Nulls and 0's in Tick History prices

dinos

to Stefanos, aleksandra.kluczniak, bruno.touma, prajesh.manglani

After running a report for chart pricing I have noticed that we receive bad fields (0 values, or null values)

here is an example of 0 values in pricing

#RIC,Domain,Date-Time,GMT Offset,Type,Open Bid,High Bid,Low Bid,Close Bid,Open Ask,High Ask,Low Ask,Close Ask
AAPL.OQ,Market Price,2018-09-11T08:00:00.000000000Z,-4,Intraday 1Hour,0,0,0,0,219.25,219.25,218.98,219.25 
ADBE.OQ,Market Price,2013-10-05T00:00:00.000000000Z,-4,Intraday 1Hour,0,0,0,0,0,0,0,0 
ADBE.OQ,Market Price,2013-10-07T22:00:00.000000000Z,-4,Intraday 1Hour,50.48,50.48,0,0,0,0,0,0 
ADBE.OQ,Market Price,2013-10-08T21:00:00.000000000Z,-4,Intraday 1Hour,0,0,0,0,50.71,50.71,50.71,50.71 
ADBE.OQ,Market Price,2013-10-08T22:00:00.000000000Z,-4,Intraday 1Hour,0,0,0,0,0,0,0,0

here are examples of null pricing

#RIC,Domain,Date-Time,GMT Offset,Type,Open Bid,High Bid,Low Bid,Close Bid,Open Ask,High Ask,Low Ask,Close Ask
ESNT.L,Market Price,2015-12-03T18:00:00.000000000Z,+0,Intraday 1Hour,,,,,873.5,1050,873.5,1050 
ESNT.L,Market Price,2015-12-24T14:00:00.000000000Z,+0,Intraday 1Hour,808,808,808,808,,,, 

I have 99 of 114 different RIC codes i tried that have this problem.I have a csv with more examples but the file upload limit here is too small. here is a link to the file https://transfer.sh/kyQHM/badprices.csv

Christiaan Meihsl

@dinos,

Introductory caveat

I'm not a data or GUI specialist, what follows is only the result of my trying to find a logical explanation to what you observe. If you want a validated answer, you really need to talk to a data specialist, as suggested previously.

Intraday bars calculation

You are making an Intraday Summary request. The intraday bars are calculated by our servers, based on the pricing data received from the exchanges.

Exchanges do not necessarily publish data in the same format, especially when markets close or open. There are exchanges who publish prices with a value of 0, as a reset signal, to indicate market open / close - this seems to be the case for Nasdaq. Others will not publish values if there is no price - this seems to be the case for LSE.

0 values

I guess our servers calculate the bars every time they receive numerical values, so when they receive 0 values from Nasdaq they assume data values are present, and use them in the calculation, which delivers a value of 0 that you see for ADBE.OQ. at market close.

Empty values

As LSE does not publish 0 values, you get empty results instead of prices = 0.

TimebarPersistence

For Intraday Summary the parameter TimebarPersistence has an influence. If true it returns more lines (because it persists calculation results from the previous interval, to ensure you have bars for all intervals). If false it returns bars only for the periods where there was some actual data published by the exchange (which can include 0 values, either for bid or ask, or maybe even for both).

Conclusion

Empty values (null pricing) are normal. They simply indicate that there was no available data for that particular field, which can happen for different reasons (out of market hours, holiday, inactive instrument, etc.). In your examples it seems related to out of market hours data. They come in different flavors (empty of 0 values). Your code needs to handle these different cases.

Side note

There are user preference settings that influence how null values are returned in some specific cases, but they do not apply to Intraday Summaries. You will find them in the GUI:

Hope this helps, even if it comes a bit late.