Hi all,
I just noticed a strange "data corruption" issue. I was going crazy as to why my program couldn't find a most obvious capitulation bar in my data from yesterday (3/6/26). I had been following manually during the day, streaming using Schwab data. There was a high volume bar at 3:02pm of 1.15M (versus average 40-60K in the hours preceding), which I captured on a chart. Then running a backtest program, I was getting frustrated as to why I couldn't find that bar with the program, until I looked at a chart and noticed that it was erased. I then manually checked against yahoo finance on the web, and yes that large volume bar was real, but somehow disappeared on my WL8 dataset. Anyone have any idea how this happens, and how to fix it (in an automated fashion, so it doesn't happen again)? I'm pretty sure it is all from the same data provider (Schwab). I'll attach some screenshots.
Unfortunately, Schwab only provides like 9 months of 1-minute bars, so if I "restart" with a fresh file, I will have lost many decades of data on 1-minute bars.
I just noticed a strange "data corruption" issue. I was going crazy as to why my program couldn't find a most obvious capitulation bar in my data from yesterday (3/6/26). I had been following manually during the day, streaming using Schwab data. There was a high volume bar at 3:02pm of 1.15M (versus average 40-60K in the hours preceding), which I captured on a chart. Then running a backtest program, I was getting frustrated as to why I couldn't find that bar with the program, until I looked at a chart and noticed that it was erased. I then manually checked against yahoo finance on the web, and yes that large volume bar was real, but somehow disappeared on my WL8 dataset. Anyone have any idea how this happens, and how to fix it (in an automated fashion, so it doesn't happen again)? I'm pretty sure it is all from the same data provider (Schwab). I'll attach some screenshots.
Unfortunately, Schwab only provides like 9 months of 1-minute bars, so if I "restart" with a fresh file, I will have lost many decades of data on 1-minute bars.
Rename
A Historical Provider can change data for many reasons (corrections, bust trades, etc.), but bars built from conflated Streaming data from broker Providers like Schwab and IB will frequently not match the historical bars.
Read this for all the details and possible solution (Streaming bars in the S. Monitor):
All About WealthLab Intraday and Realtime Data Providers
Since IQFeed ToS doesn't even show it (nor does ThinkOrSwim), we can only assume that that volume printed on that bar was corrected.
Here are all the trades more than 500 shares of volume between 3:00 and 3:03PM.
Read this for all the details and possible solution (Streaming bars in the S. Monitor):
All About WealthLab Intraday and Realtime Data Providers
Since IQFeed ToS doesn't even show it (nor does ThinkOrSwim), we can only assume that that volume printed on that bar was corrected.
Here are all the trades more than 500 shares of volume between 3:00 and 3:03PM.
Thanks Cone for the insight! Have a great weekend
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