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Viewing User Profile for: altmany
About Contact
Joined: Jul 30, 2018 05:38 AM
Last Post: Jun 20, 2019 03:31 PM
Last Visit: Jun 21, 2019 10:25 AM
Website: https://UndocumentedMatlab.com/IQML
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Occupation: Consultant
Interests: Matlab, finance, trading
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IQML - IQFeed-MATLAB connector
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altmany has contributed to 31 posts out of 19134 total posts (0.16%) in 331 days (0.09 posts per day).

20 Most recent posts:
Data and Content Support » Timestamp Resolution for Tick Data Jun 20, 2019 03:31 PM (Total replies: 2)

My hunch is that you are not setting the protocol when you first connect to IQFeed, which then defaults to IQFeed 4.9 behavior. When I run your query using protocol 5.0 I see millisecond timestamp resolution, and with protocol 6.0 or 6.1 I see microsecs resolution.
http://www.iqfeed.net/dev/api/docs/IQFeedProtocols.cfm


Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

Edited by altmany on Jun 20, 2019 at 03:33 PM
Edited by altmany on Jun 20, 2019 at 03:33 PM

Data and Content Support » XGU19 data Jun 13, 2019 06:48 AM (Total replies: 3)

These may be trades done outside regular trading hours (RTH), not via the regular electronic market. The low volume (quantity/size) highlights the difference between such trades (which are infrequent) and trades during normal trading hours.

If you run a streaming query and check the reported MessageContents and TradeCondition fields, you'll probably see that they contain codes that correspond to "Extended/Form-T Trade" (https://www.investopedia.com/terms/f/formt.asp) i.e., traded outside RTH.

Some IQFeed queries have the ability to set a filter (BeginFilterTime, EndFilterTime) that limit the reported results to a specific daily time range (for example, 9:30am to 4pm) - you can set it up so that extended trades are not reported.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion



The MaxDatapoints parameter has precedence over BeginDate/Time, regardless of DataDirection. For example, if MaxDatapoints=3 (as in your example), we’ll only get the 3 latest ticks (before EndDate/Time), regardless of BeginDate/Time. If you don't want this behavior, leave MaxDatapoints empty.

Perhaps DTN should update the documentation with this important clarification, but it seems to me to be a documentation aspect, not a coding bug.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion


IQFeed Developer Support » Bug in Level2 BidTime/AskTime? May 15, 2019 06:08 AM (Total replies: 3)

Thanks Steve - here is another example that I have just seen, this time for the FB symbol:

<= 20190515 07:01:01.237 (Level2) Z,FB,CHXE,0.,180.71,0,100,07:00:17.012566,2019-05-15,52,99:99:99.000000,F,T,T

In this new example, the Bid is invalid and the Ask is valid, yet the timestamps appear switched.

As far as I could tell, this problem is evident whenever one Bid/Ask is valid and the other is not. But it is quite possible that the problem of switched BidTime<->AskTime is consistent even when both Bid and Ask are valid, and nobody has reported it so far because it would be nearly impossible to detect except in the specific case of just one of them being invalid.


Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

Edited by altmany on May 15, 2019 at 06:08 AM

IQFeed Developer Support » Bug in Level2 BidTime/AskTime? May 14, 2019 10:28 AM (Total replies: 3)

Hi guys - kindly comment on this...

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion


IQFeed Developer Support » Bug in Level2 BidTime/AskTime? May 2, 2019 04:15 AM (Total replies: 3)

when I ran a level 2 request for MSFT outside regular trading hours, I got the following data row among others:

<= 20190502 04:18:38.700 (Level2) Z,MSFT,BATS,0.,129.39,0,600,18:29:49.000347,2019-05-01,52,99:99:99.000000,F,T,T

According to the documentation (http://www.iqfeed.net/dev/api/docs/Level2UpdateSummaryMessage.cfm), this row translates as follows:

      Symbol: MSFT
MMID: BATS
Bid: 0
Ask: 129.39
BidSize: 0
AskSize: 600
BidTime: 18:29:49.000347
Date: 2019-05-01
Condition: 52 (regular)
AskTime: 99:99:99.000000
BidInfoValid: False
AskInfoValid: True
EndOfMessage: True

The reported BidTime and AskTime make no sense - it is the Bid which is invalid (and should have the invalid time of 99:99:99), and the Ask which is valid (and should have the valid time of 18:29:49). Is this a bug in IQFeed's code?

If I'm correct, perhaps it would be simpler to fix the documentation than to fix the code - switching between BidTime/AskTime in the documentation will seem a bit awkward (because Bid is often reported before Ask), but at least it would be consistent with your current code and would not require you to do any code fixes.

Please advise.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion



The available forums are listed here: http://forums.iqfeed.net

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion



Today I spent a few frustrating hours trying to debug a problem when connecting to the Lookup port (for historic data) on a specific machine. For the benefit of others who may encounter a similar problem and search this forum, here's a breakdown of the problem, causes, analysis and solution:

TL/DR: When any other application on the computer uses one of IQFeed's ports, it cannot be used in IQFeed. Solution: either remove the other application, or change IQFeed's default port assignment to some unused port.

Symptoms:
  • Historic data failed to download, displaying errors about invalid data arriving on the Lookup port.
  • The IQConnect.txt file did not display any connection message to the Lookup port (only to other ports).
  • The Diagnostic utility was unable to listen to the Lookup port in the <Port Tester> tab, displaying an error message that "The specified address is already in use."


Diagnosis:
Open DOS Command Window (run as administrator) and run the following command:
netstat -abon

This will display all the active ports and the processes that hold them. For example, in my particular case the relevant line was this:
[lghub_agent.exe]
TCP 127.0.0.1:9100 0.0.0.0:0 LISTENING 2312

This tells us that the culprit is the lghub_agent.exe process (part of Logitec's G-Hub application), process ID=2312

Solutions:
  • Uninstall or disable the problematic other application
  • Configure the other application to use a different port (this is often not possible, but sometimes is)
  • Modify IQFeed's default port to use a different port number that is unused. For example, in the case of the Lookup port, the port number is stored in the registry key
    \\HKEY_CURRENT_USER\Software\DTN\IQFeed\Startup\LookupPort
    which you can modify using the Windows builtin regedit utility.


I hope this helps someone...



Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

Edited by altmany on Apr 10, 2019 at 05:12 PM

IQFeed Developer Support » Developer wanted to build API Apr 4, 2019 09:51 AM (Total replies: 5)

I can do all this in Matlab, using the IQML (IQFeed-Matlab) connector.
I have experience with everything you listed.
If you have Matlab then you'd be able to use/adapt/maintain the code by yourself.
If you don't have Matlab, the program could be compiled as a standalone executable.

Contact me to discuss further, if you're interested.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion


Data and Content Support » How can I get/use splits info Mar 27, 2019 02:33 PM (Total replies: 2)

Here is an actual example for MSFT (1:2 split on 03/29/1999 and 02/18/2003) - this is reported as part of the fundamental message for a symbol ("F" message):

Split Factor 1: "0.50 02/18/2003"
Split Factor 2: "0.50 03/29/1999"


This correlates with the latest 2 splits for Microsoft, as reported on https://www.stocksplithistory.com/microsoft/

If there is only a single split in recorded history, Split Factor 2 will be empty.
If there is no split history, both strings will be empty.

Note that for some reason IQFeed reports the split rounded only to 2 digits after the decimal. For example, the GOOGL split on 4/3/2014 (https://www.stocksplithistory.com/google/) was 1:1.998 but this is reported as "0.50" (instead of the more accurate 0.5005) by IQFeed:

Split Factor 1: "0.50 04/03/2014"
Split Factor 2: ""


In other words, the split factor is not a full-accuracy float but a float rounded to 2 decimal places. Hopefully IQFeed will improve this in a future release.

In some cases, splits may be missing or different between different data providers. For example, IQFeed reports only a single split for GOOG (1.00 on 04/27/2015) whereas https://www.stocksplithistory.com/?symbol=GOOG reports a 1:1.0027455 split on that date as well as a 1:2.002 split on 03/27/2014. This appears to be due to faulty data somewhere.



Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

Edited by altmany on Mar 27, 2019 at 02:45 PM


Stephen - I believe that you've recently changed your Twitter handle from @DTN_IQFeed to @DTNMarkets, the direct link now being https://twitter.com/DTNMarkets

(the @DTN_IQFeed handle/link no longer works)

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion


DTN.IQ Client Software Support » "Invalid interval reference time" Mar 17, 2019 02:41 PM (Total replies: 5)

I am also seeing these errors on-and-off. It seems that if I enter a valid trading start date then it resumes working and gets out of the loop that constantly throws the "Invalid interval reference time" error. For example:

Original request - error:
=> 20190317 21:34:49.028 (Lookup) HIT,@KCK19,60,20190315 000001,20190317 235959,1,,,1,H-@KCK19,,s
<= 20190317 21:34:49.427 (Lookup) H-@KCK19,E,Invalid interval reference time.

Modified request - good data:
=> 20190317 21:34:57.536 (Lookup) HIT,@KCK19,60,20190312 000001,20190317 235959,1,,,1,H-@KCK19,,s
<= 20190317 21:34:57.942 (Lookup) H-@KCK19,2019-03-15 13:30:00,97.65,97.50,97.65,97.60,13763,56,0

Original request again - good data:
=> 20190317 21:35:02.040 (Lookup) HIT,@KCK19,60,20190315 000001,20190317 235959,1,,,1,H-@KCK19,,s
<= 20190317 21:35:02.443 (Lookup) H-@KCK19,2019-03-15 13:30:00,97.65,97.50,97.65,97.60,13763,56,0


Yair Altman
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML
I am not a DTN employee; my post reflects my personal opinion

Edited by altmany on Mar 18, 2019 at 04:55 AM


Stephen - w, HID, HTD and BW for TST$Y result in n,TST$Y (i.e. Symbol not found).
Only the HDX/HWX/HMX historic queries seem to work ok.
Please check...

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed Developer Support » NHL News Headlines Request Mar 12, 2019 03:15 PM (Total replies: 5)

PyDev - I think that you may be misunderstanding the purpose of the NCG request and its relation to NHL, and that this causes your confusion.

In fact, NCG is entirely unrelated to NHL - NCG is simply a request for IQFeed to send you your account's news-sources configuration, in either text or XML format. NCG does not modify anything for subsequent NHL queries, nor does it update anything in your account's news configuration, which does not change during the run-time of your program. The text/XML field in the NCG query only affects the response message for this query and not for any other subsequent query. Also, NCG does not start streaming any news headlines.

In contrast, NHL is a query to retrieve news headlines, in either text or XML formats. It is entirely unrelated to NCG, except for the fact that the 3-letter news source is described in the NCG response message (for example, CPR = PR Newswire). You can ask the NHL query responses in either text or XML format, but this is separate from the format that you asked in the NCG query.

Your program should query NCG just once, at the beginning of your program run, and then call NHL multiple times later. There is no point in calling NCG more than once in the program since the config information does not change.

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML



Fantastic - thanks!

Does the test stream work only with Level1 watches (w/t) or also with streaming Level2 / derivatives/ regionals?



Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML

Edited by altmany on Mar 12, 2019 at 02:15 PM


bump - any news on this enhancement request?
This would greatly assist algo-trading program developments

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML



For completeness, in case anyone else has a similar problem, you can start IQConnect asynchronously by appending '&' at the end of the command:

IQConnect.exe ... -autoconnect &

Note that this is not specific to Matlab - It is an OS issue that may be relevant for anyone who launches IQConnect programmatically, using any programming language. Some programming languages also have alternative mechanisms for starting an external process asynchronously, without requiring an extra '&', but sending a system command with & should work across the board.

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed 3rd Party Software Support » News items with matlab Mar 12, 2019 06:37 AM (Total replies: 2)

In case anyone else has the same issue: I believe that the news configuration information is not available via Matlab's Trading Toolbox.

If you are using the IQML (IQFeed-Matlab) connector instead of Trading Toolbox, you can query the news configuration as follows:
Quote:
>> data = IQML('news', 'DataType','config')
data =
Category: 'All News'
Majors: [1×7 struct]

>> {data.Majors.Source}
ans =
1×7 cell array
{'DTN'} {'CPR'} {'CBW'} {'RTT'} {'CPZ'} {'CIW'} {'BEN'}

>> {data.Majors.Description}
ans =
1×7 cell array
{'DTN News'} {'PR Newswire'} {'Business Wire'} {'Real-Time Trader'} {'GlobeNewswire Inc'} {'Marketwire'} {'Benzinga Pro'}

You can also drill-down for details about news sources:
Quote:
>> data.Majors(1)
ans =
Source: 'DTN'
Description: 'DTN News'
AuthenticationCode: '1D'
IconID: 10
Minors: [1×4 struct]

>> data.Majors(1).Minors(1)
ans =
Source: 'DT5'
Description: 'Treasuries, Most Actives, Gainers, Losers'
AuthenticationCode: '1D'

>> data.Majors(1).Minors(2)
ans =
Source: 'RTL'
Description: 'Derivatives - Selected Futures and Options'
AuthenticationCode: '2Ab'
IconID: 10


Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed Developer Support » matlab examples apps Mar 12, 2019 06:21 AM (Total replies: 3)

Several Matlab apps that connect to IQFeed via the IQML connector are listed in its User Guide: https://UndocumentedMatlab.com/files/IQML/IQML_User_Guide.pdf

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML


IQFeed 3rd Party Software Support » MATLAB R2013b connection problem Mar 12, 2019 06:01 AM (Total replies: 3)

In case anyone stumbles on a similar error, I believe that it was caused because the Matlab iqf function (part of the Trading Toolbox) expects the username and password in string format, i.e. iqf('1234','9876') and not iqf(1234,9876).

Instead of using the Trading Toolbox to connect Matlab to IQFeed, consider using the IQML connector. IQML was optimized for run-time performance (speed), ease-of-use, and reliability. It comes with extensive documentation, and supports the entire IQFeed API. IQML works with the core Matlab; no toolbox is required. It works on all Matlab releases since R2008a, on both Windows and Mac, using IQFeed 5.0 or newer. IQML was developed independently as a commercial 3rd-party product; it is not affiliated with MathWorks or DTN. The connector is actively maintained and supported.

Main features:
  • both blocking (snapshot) and non-blocking (streaming) data queries
  • parallelized requests for super-fast data query responses
  • live Level 1 top-of-book market data (quotes and trades)
  • live Level 2 market-depth data
  • historical and intraday market data (individual ticks or interval bars)
  • fundamental info on assets
  • options and futures chains lookup (with market data, Greeks)
  • symbols and market codes lookup
  • news headlines, story-counts, and complete news stories, with user-specified filters
  • user-defined Matlab callback functions to IQFeed messages and market triggers
  • user-defined alerts on streaming market events (news/quotes/interval-bar/regional triggers)
  • connection stats (continuous update)
  • programmatic connect/disconnect

https://UndocumentedMatlab.com/IQML

Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's

- Yair
IQML - IQFeed-Matlab connector
https://UndocumentedMatlab.com/IQML



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