Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"I am a hedge fund manager here. It’s funny, I have a Bloomberg terminal and a Bridge feed, but I still like having my DTN feed!" - Comment from Feras
"I use IQ Feed, Great stuff as far as data analysis information, storage and retrieval is concerned." - Comment from Public Forum
"You have an excellent product !!!!!!" - Comment from Arely
"Thank God for your Data Feed as the only Zippers I see are on my pants (LOL), and no more 200 pip spikes to mess up charts." - Comment from Spiro via Email
"IQ feed is brilliant. The support is mind-bending. What service!" - Comment from Public Forum Post
"I would just like to say that IQFeed version 4 is running very well and I am very happy with its performance. I would also like to extend a big thanks for the fast and efficient help that I always receive. My questions and concerns are always addressed promptly. Way to go!" - Comment from Josh in CO.
"I was with ******* for 4 years at $230 a month, this is a huge savings for me, GOD BLESS YOU PEOPLE," - Comment from T.S. via Email
"I'm satisfied with IQFeed. It's the most reliable and fastest quote feed I have ever used. Although I'm a resident in China, it's still very fast!" - Comment from Xiaofei
"I am very pleased with the DTNIQ system for quotes and news." - Comment from Larry
"Interactive Brokers tick data was inconsistent, so I have switched to using DTN exclusively. It is great to no longer have to worry about my datafeed all day long." - Comment from Philippe
Home  Search  Register  Login  Blogs Recent Posts

Information on Various DTN Products:
DTN IQFeed | DTN ProphetX | DTN Ag | NxCore
Follow DTN_IQFeed on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »IQFeed Developer »IQFeed Developer Support »Historical OHLC bars for quotes (bid/ask)?
Author Topic: Historical OHLC bars for quotes (bid/ask)? (3 messages, Page 1 of 1)

vmitec
-Interested User-
Posts: 3
Joined: Mar 15, 2017


Posted: Mar 15, 2017 08:06 AM          Msg. 1 of 3
I am just getting started with IQFeed. In order to backtest some strategies, I need to retrieve 1-minute OHLC bars over extended periods of time (years)
So far, I only managed to get 1-minute OHLC bars for trades, but not quotes (bid and ask).
Is there a way to retrieve 1-minute OHLC bars for quotes?

Quotes are interesting too because they provide knowledge of the time-varying bid/ask spread and allow to simulate more accurately fills during backtesting.
I am familiar with Interactive Broker historical data. With Interactive Brokers, I can request OHLC bars for either the bid, the ask, the midpoint or for trades. Is there anything similar with IQFeed?

Thanks.

DTN_Tim Walter
-DTN Guru-
Posts: 987
Joined: Apr 25, 2006


Posted: Mar 15, 2017 08:35 AM          Msg. 2 of 3
Good morning,

Unfortunately, IQFeed does not store any historical bid or ask data within it's systems, but we do have other products with this type of data available for a one time purchase to supplement your usage, if you would like to talk about purchasing this kind of data just let me know and I can have someone is sales reach out to you.

Tim

vmitec
-Interested User-
Posts: 3
Joined: Mar 15, 2017


Posted: Mar 21, 2017 02:17 AM          Msg. 3 of 3
Thanks Tim for your reply. I will try to see what I can do with the data available through the API first and come back to you if I need additional data.

Vincent
 

 

Time: Fri March 24, 2017 10:49 PM CFBB v1.2.0 16 ms.
© AderSoftware 2002-2003