Help Please

Discussion in 'Automated Trading' started by overbet, Jun 18, 2009.

  1. overbet


    I ordered historical price data for some stocks from and I dont understand it. Basically I got 10 minute price data and I dont know if they are giving me the last price for right at 10am or is it an average price. Is it the price from 9:50 to 10 or 10 to 10:10? Appreciate the help. Jason
  2. what is the name of the product you purchased at

    I looked and there are many historical price databases for purchase

    If you know the name of the thing you purchased, the spec sheet should tell you how to read the data.
  3. You should ask the vendor but...

    Generally speaking... check what time the data for each day and ends. If the data starts when the market opens then 10:00 = 00 to 10, if not the opposite.
  4. overbet


    I purchased TAQ data. The Data is all markets from premarket trading to after hours. I think I figured it out by looking at the prints. I think it is 9:40 data for 10 minute is 9:30 to 9:40 data. I searched the vendor website and couldnt find anything. I also sent them an email and read the forums. Unfortunately it looks like there is about a months wait for a reply. Any suggestions on other data providers with better support? thanks for suggestions. Jason
  5. I am confused.... TAQ is trades and quotes... this is raw trades, so you won't have intervals or 10minute intervals. what file ar eyou looking at in the TAQ?

    here is the TAQ product page:

    there is an example of each included file's format specifications on the page above...

    eg here is sample data from same page for the daily trades file:

    075955685	T	A	FT	000000100	00000368600	N	00	0000000000004354	C	
    083409208	D	A	T	000001905	00000375700	N	08	0000000000006251	C	T
    084624850	D	A	T	000001905	00000375700		10	0000000000006252	C	T
    085402745	P	A	T	000000100	00000375700	N	00	0000000000007957	C	
    090521461	P	A	T	000000200	00000375700	N	00	0000000000008692	C
    the first field is the time, so first trade is at 7:59:55 and 685 millseconds approx, for 'A' on nasdaq. this is listed when you click 'specifications' next to the file sample information.
  6. overbet


    You can use TAQ in 10 minute interval. See attachment. Thanks

    Custom TAQ

    Custom TAQ allows you to view an extract or summary of trading activity (sorry, quotes not yet available) for specific symbols and time periods.

    To create your custom report, make your selections below:
    1. Choose Stock(s) Help
    Choose the stocks that you would like included in your custom trade report. Choose "All Stocks" to get a custom report for all stocks traded during the chosen time period. Choose "Single Stock" to get a custom report for just one stock: enter a single stock symbol in the textbox.
  7. ah I see, they give you something to generate bars from the trades.

    it should be that the 'bar' or 10 min interval is stamped with the time of the first tick in the bar, not the last. so 8:10 would start at 8:10.

    you can verify this for yourself though, if you look at the raw TAQ daily trades file for the same date/symbol... eg your first bar starts here at 8:10am... so if the first trade occurs before 8:10 then it refers to the end of the bar if it occurs at 8:10 or later then 8:10 is the first tick in the bar... as we'd expect.
  8. overbet


    That makes sense but didnt have any data less than 10 minute. Guess I'll buy some and figure it out. Thanks for the help. Good trading. Jason