Data Integrity - Splits, gaps, spikes, whatnot.

[wksea]

splits

my splits still aren't correct. CMCSA, Trmb using 5.1.021 guess I need to go the QFAI route?

[doctoroe]

certain quites not working

Some quotes are not working this morning. BDCO for example. Charts working on that one but shows up blank in quote sheet even though there has been substantial price movement. On some other nasdaq stocks quotes seem to be working.
FYI

[collective]

Nasdaq data very incomplete this morning (Feb26)

Hi All,

This message is specifically for QCharts development.

Nasdaq data seems to be all messed up today. I'm barely seeing ticks on instruments which should do millions of shares a day.

Example: LRCX showing 198,000 shares at 9:55Am while Yahoo finance is showing me 464,000 and that one is with 15 minutes delay.

By any chance: did you guys forget to implement the Nasdaq UTP feed SIP 10.0 specifications which have gone into effect today?
Is so, you're probably missing about half of the ticks out there.

Update 11AM: the problem only seems to be on the Quote data feed. When I try the same with QCharts 6 connecting to ESignal servers, the volume is fine (and so are the daily bars, by the way, which are messed up today in QCharts 5.1)

Please advise,

Walter

[JayF]

Walter,

We did have some issues on the Continuum network w/ NASDAQ stocks this morning. This was the result of a feed-based issue at our data vendor (possibly relating to the NASDAQ feed change you mentioned.) Once our vendor switched to a back-up facility, this problem was corrected.

[ckelly]

Seems that charts in general are a little messed up today.
Carol

[JayF]

My 5.1 seems ok on that sym (and the Dow30 as well) w/ the default BB setting (20,2). Can you double check the settings for your BB to see if something changed? You may also want to try removing them and putting them back in.

[Larry Marchman]

QQQQ - 2/26/2007 spike

Please repair QQQQ Daily bar - 2/26/2007 Low should be 44.76.
Screenshot attached.

[ckelly]

Please repair FXI Daily chart for 2/27/07. Current low is 93.35, not 1.00.

Thanks,
Carol

[ckelly]

Please correct PG's daily candle for today, 2/27/07.

Thanks,
Carol

[Larry Marchman]

Daily vs Intraday chart close values

.

Originally posted by ckelly
Please correct PG's daily candle for today, 2/27/07.

Thanks,
Carol

Actually, for PG that's a valid Daily Bar, assuming the trade described below was valid, which it most likely is.

A little blah blah on how things work mechanically....
A 390 minute chart charts 9:30-16:00.
However, a RTH (RegularTradingHours) day isn't necessarily limited to 9:30-16:00.
Market-on-close are reported after 16:00 as RTH trades.
Also sometimes back room brokered deals get reported as RTH after 16:00.
An RTH trade will be reflected in the Daily bar.
This is normal.
An intraday chart has a mechanical cutoff.
Namely the last trade before 16:00, the latest possible being 15:59:59.
So, an intraday chart can not be used to state what a Daily Bar should equal.
There will be differences usually between an intraday and Daily "close",
normally slight, but sometimes large depending on conditions.

A T&S BATE field = Trade and Indicator field empty is RTH.
A T&S BATE field = Trade and either Form-T(Nasdaq stocks) or Agency Cross(NYSE, AMEX)
is ETH (All Sessions...ExtendedTradingHours)

The attached screenshot shows a somewhat large RTH trade for PG that hit after 16:00.
This trade, fwiw, is also in the eSignal feed, and is included in the eSignal Daily bar.
Yahoo has 61.25 Daily close. My Broker has same.
If this were just a rogue outlier spike, the subsequent trades would not have proceeded at the same price.

Regarding RTH and ETH indicators (Form-T, Agency Cross), here's a post at YahooGroups with
additional info, and with a different example not involving the unusual activity that happened today
with today's sell off. Subj: Daily vs Intraday Close prices
http://finance.groups.yahoo.com/grou.../message/43412

LAM

[ckelly]

Please generate candles for EEM for the last 9 days.
Thanks,
Carol

[tradertom]

Please correct QQQQ quotes. The high for 2/28 is displayed as 100,000 on the Daily and larger charts. Intraday charts seem OK.

Thanks
T

[bpschultz]

Bad data for EWS

Please correct the daily chart on 2/27/07 for EWS. The high is obviously wrong. Thank you.

[collective]

Hi,

Over the last couple of days I've seen some serious delays on ticks on some symbols in QCharts 5.1.

I have another feed running next to QCharts which is how I can see these anomalies. Although the delay indicator at the bottom of the screen might say 0.23sec, I have seen ticks coming in almost 40 seconds overdue. Because I think your servers re-timestamp the ticks when they come in (so not using the original market timestamp), this problem isn't a QCharts issue as such but a problem with your data provider which you might not be aware of.

I can tell you it's pretty scary looking when your system on 1 feed suggests an action while the chart on QCharts only confirms this event half a minute later. It's extremely confusing when you have to trade based on those 2 temporal contradicting sources of information.

Greetz,
Walter

PS: the QCharts 6.0 connection to the ESignal infrastructure seems to not have this problem in the same magnitude.

[JayF]

Originally posted by ckelly
Please generate candles for EEM for the last 9 days.
Thanks,
Carol

Looks like this data is over on NYSE:EEM right now. We're investigating...