When I request intraday historical data using the `get_timeseries` function, I occasionally receive entries with NaN prices, a count of -1 and some positive volume figure throughout the entire trading day. What is the practical significance of these data entries?
You can replicate it using the following code examples (Note: time is UTC!):
df = ek.get_timeseries('CRM', start_date='2020-07-24T20:00:00', end_date='2020-07-24T21:50:00', interval='minute') df.head()
df = ek.get_timeseries('CREE.O', start_date='2020-07-24T15:40:00', end_date='2020-07-24T15:50:00', interval='minute') df.head()
Unfortunately, I could not find any explanation on this forum as to what these rows represent.
The value of -1 returned for the COUNT field, or the equivalent "#N/A" value returned by RHistory function in Excel for TRDPRC_1.Count field, signifies that there were no trades within the time interval that satisfy the criteria to be included into open, high, low, close summarization. For US stock exchanges the rules that govern which trades, times and condition codes affect open, high, low and close prices are published by Consolidated Tape Association. The types of trades that are excluded from open, high, low and close include odd-lots, average price trades and cash trades. You can find the complete rules here: https://www.ctaplan.com/tech-specs under CTS Binary Output Specifications. In your example for CREE.O on 2020-07-24 between 15:40 and 15:41 there was one trade, which was excluded from open, high, low, close summarization because it was an average price trade.
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