Hello, I've done implementing basic iqfeed service with using java and there's only a few things is left to make this stage cleared, so some help would be very appreciated.

I didnt find the answers yet for those questions:

1. How could I receive historical date with millis? This request doesn't works with history data:
"S,SELECT UPDATE FIELDS," +
"TickID,Symbol," +
"Ask,Bid,Ask Size,Bid Size," +
"Most Recent Trade,Most Recent Trade Size,Last Trade Date,Most Recent Trade TimeMS,Most Recent Trade Conditions,Open Interest,Delay,\r\n"

2. How could I receive each trade initiator for historical data?
If I get it right, it's the symbol at the end of the time graph and looks like this "12:33:44o".

3. What does mean each symbol at the end of time for question2 : o b t c (I guess o&b is bid and offer, but what is t&c)?

I think this is all I need to know to put my anchor there.

Hello, to pull millisecond history, or any newer feature you may want to use, you need to be sure that for each connection to IQFeed that you are updating the protocol to the current protocol. In this case, you want to set the protocol to 5.1 and then history will format the milliseconds into your return on tick history.

The time with an appended character is a 4.9 function, where o is open, t is a trade, and c is a close. This was broken out in later protocols. Now you will have a message contents field when dealing with level one data. As to history, we do not store historical bid or ask data, so all that you will see there are trades. Trade conditions are included for if you would like to further filter that data.

Let me know if anything else comes up,

Tim

Hi, Tim,
thanx for the reply.

I've tried setting up protocol 5.1 and there comes millis.

I though "-VERSION" parameter is the one I'm launching the iqconnector with was the protocol version, is there a way to set the protocol like this or I must set it manually for each sockets (re)connections?

-VERSION is intended for the version of your software. There is not currently a way to set a default protocol, so it does have to be sent for each connection, sorry.

Tim

I see, thank you for the help.
Edited by Ariloum on Oct 22, 2014 at 10:57 AM

Hello again, I've got another question coming : is there some way to get each trade type/direction - is it was a buy or a sell?
I need to know what side that trade hits - bid or offer for both historical data and realtime. I guess there could be some protocol syntax differences for that, please let me know if any.

Thanx,
Ari.

Good morning,

There is not a field for this, but when looking at a tick you can compare the price it was sold at to the bid or ask price at the time to get an idea of where the trade was made.

Tim

Thanx, Tim, I'm almost done.. the only problem I have with approach like that is trades at the middle of the spread (like on SPY there's a lot of trades with 0.005 cents step).

And I've another question :
is it possible to get not only best bid/offer price for trades, but it's size also?

I don't know if a better answer exists for the first one beyond what we have discussed.

On the second, we have bid and ask size in our live data, but not in our historical data.

Tim

Hi, Tim, thanx for the answer.
I thought that I didn't understood your answer right (about best bid/offer sizes).

Then this question comes: why don't you have such basic parameters in historical data? Your protocol have many other much useless (imo) fields but miss one of the main.
Edited by Ariloum on Mar 10, 2015 at 09:35 AM

I do not know the exacts behind that decision, but our product management team does read each post that is placed on our forums, so maybe it will be something we can look into adding at some point in the future given this request.

Tim

I see, thank you for the help.

Ariloum,

Thanks for the feedback. In our ~15 years of providing IQFeed, we have only had a few requests for the Bid/Ask size at the time of the trade to be part of history. Thus, it hasn't made it to the top of the priority list to provide. However, we take every request/suggestion seriously and continue to evaluate our priorities.

---

Jay Froscheiser
Vice President, Active Trader Products

Ariloum- Tim and/or Jay can correct me if I'm wrong, but I don't believe the bid/ask data will be useful to you in determining which side of the market the trade occurred on due to the fact that it's the bid/ask after the trade (not the b/a just prior to the trade). That's my understanding at least from previous forum posts.

jonnyb,
that's right, but I need bid and ask size for another thing - I need it for icebergs detection (darkpool orders).

Hi, Jay, thank you for the information.
Maybe there's not that much requests similar to mine becouse there's a few other datafeeds who already have it.

I know that it's not easy to implement, and the priority is low, but I will hope :)
Edited by Ariloum on Mar 13, 2015 at 06:52 PM