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»Forums Index »Product Support »Data and Content Support »QUOTE message VWAP data field invalid
Author Topic: QUOTE message VWAP data field invalid (56 messages, Page 2 of 2)

DTN_Tim Walter
-DTN Guru-
Posts: 1102
Joined: Apr 25, 2006


Posted: Nov 1, 2016 09:10 AM          Msg. 31 of 56
No, all of the changes should be in place already assuming you are using the 5.2.5.0 IQFeed version. No code should need to be done on your end to see the fix.

Tim

jbusse
-Interested User-
Posts: 3
Joined: Oct 23, 2017


Posted: Oct 23, 2017 09:07 AM          Msg. 32 of 56
I noticed that I'm having this same issue with an incorrect VWAP field. Using 5.2.6.0. Basically, the exact same issue described above in this thread.

jrojas
-Interested User-
Posts: 29
Joined: Nov 10, 2014


Posted: Oct 23, 2017 09:14 AM          Msg. 33 of 56
Yes, indeed. This was never fixed as intended.

The only way to get some approximate working VWAP values for some symbols is to initiate the subscription only AFTER the market opens at 09:30. If you do this for say 500 symbols, most of them would be ok. However, you would still get some stale numbers for some of them.

A big mess if you asked me.

Jose

DTN_Tim Walter
-DTN Guru-
Posts: 1102
Joined: Apr 25, 2006


Posted: Oct 23, 2017 09:28 AM          Msg. 34 of 56
Hello,

Welcome to the forums jbusse.

I am probably forgetting something, but what was not fixed as intended? I thought this was all resolved since the last release on Nov. 11th.

What are you still seeing? I don't have anything open on VWAP currently.

Tim

jbusse
-Interested User-
Posts: 3
Joined: Oct 23, 2017


Posted: Oct 23, 2017 09:29 AM          Msg. 35 of 56
Thanks for the quick, informative reply. I'm surprised they are unable to easily fix this issue, given that they collect/save all the data.

jbusse
-Interested User-
Posts: 3
Joined: Oct 23, 2017


Posted: Oct 23, 2017 09:34 AM          Msg. 36 of 56
In terms of what was not fixed, messages 1-31 describe precisely the issue I'm having today.

jrojas
-Interested User-
Posts: 29
Joined: Nov 10, 2014


Posted: Oct 23, 2017 09:36 AM          Msg. 37 of 56
Hi Tim,

The VWAP calculation is still off as previously discussed. The only difference is that now if I subscribe 5/10 minutes after the open, most of the VWAP values appear to be correct. However, there are still a few symbols way off.

Not ideal by any stretch, however.

Before all this got badly broken, we used to be able to fire on the subscriptions pre market and everything would be fine as the trading day progressed.

After that, at one point, the calculation was broken for everything.

After you got involved, the calculation is off for only some of them. I am not sure I can trust any it, though.

Jose

jrojas
-Interested User-
Posts: 29
Joined: Nov 10, 2014


Posted: Oct 23, 2017 09:39 AM          Msg. 38 of 56
Tim for example, today UNIT, JBHT, MELI are way off 1h and 20 minutes after the open!

DTN_Tim Walter
-DTN Guru-
Posts: 1102
Joined: Apr 25, 2006


Posted: Oct 23, 2017 11:13 AM          Msg. 39 of 56
I am sorry this is still an issue. I have escalated this matter and we are discussing what the next steps will be. I will keep you in the loop as the problem is understood and a path forward is determined.

Tim

DTN_Tim Walter
-DTN Guru-
Posts: 1102
Joined: Apr 25, 2006


Posted: Oct 25, 2017 01:21 PM          Msg. 40 of 56
FYI - I ran some replays today and tried to recreate a circumstance where the VWAP got out of whack with nothing standing out at all.

Can you confirm what software you were using for checking JBHT and what kind of values you may have been seeing?

Tim

jrojas
-Interested User-
Posts: 29
Joined: Nov 10, 2014


Posted: Oct 25, 2017 03:30 PM          Msg. 41 of 56
Hi Tim,

Thank you for having a look at this again.

Right now, the biggest problem I see with this, is the need to subscribe to the quotes only after the symbol opens for trading. Anytime before that and the VWAP values are completly out of whack, at least for a very long time after the open. I guess the vwap calc will catch up eventually.

The problem with this logic is that it is not practical to wait after the open to subscribe. It does not make any sense. Think about it. For all the symbols I have positions pre market and any symbols I trade around the open, all of which I need prices for, the VWAP calculations will be wrong just when I need them.

For the rest of the symbols I just need to guess the best time to subscribe in order to get a VWAP number that makes sense. I have really no idea if the number is right or not. I have in the past compared it to Reuters and Bloomberg numbers, and sometimes they are close, but most of the time they are not.

At least, before we can look at the actual numbers, we should be able to solve the subscription time dependency issue.

Hope it helps,

Jose

DTN_Tim Walter
-DTN Guru-
Posts: 1102
Joined: Apr 25, 2006


Posted: Oct 26, 2017 07:40 AM          Msg. 42 of 56
Absolutely, thanks for bringing it up again.

I have all of the symbols that have been mentioned over the course of this thread in a watchlist currently, so hopefully I can see/record it this morning. You are on 5.2.6.0 I think you mentioned previously? Anything else you can think of that I might need to emulate to get this to occur om my side?

Tim

jrojas
-Interested User-
Posts: 29
Joined: Nov 10, 2014


Posted: Oct 26, 2017 08:47 AM          Msg. 43 of 56
Hi Tim,

The symbols are just random ocurrences. Every day is a different symbol. It really has to do with the timing of the subscription. We should be able to subscribe at any time as before and be able to retrieve the correct vwap values. Until then we are just chasing our own tails.

Thanks for your help.

Jose

DTN_Tim Walter
-DTN Guru-
Posts: 1102
Joined: Apr 25, 2006


Posted: Oct 26, 2017 08:56 AM          Msg. 44 of 56
Well, unfortunately, for the 120 symbols or so that I was watching today every VWAP is squarely between the high and the low. I am guessing your issue is related to the open messages, but being able to see it and then back-engineer the values found will help me greatly. So for now, I am just going to have to keep chasing.

Just to confirm, if they are correct after the open they stay correct? i.e. It doesn't seem to go astray after that point?

Tim

jrojas
-Interested User-
Posts: 29
Joined: Nov 10, 2014


Posted: Oct 26, 2017 10:04 AM          Msg. 45 of 56
Hi Tim,

Just subscribe to all of those symbol before 9:30 and see it happening once all the prices start streaming in.

If the vwap is correct from the start, it seems to keep going fine aftwerwards.

Jose

DTN_Tim Walter
-DTN Guru-
Posts: 1102
Joined: Apr 25, 2006


Posted: Oct 26, 2017 10:10 AM          Msg. 46 of 56
I was subscribed ahead of time, from around 7am or so CST. Could you send me your IQConnectLog.txt to support(at)iqfeed.net, maybe I can discern something from it to help me? It is located in your Docs\DTN\IQFeed\ directory.

Tim

DTN_Tim Walter
-DTN Guru-
Posts: 1102
Joined: Apr 25, 2006


Posted: Oct 26, 2017 10:46 AM          Msg. 47 of 56
Nevermind the log file, I believe we have this now.

We'll try to get a release together to address this for you.

Tim

DTN_Tim Walter
-DTN Guru-
Posts: 1102
Joined: Apr 25, 2006


Posted: Oct 27, 2017 08:17 AM          Msg. 48 of 56
Good morning,

I have sent both of you a beta build with the fix for the VWAP issue and we will get an official version out soon to replace it (5.2.7.0). Please let us know how things go and, again, our apologies for the extended frustration and thank you for your assistance in helping us resolve this.

Tim

jrojas
-Interested User-
Posts: 29
Joined: Nov 10, 2014


Posted: Oct 29, 2017 09:56 AM          Msg. 49 of 56
Great Tim.

Where did you send the fix to? I will give it a go. Were you able to reproduce/find the issue?

After this fix, I have just a couple of questions about the actual VWAP calculation I would appreciate if you could answer for me.

1) Are you using any time interval to throttle the VWAP calculation or is the calculation in real time using the tick data as it happens?

2) Which price and volume fields are you actually using for the calculation? Are you doing any filtering on this?

Thanks,

Jose

DTN_Tim Walter
-DTN Guru-
Posts: 1102
Joined: Apr 25, 2006


Posted: Oct 30, 2017 10:53 AM          Msg. 50 of 56
I sent it out to the email you used on your forum account. If you have another one you would prefer to use just email us that and we can send it that way.

No time filtering is applied and no trades are filtered. We calculate last price and tick size into the equation on every trade regardless of trade condition.

Tim

jrojas
-Interested User-
Posts: 29
Joined: Nov 10, 2014


Posted: Oct 30, 2017 11:12 AM          Msg. 51 of 56
Hi Tim,

Thank you for your answers. Sorry, I didn't get any direct email from you. Please could you check and resend it?

Thanks,

Jose

jrojas
-Interested User-
Posts: 29
Joined: Nov 10, 2014


Posted: Nov 1, 2017 08:40 AM          Msg. 52 of 56
Hi Tim,

I tried the beta version today. I subscribed successfully to all the quotes before the market open and now all the vwap values seem to be in line with what I would expect.

I guess the fix seems to have resolved the issue. It looks fine now.

Thanks for your help.

Jose

DTN_Tim Walter
-DTN Guru-
Posts: 1102
Joined: Apr 25, 2006


Posted: Nov 1, 2017 09:05 AM          Msg. 53 of 56
Great, thanks for the follow up. We will get that addressed in an official build asap.

Tim

DTN_Tim Walter
-DTN Guru-
Posts: 1102
Joined: Apr 25, 2006


Posted: Nov 6, 2017 01:44 PM          Msg. 54 of 56
Just wanted to let you know that version 5.2.7.0 is posted now on the iqfeed.net website, so please upgrade to that when you have a moment to do so.

Tim

jrojas
-Interested User-
Posts: 29
Joined: Nov 10, 2014


Posted: Nov 7, 2017 08:40 AM          Msg. 55 of 56
Hi Tim,

I upgraded to 5.2.7.0. Everything looks fine.

Thanks,

Jose
 
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