I have some vacation coming up and am trying to build a intra-day database with IQFeed.
The issue is that IQFeed uses what I guess some would call a forward looking time stamp.
Example : A bar labeled 9:30:59 is data from 9:30 to 9:30:59 .
Preferably I'd like to use 5 minute as a download interval but I think that 1 minute might be the way to go to get some sort of work around.
My settings are to show day session only and 1 min bar download.
The issue is that it is not possible to get the official close with intra-day download. With the show "Show Day Session Only" the last bar used is stamped 3:59:59 and the official close is actually the open of the next bar stamped 4:00:59 as the U.S closing auction is at 4:00.
This isn't an issue with my TSX Database as they do not have a after-hours auction. This only seems to be an issue with largely traded U.S stocks like AAPL that have fairly active after hours trading.
The only solution I can think of is to run two instances of Amibroker(but this still would be an issue if using intra-day backtesting) or to look into using something like QCollector and making my own database and mixing EOD and Intraday data which I believe is possible with ASCII.
Ideally it'd be as simple as tacking the Open from the 4:00:59 bar onto the close for EOD close or 4:04:59's open if using 5 minute bar.
Thanks for any tips or advice
Posted by: brandon.richard03@yahoo.com
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