session Only" option in IQFeed settings
2. Right click the chart and "Reload Chart Data from Provider"
3. Right click the first bar on 7/14/2017 and select "Apply a Stock Split". Enter 1 to 2 for the Split Factor.
4. Repeat for each chart scale you're using
5. Re-enable "RSO" from #1.
I'd have to say that IQFeed is returning the wrong date:
1. Multiple sources show 7/17/2017 as the split date, and,
2. Since IQFeed doesn't split the intraday, the data on 7/14/2017 would have been at the wrong level if the ex-date were not 7/17/2017.
1. Multiple sources show 7/17/2017 as the split date, and,
2. Since IQFeed doesn't split the intraday, the data on 7/14/2017 would have been at the wrong level if the ex-date were not 7/17/2017.
I saw that the split was supposed to be on 7-17-17 and the SplitsDetected.txt file has the split on 7-17-17.
I will not make any adjustments to UDOW at this time. I'll just limit the strategies to 5 years.
I think I will contact IQFeed next week and report this to them.
I am a little disappointed that I will have to forego the $12,221,379,999,532,500,000,000.00 profit on UDOW that my strategy yielded!
Thanks for your help.
I will not make any adjustments to UDOW at this time. I'll just limit the strategies to 5 years.
I think I will contact IQFeed next week and report this to them.
I am a little disappointed that I will have to forego the $12,221,379,999,532,500,000,000.00 profit on UDOW that my strategy yielded!
Thanks for your help.
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