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VRSN, Minute The issue starts from May 11th, 2007 12:00 AM; and continues until May 11th, 2007 11:59 PM

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
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Thank you Giordano Tomassorri for reporting this issue.

I just confirmed it and we're working on the patch.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


JayJayD has marked this issue as in progress.

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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.

9081_1586475495.jpg

That's the reason why the observed behavior, we only aggregated the quotes with size greater or equal than 100.

 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


JayJayD has marked this issue as closed.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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