IB -- How to Interpret Diff Btw DAY Close & MIN05 Close ?

Discussion in 'Interactive Brokers' started by CharlesS, Jul 18, 2019.

  1. CharlesS


    Today, TWS charts have the following data for the USO CLOSE yesterday, 2019-07-17:

    DAY CHART: 11.75
    MIN05 CHART: 11.76

    I've seen this kind of inconsistency before.

    Does anyone have any perspective on this ?

    Regards, Charles
  2. Metamega


    Has to do with time stamps and the way the data is arranged into 5 minute,1 minute time intervals. Seen similar thing running IQFeed data before.

    So if you turn on IB and allow to see extended hours trading. The Open of the bar stamped 16:00 is the daily close. But that bars close is 16:05 so when you don't allow extended hours trading on the chart, it won't show it.

    When using a 5 minute chart(or any interval) the last candle is from 15:55:00 to 15:55:59, close is at 16:00:00. Not sure about IB but most data vendors/suppliers usually supply intraday data and Daily data separately so its not like they just take the 5 minute data and make a daily bar from it.

    Just quickly checked a TWS demo I had installed and looked like that to me.
    CharlesS likes this.
  3. Not anymore, iqfeed, has in its api switched to timestamping the open of a bar by default. So, a 5minute bar stamped at 355pm includes data between 355pm and 4pm. Of course if you use a third party vendor which just accesses iqfeed then it depends on their api configuration.

  4. Could it be that an auction is held at the close, or shortly after the close? And that the result of this auction is included in the "official daily close", but not in the close of the regular last 5 minutes of trading?
  5. Metamega


    Sorry I had the issue with IQFeed plugin with Amibroker. Never used their API
  6. CharlesS


  7. CharlesS


    Thanks Metamaga.

    Suggests to me then that trading conditions on EOD price should use EOD DAY chart/data.

    I suppose we could refer to this as an "EOD GAP" !