WANTED: NASDAQ 1-Minute History Data

Discussion in 'Data Sets and Feeds' started by almis, Nov 21, 2006.

  1. rdg


    I bought a data set from pitrading and am pretty happy with it. I was more interested in the indicator data than the single stock data, so I didn't analyze the quality of the stock data. The indicators match pretty well what I could find elsewhere. It is missing a tiny percentage of 1 min bars, so I had to interpolate the missing bars, but it was such a small amount that it wasn't a big deal at all.
    #11     Oct 25, 2008
  2. optimum


    I found your spreadsheet very interesting, since I am contemplating buying their next DVD release.

    I sent an email with the link to your posting to PiTrading (support@pitrading.com) , also asking when the next DVD would be cut and got this reply, posted with their permission:

    > When is your next scheduled release and when it is released thru what
    > date >will it be current?

    Thanks for your inquiry.

    The historical data CDs are updated on a quarterly basis. The current version is updated through October 3rd, 2008. The next update is scheduled for January 12th, 2009; updated through January 9th, 2009.

    > Can you comment on the gaps in data?

    From a quick review of the forwarded spreadsheet, it appears the author of the analysis is not familiar with the ASCII file format.

    In the ASCII specification, a bar is only recorded if the volume within the time interval is not zero. If no transactions occurred during a 1 minute time frame, the bar is not recorded to the ASCII file as it would be redundant.

    The author assumes each market day is is composed of a constant 390 bars based on a 1 minute interval (6 1/2 hours * 60 min/hr). This is not a correct assumption for various reasons. The simple example of the error in analysis is July 3rd, 2008 where approximately 210 bars are recorded. On this day, the market closed early for the holiday on the 4th, therefore assuming 390 bars would not be correct based on the
    3 1/2 hour trading day.

    All ASCII feeds will show similiar missing bars where no trading volume occurs during the underlying interval of the data.

    You are free to quote the above reply in your forum if you feel the answer will be helpful to your other members.

    Any other questions or comments, please feel free to ask.

    Best Regards...

    -- Michael Schevis
    -- Pi Trading, Inc.
    #12     Dec 22, 2008
  3. optimum


    Sorry, I seem to have posted my repky to the wrong thread. I'll find the right thread and post it there.
    #13     Dec 22, 2008