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»Forums Index »IQFeed Developer »IQFeed Developer Support »How should I back-fill time&sales or "trades only" data?
Author Topic: How should I back-fill time&sales or "trades only" data? (3 messages, Page 1 of 1)

andrewm
-Interested User-
Posts: 10
Joined: Feb 23, 2015


Posted: Feb 23, 2015 01:59 PM          Msg. 1 of 3
I see that I can get time&sales using this command on the level1 port:

t[SYMBOL]<CR><LF>
Begins a trades only watch on a symbol for Level 1 updates.
[SYMBOL] - The symbol that you wish to receive updates on

It does not look like there is a convenient way to back-fill that data. Even if I pull in historical tick data using the HTD command on the Lookup Socket (port 9100 by default) I would need to figure out the point at which the realtime data has caught up with the historical. Am I missing some easier way to accomplish this?

Thanks

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Feb 25, 2015 05:54 AM          Msg. 2 of 3
Sorry Andrew,

I lost sight of your post. The best way to do this would be to start watching the datafeed and make a note of the very first tick ID you receive. We'll say that tick ID was 107, once you have that, start building your chart with the live data. Then request historical data and you will get the tick ids from say 1 to 130, just append the 1 -106 on the front of the chart and toss the rest away. This should give you a complete chart like what I think you are looking for.

Tim

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Feb 25, 2015 08:14 AM          Msg. 3 of 3
In addition, while I am thinking on it, in cases where tick numbers are either not sequential or the data does not have a tick ID available, (like with Forex data), you can use the current total volume as an indicator as well.

Tim
 

 

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