Ticker | VRSN |
From | 2007-05-11 00:00:00 |
To | 2007-05-11 23:59:00 |
Security Type | Equity |
Market | USA |
Resolution | Minute |
Status | Resolved |
https://www.quantconnect.com/data/file/equity/usa/minute/vrsn/20070511_quote.zip/20070511_vrsn_minute_quote.csv
JayJayD
Thank you Giordano Tomassorri for reporting this issue.
I just confirmed it and we're working on the patch.
QuantConnect Robot
JayJayD has marked this issue as in progress.
JayJayD
Giordano, this is a quite interestring case.
We receive raw tick data consolidated from the Securities Information Processor (SIP).
The raw quote data is very noisy, to the point that a filtering logic must be applied to get realistic aggregated bars at minute and second resolution.
One of the filters we apply to tick quotes before aggregation is removing Odd Lot ticks i.e., ticks with a size smaller than 100.
Most of the quotes for this security for this day were odd lot. Please check the plot below; it was generated from the tick data.
Notice how more than 99% of the size of the quotes is smaller than 100.
That's the reason why the observed behavior, we only aggregated the quotes with size greater or equal than 100.
QuantConnect Robot
JayJayD has marked this issue as closed.
Giordano Tomassorri
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