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"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
"My broker in Davenport suggested I give you a try as he uses your service and says its the best." - Comment from Bill via RT Chat
"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
"Thanks for all of your help. Great customer service deserves to be recognized which one the reasons I've been a customer of DTN for over 10 years!" - Comment from Stuart
"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
"I am very pleased with the DTNIQ system for quotes and news." - Comment from Larry
"I noticed that ******* quotes locked up shortly after the interest rate announcement yesterday while yours stayed stable." - Comment from Ron in Utah
"And by the way, have to say this. I love the IQFeed software. It's rock solid and it has a really nice API." - Comment from Thomas via RT Chat
"DTN feed was the only feed that consistently matched Bloomberg feed for BID/ASK data verification work these past years......DTN feed is a must for my supply & demand based trading using Cumulative Delta" - Comment from Public Forum Post
"I use IQ Feed, Great stuff as far as data analysis information, storage and retrieval is concerned." - Comment from Public Forum
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Viewing User Profile for: stargrazer
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Joined: Jun 13, 2005 12:02 PM
Last Post: Apr 13, 2021 09:13 AM
Last Visit: Apr 13, 2021 09:13 AM
Website: https://github.com/rburkholder/trade-frame
Location: Alberta, Canada
Occupation: Consultant
Interests: Will build customized trading algorithms based upon Interactive Brokers and DTN IQ
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Email: ray@oneunified.net
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stargrazer has contributed to 270 posts out of 20121 total posts (1.34%) in 5,790 days (0.05 posts per day).

20 Most recent posts:
IQFeed Developer Support » 4/12/21 Data Outage Status Updates Apr 13, 2021 09:13 AM (Total replies: 19)

Well, ..... the logical location for real time notifications would be the DTN Client it self. It is already used for popping up version notifications.

Wny not present system notifications as well?


Quote: It forces users who need this data to stream subscriptions and capture them in real time locally. That's an unreliable solution over the internet and something users should not be wasting their time building.


I would say that many have done so, including me.

Quote: IQ Feed could snapshot the BBO once per second


You'll find that when you use that mechanism for liquid instruments, the quality of data becomes lacking due to the high frequency aspects of the data.

FWIW, I believe DTN's choice of quote at trade storage is a reasonable trade-off.

Collecting data real-time during the day allows you to catch the stream as it happens with all its brutality and uneveness. Which is required for proving any sort of trading system 'in the natural'.

https://github.com/rburkholder/trade-frame
Edited by stargrazer on Apr 7, 2021 at 11:52 PM


The guts of what I use for IV then the greeks:

https://github.com/rburkholder/trade-frame/blob/master/lib/TFOptions/Binomial.cpp

Calc for risk free interest using IQ symbols

https://github.com/rburkholder/trade-frame/blob/master/lib/TFOptions/NoRiskInterestRateSeries.cpp

What I have as a compute engine as quotes come in:

https://github.com/rburkholder/trade-frame/blob/master/lib/TFOptions/Engine.cpp


hi altmany:

Quote: my IQML connector for Matlab) calculate the greeks internally and report them to the user


What do you use as a source of interest rate?

----

https://github.com/rburkholder/trade-frame/tree/master/lib/TFIQFeed
Edited by stargrazer on Feb 20, 2021 at 03:25 PM

Data and Content Support » Open Interest with Historical Options Data? Jan 3, 2021 10:50 PM (Total replies: 7)

Not sure by what you mean by 'but it was too slow'. But that would typically be how you would get the bid/ask, is by 'watching' the bid/ask/trade stream.

Run the 'w' with a symbol in IQFeed to obtain the live stream. You can then extract the bid/ask/trade information from this live stream.

Data and Content Support » Open Interest with Historical Options Data? Dec 24, 2020 09:41 PM (Total replies: 7)

Bid/Ask for non trades is not available on any symbol, option or equity.

If you are back testing on that kind of high frequency data, you probably don't really need a lot of history.

I simply run collections on bid/ask/trade info live during market hours. I store that each day. There is much info.

I can then back test as needed on the details collected.

On the other hand, I'll typically build models, then run them real time on paper trading. It provides a true real-time high-frequency experience. Or as close to true, as paper-trading can supply (some slipped and unmet orders).


Or maybe install the packages supplied by your distribution.

Then when you run "wine ..... ", it should use your home directory, and all your user privileges should work on your own files.

Otherwise, run chown 'user.user' <using your user> to fix up ownership.

IQFeed Developer Support » API on Linux Apr 11, 2020 09:23 PM (Total replies: 10)

I find that if I start news or the quote tool, the app initiates the login sequence, and serves to keep the service pinned up.

Typically the first time doesn't work. On the second try it works. Then I can connect my tools. The session seems to be reliable for me at that point.

DTN has been promising an API for many years.

At the very least, it would be nice if they could simulate a WINE session themselves, and maybe see what this issue is and at least resolve it, so that at minimum, WINE does work reliably.

And as a note, this is using x64 version of Wine with the x86 32 bit extensions.


There is some other recent activity on how to start up the agent. In addition, there needs to be a client running and connected to the agent to keep it running. I usually just startup the snapquote and select any old symbol to monitor.

DTN.IQ Client Software Support » IQ Feed client on Mac does not work Jun 25, 2019 05:21 PM (Total replies: 9)

On my machine:

 
user@here:~$ wine .wine/drive_c/Program\ Files/DTN/IQFeed/iqconnect.exe -product x1 -version x2 -login x3 -password x4 -autoconnect


Substitute your own info for x1, x2, x3, x4

Data and Content Support » Incorrect NEM Option strike prices? Jun 10, 2019 12:02 PM (Total replies: 1)

A subset of what I see in today's mktsymbols_v2 file

I don't think .12 is a valid price point?


NEM1921F35 NEM JUN 2019 C 35.00 OPRA OPRA IEOPTION
NEM1921F35.12 NEM JUN 2019 C 35.12 OPRA OPRA IEOPTION
NEM1921F35.5 NEM JUN 2019 C 35.50 OPRA OPRA IEOPTION
NEM1921F36 NEM JUN 2019 C 36.00 OPRA OPRA IEOPTION
NEM1921F36.12 NEM JUN 2019 C 36.12 OPRA OPRA IEOPTION
NEM1921F36.5 NEM JUN 2019 C 36.50 OPRA OPRA IEOPTION
NEM1921F37 NEM JUN 2019 C 37.00 OPRA OPRA IEOPTION
NEM1921F37.12 NEM JUN 2019 C 37.12 OPRA OPRA IEOPTION
NEM1921F37.5 NEM JUN 2019 C 37.50 OPRA OPRA IEOPTION
NEM1921F38.12 NEM JUN 2019 C 38.12 OPRA OPRA IEOPTION
NEM1921F39.12 NEM JUN 2019 C 39.12 OPRA OPRA IEOPTION
NEM1921F40.12 NEM JUN 2019 C 40.12 OPRA OPRA IEOPTION
NEM1921F41.12 NEM JUN 2019 C 41.12 OPRA OPRA IEOPTION
NEM1921F42.12 NEM JUN 2019 C 42.12 OPRA OPRA IEOPTION
NEM1921F43.12 NEM JUN 2019 C 43.12 OPRA OPRA IEOPTION
NEM1921F44.12 NEM JUN 2019 C 44.12 OPRA OPRA IEOPTION
NEM1921F45.12 NEM JUN 2019 C 45.12 OPRA OPRA IEOPTION
NEM1921F46.12 NEM JUN 2019 C 46.12 OPRA OPRA IEOPTION
NEM1921F47.12 NEM JUN 2019 C 47.12 OPRA OPRA IEOPTION
NEM1921F48.12 NEM JUN 2019 C 48.12 OPRA OPRA IEOPTION
NEM1921F49.12 NEM JUN 2019 C 49.12 OPRA OPRA IEOPTION
NEM1921R19.12 NEM JUN 2019 P 19.12 OPRA OPRA IEOPTION
NEM1921R20.12 NEM JUN 2019 P 20.12 OPRA OPRA IEOPTION
NEM1921R21.12 NEM JUN 2019 P 21.12 OPRA OPRA IEOPTION
NEM1921R22.12 NEM JUN 2019 P 22.12 OPRA OPRA IEOPTION
NEM1921R23 NEM JUN 2019 P 23.00 OPRA OPRA IEOPTION
NEM1921R23.12 NEM JUN 2019 P 23.12 OPRA OPRA IEOPTION
NEM1921R23.5 NEM JUN 2019 P 23.50 OPRA OPRA IEOPTION
NEM1921R24 NEM JUN 2019 P 24.00 OPRA OPRA IEOPTION


IQFeed Developer Support » Developer wanted to build API Apr 4, 2019 09:44 AM (Total replies: 5)

I have an app which download and parses the mktsymbols_v2.txt file:

https://github.com/rburkholder/trade-frame/tree/master/IQFeedMarketSymbols

I've found some SIC and NAICS code files which I use to find certain groupings:

https://github.com/rburkholder/trade-frame/tree/master/x64

I have a set of tools I use for querying various IQFeed based streams: news, history, live quotes (fundamental data found in the live quote streams)

https://github.com/rburkholder/trade-frame/tree/master/lib/TFIQFeed

There is some one else's tool which provides easy db access to mysql:

https://www.webtoolkit.eu/wt/doc/tutorial/dbo.html

This is all C++. Someone else in the forums has some C# libraries. I don't know what else is out there.

Do you need specific development environment, or do you just need an application rather than an API?

IQFeed Developer Support » Developer wanted to build API Apr 4, 2019 09:24 AM (Total replies: 5)

What are you looking to do?


I think 6.0.0.5 has some buffering/incomplete-record issues when running multiple symbols. Try the latest which is 6.0.1.1, I believe.

Try building your VM with Stretch.

Although describing a container build, the same wine configuration can be used in a regular VM (you may need to copy and paste the link rather than clicking on it):

http://blog.raymond.burkholder.net/index.php?/archives/950-Gui-using-Wine,-X2Go,-LXDE-in-a-simple-LXC-container.html

There might be an issue with the news service. If so, see the following for a fix:

http://blog.raymond.burkholder.net/index.php?/archives/747-DTNIQFeed-Gecko-Problem-in-Wine-from-WineHQ.html

To get IQConnect 'locked in', I run the SnapQuote application twice. The first time starts IQConnect, and the second time actually makes a connection after choosing a symbol. I then close the first SnapQuote application.


If it is the server side, can you telnet to the news port and see headlines and articles?


Quote: Also, when is anybody going to get around to fixing the news display application.
Every time I click a news item all I get is "page cannot be displayed" in the bottom panel.


Dunno, if you are running in Wine, then the following may fix for you:

http://blog.raymond.burkholder.net/index.php?/archives/747-DTNIQFeed-Gecko-Problem-in-Wine-from-WineHQ.html

But I am running v6.0.0.5, which might act differently.


I'm not sure what the question is, because I think the discrepancies can be attributed to mostly physics then.

When I looked at this many moons ago, Chicago was closer then NY to the DTN servers, thus the differences in time.


Do you use NTP to sync the time of your server to the 'rest of the world'?

IQFeed Developer Support » Consuming IQFeed APIs via C++ on Linux Nov 17, 2018 01:03 AM (Total replies: 16)

Oh, and one more thing. Is the iqfeed client 64 bit yet? If not, isn't that kinda stone age? My 64 bit apps are unable to start the iqfeed client, and I have to revert to starting it manually with one of the iqfeed supplied sample apps. As far as I recollect, and it was a long time ago, there is only a 32 bit api for auto-starting the iqfeed client. Or have things changed since way back then?

IQFeed Developer Support » Consuming IQFeed APIs via C++ on Linux Nov 16, 2018 08:48 PM (Total replies: 16)

But having said all that, it seems as though more and more users are switching to Linux. And this goes back 'quite a number of years'.

For the DTN support people, what would be preventing the creation of a native linux based client? Or even a client which does not require a GUI login? Is it an exchange licensing problem?


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