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 isnât really a problem since I donât want to be trading symbols with low volume anyway, but it was a surprise. Am I missing something? Thanks, David
what's the big deal? and what's the point to have a day without volume. i think they are correct. what you going to put in ohlc? data from previous day? it would be incorrect. zeroes? also wrong. and of course you can always add whatever by yourself.
Trading halts/suspensions are the typical reason for volume equal to zero. It could just be the stock is illiquid too. It could be a data error. Regarding "ABL" this is a defunct code - ABL is now an OTC stock ABLT. According to my records on 5 Jan 2011 it did have 900 volume across all exchanges and 700 volume was traded on its listing exchange (AMEX) so your volume data is in error as is your symbol information.