- ago
I am using IQFeed as the data provider. DTN's reporting of OHLC data for a daily bar seems clear, but volume appears more complex due to after hours volume and when dark pools report.
IQFeed appear to provide data with continuous corrections.
I assume in WLP8 Data Manager the IQFeed historical data provider extension implements GetHistoryInternal which then takes IQConnect Total Volume Field directly without modification.

I normally update the datasets 5 mins after the close everyday, however if I use data manager to truncate the previous few days of the dataset and then update, then I appear to get slightly larger volume reported for all the days.
This suggests data manager does not automatically handle updates to historical volume corrections, both to the current day as well as previous days.
I assume the IQFeed extension supports GetHistoryInternalWithCorrections. It is unclear to me if this is being used by data manager.
If GetHistoryInternalWithCorrections is being used then this appears to have a bug.
If GetHistoryInternalWithCorrections is not being used then could it with the startdate as the previous date which (I assume) would then cater for almost all after hours and dark pool corrections and not be a significant data reload time adder.

Alternatively I could try to programmatically truncate and reload the dataset.

Perhaps I could also adjust the time that I update the dataset in order to try to get the final volume. Presumably I should wait until after hours closes for US stocks at 8:00pm eastern time, or wait until the day ends at midnight (which gives me no time to review strategy results before the next day). I believe dark pools dont need to report until the next day for some transactions, so truncation and reload or correction support of the data seems to be required in order to get accurate total volume data for the day.

Thanks Phil
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Cone8
 ( 4.98% )
- ago
#1
Requested history is cached. It's not requested again, unless you delete the cache. So, no, we're not applying corrections.

Look at it another way. When you're trading, you're not going to get corrections in real time either. Unless there's something really out of whack, what's the point? It's just my opinion, which can change with evidence.
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- ago
#2
QUOTE:
Requested history is cached. It's not requested again, unless you delete the cache. So, no, we're not applying corrections.


Thanks. This is what I needed.
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