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Craig has contributed to 218 posts out of 18336 total posts (1.19%) in 2,868 days (0.08 posts per day).

20 Most recent posts:
IQFeed Developer Support » S&P500 / Futures "Fair Value" number. Dec 14, 2017 12:38 PM (Total replies: 4)

Ta.

IQFeed Developer Support » S&P500 / Futures "Fair Value" number. Dec 14, 2017 12:24 PM (Total replies: 4)

A simple yes or no will suffice.

IQFeed Developer Support » S&P500 / Futures "Fair Value" number. Dec 13, 2017 11:34 AM (Total replies: 4)

Just to be clear, I'm talking about this number:
http://indexarb.com/

IQFeed Developer Support » S&P500 / Futures "Fair Value" number. Dec 12, 2017 09:07 PM (Total replies: 4)

Is there any way to get this using IQFeed?

IQFeed Developer Support » Availability Of Same Day Tick Data. Dec 5, 2017 10:45 AM (Total replies: 3)

So there is no set time for NYSE/NASDAQ?

IQFeed Developer Support » Availability Of Same Day Tick Data. Dec 4, 2017 04:33 PM (Total replies: 3)

At what point is it OK to download the current days tick data?
I have in my head that it is 16:45 EST? But I can't find this anywhere on your site.
Also, when is it possible to download the same days tick data for the ES?

IQFeed Developer Support » Decoding Timestamps in Update Messages. Sep 22, 2017 02:37 PM (Total replies: 10)

Thank you Steve, when you say 'different feed', do you mean different exchanges?
If this is the case should the time-stamps be chronological by market center?

IQFeed Developer Support » Decoding Timestamps in Update Messages. Sep 22, 2017 01:45 PM (Total replies: 10)

Any updates here?

IQFeed Developer Support » Decoding Timestamps in Update Messages. Sep 21, 2017 03:14 PM (Total replies: 10)

OK, here is an example: My field set is Symbol,Last,Bid,Ask,Most Recent Trade Size,Message Contents,Most Recent Trade Market Center,Bid Size,Ask Size,Last Time,Bid Time,Ask Time. The symbol is SPY.

Here is my recorded data:
27 2017-09-21 09:30:00.559 249.9000 249.89 249.90 12100 3000 100 25 FALSE
28 2017-09-21 09:30:00.559 249.9000 249.89 249.90 12100 1000 100 25 FALSE
29 2017-09-21 09:30:00.559 249.9000 249.89 249.91 12100 1100 100 25 FALSE
30 2017-09-21 09:30:00.559 249.9000 249.89 249.90 12100 100 100 25 FALSE
31 2017-09-21 09:30:00.559 249.9000 249.89 249.90 12700 100 100 25 FALSE
32 2017-09-21 09:30:00.559 249.9000 249.89 249.90 13200 100 100 25 FALSE
33 2017-09-21 09:30:00.559 249.9000 249.89 249.90 17100 100 100 25 FALSE
34 2017-09-21 09:30:00.565 249.9000 249.89 249.90 13200 100 100 25 FALSE
35 2017-09-21 09:30:00.565 249.9000 249.89 249.90 13100 100 100 25 FALSE
36 2017-09-21 09:30:00.565 249.9000 249.89 249.90 10500 100 100 25 FALSE

---> Timestamp jumps back.

37 2017-09-21 09:30:00.556 249.8975 249.89 249.90 10500 100 100 19 TRUE
38 2017-09-21 09:30:00.559 249.8800 249.89 249.90 10500 100 500 11 TRUE
39 2017-09-21 09:30:00.559 249.8950 249.89 249.90 10500 100 200 11 TRUE

Now the L1 data from IQFeed.

Q,SPY,249.9000,249.8900,249.9000,100,ba,25,12100,3000,09:30:00.545301,09:30:00.559047,09:30:00.559047,
Q,SPY,249.9000,249.8900,249.9000,100,ba,25,12100,1000,09:30:00.545301,09:30:00.559077,09:30:00.559077,
Q,SPY,249.9000,249.8900,249.9100,100,ba,25,12100,1100,09:30:00.545301,09:30:00.559107,09:30:00.559107,
Q,SPY,249.9000,249.8900,249.9000,100,ba,25,12100,100,09:30:00.545301,09:30:00.559261,09:30:00.559261,
Q,SPY,249.9000,249.8900,249.9000,100,ba,25,12700,100,09:30:00.545301,09:30:00.559797,09:30:00.559797,
Q,SPY,249.9000,249.8900,249.9000,100,ba,25,13200,100,09:30:00.545301,09:30:00.559954,09:30:00.559954,
Q,SPY,249.9000,249.8900,249.9000,100,ba,25,17100,100,09:30:00.545301,09:30:00.560185,09:30:00.560185,
Q,SPY,249.9000,249.8900,249.9000,100,ba,25,13200,100,09:30:00.545301,09:30:00.566021,09:30:00.566021,
Q,SPY,249.9000,249.8900,249.9000,100,ba,25,13100,100,09:30:00.545301,09:30:00.566318,09:30:00.566318,
Q,SPY,249.9000,249.8900,249.9000,100,ba,25,10500,100,09:30:00.545301,09:30:00.566496,09:30:00.566496,
Q,SPY,249.8975,249.8900,249.9000,100,C,19,10500,100,09:30:00.556657,09:30:00.566496,09:30:00.566496,

--> Here is the trade, note trade time 09:30:00.556657 is before the previous Bid/Ask update time (09:30:00.566496)

Q,SPY,249.8975,249.8900,249.9000,8,O,11,10500,100,09:30:00.556657,09:30:00.566496,09:30:00.566496,
Q,SPY,249.8800,249.8900,249.9000,500,C,11,10500,100,09:30:00.559100,09:30:00.566496,09:30:00.566496,
Q,SPY,249.8950,249.8900,249.9000,200,C,11,10500,100,09:30:00.560176,09:30:00.566496,09:30:00.566496,

Please advise.

IQFeed Developer Support » Decoding Timestamps in Update Messages. Sep 21, 2017 02:05 PM (Total replies: 10)

Hi Tim,

1) I'm using "Last Time"
2) Yep, only one symbol.

Today I've logged the L1 data, so I'll be comparing what I've recorded.
Please let me know if 1) is correct.

IQFeed Developer Support » Access to Historical Data. Sep 20, 2017 06:09 PM (Total replies: 5)

Hi Mark, Thx for the reply.

IQFeed Developer Support » Decoding Timestamps in Update Messages. Sep 20, 2017 05:59 PM (Total replies: 10)

I've switched to using the timestamps in the feed as opposed to local timestamps.
But I'm now getting out of order times. My algorithm is as follows...

* If the "Message Contents" contains "C" use the last trade time.
* else if the "Message Contents" contains "b" use the bid time.
* else if the "Message Contents" contains "a" use the ask time.

This seems straight forward, but is obviously incorrect.
Could I receive a "Message Contents" with a "C" where the Bid or Ask time is after the trade time?
...or an "Message Contents" with a "b" but the ask time is greater than the bid time?

How should I use the "Message Contents" in general to figure out what timestamp to assign a quote?

IQFeed Developer Support » Access to Historical Data. Sep 6, 2017 05:08 PM (Total replies: 5)

So everything that is *not* premium should be available for historical download.

IQFeed Developer Support » Access to Historical Data. Sep 5, 2017 08:25 PM (Total replies: 5)

I have subscriptions to NYSE & NASDAQ, yet I notice I can get delayed ES futures quotes and download ES historical data. Yet I can't get Forex delayed or historical data. What are the rules for accessing historical data for exchanges to which one doesn't have a subscription?

IQFeed Developer Support » Odd Updates On SCOR Apr 25, 2017 02:39 PM (Total replies: 3)

Cool, thank you.

IQFeed Developer Support » Odd Updates On SCOR Apr 25, 2017 01:59 PM (Total replies: 3)

Some guidance would be appreciated.

IQFeed Developer Support » Odd Updates On SCOR Apr 24, 2017 01:33 PM (Total replies: 3)

I have a field set of: Symbol,Last,Bid,Ask,Most Recent Trade Size,Message Contents,Most Recent Trade Market Center,Bid Size,Ask Size

But I keep getting updates like this...
Q,SCOR,25.5000,,,600,C,3,,,

No bid, ask etc...is this a problem or something I should be coding for?


I concur, this would be a good idea.

IQFeed Developer Support » Tick data into OHLCV Apr 4, 2016 01:19 PM (Total replies: 22)

Cheers.

IQFeed Developer Support » Tick data into OHLCV Apr 4, 2016 12:45 PM (Total replies: 22)

'It appears this is related to an issue that occurred back in 2015 during our initial roll-out of microseconds'

Can you please expand on this...it kind of seems like a big deal.
How invalid is the post 2015 interval data?


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