Registered: Mar 2007
01-15-12 10:44 PM
I am building a system with IQFeed and when testing I noticed that historical daily data does not include days with zero volume. For example symbol ABL is missing data for 1/5/2011. Sure enough when I looked at ABL in another program there was a bar with zero volume (and no trading range). This seems to be quite common. When I downloaded data to all of the symbols in FinFiz (about 6700 major exchange symbols) using IQFeed, nearly 2000 had at least one day in the last 200 trading days with zero volume.
This isnt really a problem since I dont want to be trading symbols with low volume anyway, but it was a surprise.
Am I missing something?