Posted: Oct 29, 2008 @ 02:58 PM             Msg. 1 of 4

I need the 10 day one-minute bar history for ESZ8 but many bars are missing and I can't tie the bars to my other data source (thinkorswim). My request is the following:

OECAPI()->SubscribeBars(OECAPI()->Contracts->Item((LPCSTR)dlg.m_SelectedSymbol), 0, 1.0/1440.0);

I slightly modified the OEC API COM C++ Sample code to request one minute bars and didn't modify the OnBarsReceived event.

The data received has many holes. There are no bars from 10/24/08 20:15:00 to 10/27/08 22:00:00. None of the bars in 10/28 and 10/29 are above 900 but the 10/28 closed above 900 and has remained above 900 all day today. On 10/24/08 from 09:00:00 to 13:30:00 almost all the OHLC values on every bar are 855.25 which is incorrect. I'm actually having trouble tieing to any of the bars in general. Is there something obvious I'm not factoring in? Even if I change timezones the data won't be correct.
Thanks,
Dan

Posted: Oct 29, 2008 @ 03:12 PM             Msg. 2 of 4

Actually subtracting 4 hours from the BarsReceived time answers several of my questions (:$) - but the 10/28 and 10/29 data not having any bars > 900 still is an issue.
Thanks!
Dan

Posted: Oct 29, 2008 @ 05:08 PM             Msg. 3 of 4

As of 4:45pm the BarsReceived for 10/28 and 10/29 (at least the data that is provided) is correct when requesting a 10 day history of 1 minute bars. I'm guessing OEC was waiting for the end of the trading day to correct and fill the 1 minute bar history. However, for 10/29 the data is not complete - the historical 1 minute bars jump from 12:59AM to 4:30PM. And now OnBarsEvent is getting called for every change in ESZ8 to which I am subscribed. However, during the normal trading hours this event was not being called - even though I was subscribed to it.

Anyway, in reading all the posts on this forum I get the impression I'll continue to run into these issues on the api.opencry.com server unless I connect to the prod or live server. Is this correct? Will the other servers provide a complete 1 minute bar history up to the current time whenever I request it? And will the other servers send bars to OnBarsReceived for my subscribed contracts during normal trading hours as well?

My demo account will expire soon and I'm willing to pay the subscription but I need to know the differences between the servers.

Thanks,
Dan

Posted: Oct 30, 2008 @ 08:41 AM             Msg. 4 of 4

We are researching problems with prices in the API environment.
Sorry for inconvenience.