Support Board
Date/Time: Sun, 02 Feb 2025 09:59:23 +0000
Post From: TDA data errors
| [2019-07-27 02:04:05] |
| User847960 - Posts: 1 |
|
I am doing stock scanning of ~500 stocks. I know TDA's data quality is sub-par but since I am only doing 5min bar analysis, it's a good choice. Here is the issue: My python code will do DTC request of 5min bar to SC, and I've noticed some anomalies (this is IBM) dump out the result shows (UTC time), see the 13:45 bars are repeating!! also the 13:55 ones. [48610] 24-Jul-2019, 13:40:00, 150.77, 150.96, 150.61, 150.93, 32914 [48611] 24-Jul-2019, 13:45:00, 150.92, 151.09, 150.92, 151.05, 27767 [48612] 24-Jul-2019, 13:45:00, 151.05, 151.09, 151.03, 151.06, 3873 [48613] 24-Jul-2019, 13:45:00, 151.08, 151.08, 151.06, 151.06, 1385 [48614] 24-Jul-2019, 13:45:00, 151.09, 151.14, 151.04, 151.09, 6809 [48615] 24-Jul-2019, 13:46:00, 151.10, 151.10, 151.10, 151.10, 313 [48616] 24-Jul-2019, 13:46:00, 151.14, 151.24, 151.14, 151.24, 6234 [48617] 24-Jul-2019, 13:47:00, 151.22, 151.45, 150.78, 150.78, 101496 [48618] 24-Jul-2019, 13:50:00, 150.79, 150.80, 150.49, 150.52, 125108 [48619] 24-Jul-2019, 13:55:00, 150.50, 150.52, 150.46, 150.51, 1953 [48620] 24-Jul-2019, 13:55:00, 150.48, 150.52, 150.26, 150.26, 29242 so I went to SC and dump the intraday data and then this: 2019/7/24, 13:45:01.143, 150.92, 150.93, 150.92, 150.92, 1498, 7, 1498, 0 2019/7/24, 13:45:06.494, 150.93, 150.94, 150.93, 150.94, 1101, 5, 0, 1101 2019/7/24, 13:45:10.566, 150.95, 151.09, 150.95, 151.05, 25168, 85, 1191, 23977 2019/7/24, 04:00:00, 151.05, 151.05, 151.05, 151.05, 63, 1, 63, 0 2019/7/24, 13:45:15.651, 151.05, 151.05, 151.05, 151.05, 400, 4, 400, 0 2019/7/24, 13:45:23.420, 151.03, 151.03, 151.03, 151.03, 826, 2, 826, 0 2019/7/24, 13:45:25.542, 151.04, 151.07, 151.03, 151.07, 1660, 17, 1008, 652 2019/7/24, 13:45:33.92, 151.09, 151.09, 151.06, 151.06, 987, 2, 986, 1 2019/7/24, 04:00:00, 151.09, 151.09, 151.09, 151.09, 658, 3, 0, 658 2019/7/24, 13:45:38.505, 151.08, 151.08, 151.08, 151.08, 1206, 4, 1206, 0 2019/7/24, 13:45:42.686, 151.06, 151.06, 151.06, 151.06, 179, 2, 179, 0 2019/7/24, 04:00:00, 151.06, 151.06, 151.06, 151.06, 46, 1, 46, 0 2019/7/24, 13:45:47.116, 151.09, 151.09, 151.06, 151.06, 1272, 6, 1270, 2 2019/7/24, 13:45:51.812, 151.06, 151.08, 151.06, 151.08, 200, 4, 1, 199 2019/7/24, 13:45:57.38, 151.05, 151.06, 151.05, 151.06, 411, 5, 310, 101 2019/7/24, 13:46:00.938, 151.05, 151.05, 151.04, 151.05, 1056, 10, 187, 869 2019/7/24, 13:46:07.693, 151.05, 151.05, 151.05, 151.05, 100, 2, 0, 100 2019/7/24, 13:46:10.111, 151.07, 151.14, 151.07, 151.14, 2804, 14, 602, 2202 2019/7/24, 13:46:16.897, 151.09, 151.09, 151.09, 151.09, 130, 3, 130, 0 2019/7/24, 13:46:20.235, 151.09, 151.12, 151.08, 151.09, 835, 9, 4, 831 2019/7/24, 13:46:30.204, 151.09, 151.09, 151.09, 151.09, 1, 1, 0, 1 So it's those timestamp of 04:00:00 records at fault. The question is: Why this is happening, and why SC's own 5min chart is fine (no multiple 13:45 bars) while the DTC does?? |