May we please have accurate historical prices?

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Andrew
May we please have accurate historical prices?

This morning I was testing a strategy on my home-brewed trading app.

At 10:11 a position in my IG Demo account was stopped out unexpectedly. My test platform confirmed (from data imported via the REST API's historical prices endpoint) that it would've gone on to reach the limit level.

After a little investigation I noticed that the real level I was stopped out at was actually beyond the high/low price range indicated by the REST API's historical price feed for that moment in time. In fact the feed was out by a good couple of points.

My technical analysis and entry timing is being calculated from the data feed, which isn't actually historically accurate. IG confirmed this over the phone, explaining that the historical prices are generated by a different system to the live pricing engine.

So a word of warning to anyone attempting to calculate short term entry/exit points from the historical feed is that it isn't accurate!

IG, could we please have a accurate data in the price history?

Thanks
Andrew

stevie12345
Historical Prices

Hi Andrew - I think you are saying that if you fetch a historical datapoint for, say, the previous 5 minute period, then you can find that the high or low given in the datapoint are in fact incorrect. So obviously this is a major problem for algorithm development. Did you get any resolution to this? Have you worked out how frequently these inconsistencies occur? Are you still trying to develop in this way with IG?

I am trying to do the same thing - but this worries me greatly.

Also I find that the limit of 10,000 historical data points per week is rather crippling - plus it seems that there is only 12 months of data available for forex - at least for 5 minute data. No good. Should I be getting historical data elsewhere? If so, I would think that I am risking much greater inconsistencies.
Steve

Konsti
Hi guys,

Hi guys,

Here is an extract from a message that I received from IG that might be interesting for you.

"The historical data you would receive via the REST API would not be the underling market data for indices. Instead, it would be for the instrument that we actually quote. For example, if requesting data for our FTSE 100 Cash market, you would get historical data for that instrument's price, not the underlying FTSE cash or future. This applies to the open, high, low, and close. We price our indices using the front-month underlying future, and then adding or subtracting the relevant fair value."

If you would like to have high frequency data from past year, maybe I can help you. Let me know.

Chris
Historical Prices

Hi all,

Just wanted to clarify this. In general, the historical data we provide will be an accurate representation of what we streamed in real-time. There are, however, a number of exceptional cases:

- Erroneous data points have been retrospectively corrected;
- Corporate actions have been retrospectively applied;
- Historical data has been synchronised between our production environments. It is possible that one environment observes incoming pricing ticks in a different order than the other, and hence publishes different prices. We consider that neither is better or worse than the other, they are just different observations of distinct distributed asynchronous systems.

Hope this makes things clearer.
Chris

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