I am adding IQFeed to get around IB's 100-symbol limit. Their interface has a boolean called "RTH" that will limit daily high, low and volume information to the exchange's regular trading hours. I have looked at the documentation, but can't find any similar option in the IQFeed. Can you fill me in on how this is handled here, by flag or by programming code?

Thanks.

We don't have a function that would provide what you are looking for, but we do have specific symbols if a commodity trades in multiple sessions. The electronic session usually starts with "@" for the symbol while the pit session would not. A combined session symbol is also available for many of these and those symbols would start with a "+".

Other than that, it would be up to the software package you are using with IQFeed to handle the custom timeframes you want to view or calculate data for.

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Jay Froscheiser
DTN - Trading Markets

Thanks for your reply. I am trading equities and have to know the regular session high and low. Just to confirm, the update message's High and Low fields show the high/low price starting at 0000 Eastern time? Therefore, I have to maintain my own high and low using update message data from 0930 to 1600 Eastern time. Is this correct ? Thanks.

Correct, sort of. The high and lows are the exchanges official high and lows, which according to their rules can only be set during the regular market hours. Thus, if the stock skyrockets after the close, the high will not reflect it. I think the high and low we provide in the feed is what you are actually looking for and shouldn't require any special processing.

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Jay Froscheiser
DTN - Trading Markets

Thanks again. The test app seemed to work correctly, but we eren't monitoring the Hi/Low data specifically. I'll specifically look at that tomorrow. FYI, if you don't select "RTH", the IB feed gives you the high and low for the calendar day. We were getting caught by premarket data that gave a much wider range.