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»Forums Index »IQFeed Developer »IQFeed Developer Support »Tick data : trades or quotes ?
Author Topic: Tick data : trades or quotes ? (7 messages, Page 1 of 1)

amethyste
-Interested User-
Posts: 15
Joined: Nov 4, 2009


Posted: Jul 13, 2010 04:59 AM          Msg. 1 of 7
m_historyLookup.ReqHistoryTickTimeframe("MSFT", "20100614 113000", "20100614 113015", (uint)10000, "", "", (byte)0, "MSFT", 500);

Return the trade or the quote ?

I want the ticks quotes.

amethyste
-Interested User-
Posts: 15
Joined: Nov 4, 2009


Posted: Aug 10, 2010 11:55 AM          Msg. 2 of 7
The tick data use the trades and not the quotes, I can't get the price of the options if it's not traded.

If I want get the Minute-bar of the options symbol on the quotes, it's possible ?

DTN_LorenF
-DTN Technical Support-
Posts: 228
Joined: May 11, 2004


Posted: Aug 10, 2010 03:58 PM          Msg. 3 of 7
Amethyste

You have several questions.
If a option has not traded, you will not see any data.
The data, in tick, will be tick by tick as the trades come in.
If you want the data in minute bars, they will be the accumulation of the ticks in that minute period.
The developer package for the API will be able to assist you in your programming.

stargrazer
-DTN Evangelist-
Posts: 240
Joined: Jun 13, 2005

Right Here & Now


Posted: Aug 10, 2010 04:04 PM          Msg. 4 of 7
Because options are sparsely traded, ticks (trades) don't arrive very often, and therefore it is difficult to build bars. The only alternative is to collect quotes and use them for your own bar building. Using the mid-point between bid and ask is common. This is meant for collecting data during live sessions.

If you are trying to build bars from history, the bars you get are typically sparse, and of zero height, basically due to the fact that trade data is sparse. If you want continuous range bars, you are pretty much SOL when using the history files, as the files only provide quotes during a trade.
Edited by stargrazer on Aug 10, 2010 at 04:07 PM

amethyste
-Interested User-
Posts: 15
Joined: Nov 4, 2009


Posted: Aug 11, 2010 05:26 AM          Msg. 5 of 7
Yes but options are a derivate, so the option price can move fast without trade.
If I want create and backtest strategies, how do if I receive no data ?

I search bar datas with the quotes and not with the trade.

stargrazer
-DTN Evangelist-
Posts: 240
Joined: Jun 13, 2005

Right Here & Now


Posted: Aug 11, 2010 05:42 AM          Msg. 6 of 7
From an IQFeed perspective, the only way to backtest option based strategies, or, for that matter, any equity based strategy using primarily quotes, is to design your program to collect and save live data during trading hours. Then use the data you've saved to run through your backtesting application.

I use IQFeed's historical daily data to look for interesting trading candidates, then use the above mechanism to capture intraday details for testing.

amethyste
-Interested User-
Posts: 15
Joined: Nov 4, 2009


Posted: Aug 11, 2010 07:37 AM          Msg. 7 of 7
Thanks StarGrazer
 

 

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