Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"This is an excellent value, the system is generous (allowing for 500 stocks) and stable (and really is tick-by-tick), and the support is fantastic." - Comment from Shirin via Email
"I have to tell you though that using the IQFeed API is about the easiest and cleanest I have seen for some time." - Comment from Jim
"I am keeping IQFeed, much better reliabilty than *******. I may refer a few other people in the office to switch as well." - Comment from Don
"With HUGE volume on AAPL and RIMM for 2 days, everyone in a trading room was whining about freezes, crashes and lag with *******, RealTick, TS and Cyber. InvestorRT with IQFeed was rock solid. I mean SOLID!" - Comment from Public IRC Chat
"This beats the pants off CQG, I am definitely switching to the ProphetX 3.0!" - Comment from Stephen
"DTN has never given me problems. It is incredibly stable. In fact I've occasionally lost the data feed from Interactive Brokers, but still been able to trade because I'm getting good data from DTN." - Comment from Leighton
"Everything is working amazing now. I'm already impressed with the true-tick feed of IQFeed and it's ability to support my 480 symbol layout." - Comment from Tyler via Email
"The people at Nirvana have very nice things to say about your company and I can see why! Price and service is a potent combination." - Comment from Ed
"Interactive Brokers tick data was inconsistent, so I have switched to using DTN exclusively. It is great to no longer have to worry about my datafeed all day long." - Comment from Philippe
"After all the anxiety I had with my previous data provider it is a relief not to have to worry about data speed and integrity." - Comment from Eamonn
Home  Search  Register  Login  Blogs Recent Posts

Information on Various DTN Products:
DTN IQFeed | DTN ProphetX | DTN Ag | NxCore
Follow DTN_IQFeed on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »IQFeed Developer »IQFeed Developer Support »Historical API Issue
Author Topic: Historical API Issue (7 messages, Page 1 of 1)

AlexK
-Interested User-
Posts: 12
Joined: Oct 2, 2017


Posted: Oct 2, 2017 08:32 AM          Msg. 1 of 7
Hello,

We're seeing a fairly significant issue with the HDT Historical API. Problem:

When we take Lead Hog (as an example), and run the API daily, we get a certain set of prices each day. In this example, on 7-24-17, Lean Hog is at price point $80.725 when we call the API each day in July. If we we wait and run the same HDT Historical API on say, October 1st, for the same day and commodity, we get a price of $66.975.

So, the same API yields different data, depending on when it's called. This is a huge problem for us and am wondering if there's a different API we should be calling historically, or if you see the same issue?

Thank you.

DTN_Tim Walter
-DTN Guru-
Posts: 1064
Joined: Apr 25, 2006


Posted: Oct 2, 2017 08:49 AM          Msg. 2 of 7
Good morning,

I believe this is related to the post below. If you look at the underlying contracts you will find the data has not changed. It is just on the continuous contracts where this will be seen, as the contracts being reported for certain dates will have changed completely.

Also, in case this is relevant, if you are using the @HE#C symbologies, those prices see adjustments at every contract expiration. If you want the prices to be unadjusted, be sure to just use @HE# instead.

Tim

http://forums.dtn.com/index.cfm?page=topic&topicID=4377

"Based on customer feedback, effective this evening we will be changing the roll users for @LE (Live Cattle), @HE (Lean Hogs) and @LB (Lumber) contracts to roll 2 weeks prior to expiration. This will provide continuation chart data that will more closely follow volume/OI on these contracts."

AlexK
-Interested User-
Posts: 12
Joined: Oct 2, 2017


Posted: Oct 2, 2017 09:10 AM          Msg. 3 of 7
We are using @xx#, NOT the adjusted continuous, and we are getting these different results based on WHEN the same API is run

AlexK
-Interested User-
Posts: 12
Joined: Oct 2, 2017


Posted: Oct 2, 2017 09:14 AM          Msg. 4 of 7
Thank you for the quick response.

We are not using #C, ever. We are always using the unadjusted # on our API calls. In the example I gave you for July, we get different data back depending on whether we call the API on a daily basis through July vs calling the API to provide that July data later on (August, Sept, Oct, whatever).

DTN_Tim Walter
-DTN Guru-
Posts: 1064
Joined: Apr 25, 2006


Posted: Oct 2, 2017 09:39 AM          Msg. 5 of 7
@HEQ17 has the open of 80.725 that you mentioned.

But, when we changed the roll dates on our end which govern the continuous contracts, it changed the emphasis from @HEQ17 to @HEV17

And if were to look, you would find that @HEV17 shows the open you mentioned at 66.975 for the date 7-24-2017.

It was the change of the roll dates that would have caused this. If you wanted to have a rolling contract that would not be subject to this type of change (albiet these changes are rare) you would have to build your continuous contracts from the underlying daily data.

Tim

AlexK
-Interested User-
Posts: 12
Joined: Oct 2, 2017


Posted: Oct 2, 2017 12:14 PM          Msg. 6 of 7
Thank you, again. So just to confirm: can you provide that continuous contract data in an API call historically or would I have to build that out myself in some manner?

DTN_Tim Walter
-DTN Guru-
Posts: 1064
Joined: Apr 25, 2006


Posted: Oct 2, 2017 12:21 PM          Msg. 7 of 7
If you want it to look like it was before, then yes, you would have to create that yourself. Though in my opinion, the data before was not using the most active contract, it was simply based on expiration. Therefore, I feel, that the new data is a better indication of where the market was comparatively to where we had it previously.

Tim
 

 

Time: Thu October 19, 2017 2:13 AM CFBB v1.2.0 16 ms.
© AderSoftware 2002-2003