Hi, I currently use IQFeed as my live and historical bar provider. However, up until recently they were including sold out of sequence ticks in their bar data. For example, on MU at 2018-03-14 09:34:12.634561 there was a Form-T Sold Out of Sequence with the value of 60.699. These SoS ticks create large highs and lows that will trigger stops in backtesting. However, such trades would never actually trigger a realized trade in a live trading environment. I have emailed a number of 1 minute intraday bar providers, but only one has gotten back to me and told me they do clean their bar data (barchart). However, they don't seem like dealing with a non-company individual. Does anyone know of a another data provider that cleans their bar data?
It's not the fact that IQFeed is sending invalid data that would need to be 'cleaned'. It's because all trades are included in their feed ('out-of-sequence' as well). They do provide a flag indicating the type of trade (like 'out-of-sequence'), but they're sending it only in their live feed and in their tick historical data, it is not included in their historical aggregated data.
Hi rb7, I have talked to support at length with IQFeed on this. If you are a member, you can see the the thread in the developer forums in the wishlist section. They have changed it so that the bar data will no longer come with sold out of sequence ticks. Their tick data does have multiple flags for all the sold out of sequence ticks, but no such flags on their bar data. The problem will be fixed from now on with their historical data, but bar data from Feb 2018 back will include the sold out of sequence ticks. They said that they do not have the underlying tick data to rebuild those historical bars. They said they were discussing going back and changing the bars but I would rather just get the data I need now so I can start backtesting on it without the sold out of sequence ticks.