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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?

IQFeed Developer Support » 5.2 Set Protocol. Feb 12, 2016 02:10 AM (Total replies: 2)

Figured it out, brain fade at this end.

IQFeed Developer Support » 5.2 Set Protocol. Feb 11, 2016 12:55 PM (Total replies: 2)

I'm using the new 5.2 client, I notice that when I send it a set protocol message with '5.2', it echos back '5.1'.
Is this expected?

IQFeed Developer Support » New Subscriptions. Jan 4, 2016 04:40 PM (Total replies: 1)

When I start logging out the news messages I'm getting, I'm seeing the 'BEN' stuff as expected, but I also see all sorts of other stuff. e.g. CBW, CIW, CPZ, CPR etc. Are these also free?

Sorry: I meant "News Subscriptions" in the title...
Edited by Craig on Jan 4, 2016 at 04:42 PM

IQFeed Developer Support » CMEMINI Time-Stamps Dec 4, 2015 03:53 PM (Total replies: 5)

Cool, ta.

IQFeed Developer Support » CMEMINI Time-Stamps Dec 4, 2015 11:13 AM (Total replies: 5)

K, thanks, and just to be sure I understand the symbols.
I would send @ES#C (for example), to get back adjusted history.
But watch @ES# in real-time.

IQFeed Developer Support » CMEMINI Time-Stamps Dec 4, 2015 11:00 AM (Total replies: 5)

I'm sure this information is on your site, but I can't seem to find it.
What time zone is the CMEMINI live and backfill data time-stamps in?


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