||Feb 6, 2011 10:14 PM
||Jan 20, 2015 05:39 PM
||Jul 6, 2016 09:13 PM
Xyzzy has contributed to 10 posts out of 20019 total posts
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20 Most recent posts:
I have a question concerning historical data for two futures on the Eurex exchange, the Euro Stoxx 50 Index Futures (EX#) and the SMI futures (SW#).
According to the information from the Eurex Exchange, both symbols actively trade from 7:50 - 22:00 CET. See the links below for reference:
However, when I attempt to create a minute-based or tick-based chart for either symbol, the chart only shows historical data for the time period of 8:00 to 22:00 CET. In other words, the first ten minutes of the trading session seem to be missing. (This occurs using MultiCharts, with the data session set to "24/7.")
Is there perhaps some error with the historical data that's being offered? It seems that there should be complete data for the trading period from 7:50 - 22:00 CET.
I have a concern about the rollover dates for the CBOT agricultural futures (e.g., corn, @C#, and soybeans, @S#). These are listed as "roll on expiration date" in the symbol guide:
I'm trying to use these symbols to backtest a strategy that runs on minute bars. The problem is that these contracts roll on their expiration date, but the volume for these contracts falls off a cliff roughly two weeks before the expiration, as traders move to the next contract. This means that the trading volume for these symbols is highly inconsistent.
With the continuous corn contract (@C#C), for example, the typical daily volume is roughly 100,000 contracts/day. However, this volume starts to decline one month before the rollover. By the last week, the volume is in the low thousands.
You can see this in the attached charts, which show daily bars and 5-minute bars for @C#C. In the daily chart, note how the volume falls consistently every two months, such as around late February/early March, late April/early May, and late June/early July.
The two five-minute charts show the bars for the period just before and just after the July rollover date. The "before" chart shows very low volume, with only a handful of trades and many bars with zero trades. The "after" chart shows normal volume, with hundreds of contracts per bar.
This inconsistent volume is a real problem for backtesting, particularly on minute-based bars. If I backtest a strategy on this data, then I'll get inconsistent results with the days that have low volume, since there isn't enough trading volume for any strategy to work on those days.
This could be fixed if the symbols had earlier rollover dates -- i.e., if they rolled over to the next contract around the time that the actual trading volume moves towards the next contract. (This seems to be about one month prior to the rollover date.)
Is there a reason that these symbols are set to "roll on expiration date"? Would it be possible to change this, or perhaps to create another set of symbols for these contracts that are the same, but have earlier rollover dates?
Thanks very much.
Edited by Xyzzy on Aug 4, 2013 at 02:29 PM
Edited by Xyzzy on Aug 4, 2013 at 02:31 PM
I misspoke -- actually, the daily bars are now showing a closing time of 15:15, not 16:15, even though they are showing closing prices as of 16:15. This could throw off the results for people who are using this data for backtesting. Could this be fixed, so that the daily bars show the correct closing time of 16:15?
Thanks Todd. I reloaded the data, and it looks like the timestamp has been updated to show "16:15" as the correct daily bar time.
I'm using IQFeed with MultiCharts. I noticed what appears to be a bug with the daily bars for both @TFS and @TFS#C.
Specifically, the daily bars appear to be reporting a "close" time of 18:00 Exchange Time (i.e., Eastern Time). However, the actual closing time should be 16:15 Eastern Time, as explained here:
"Daily Settlement: The volume-weighted average price of all electronic trades transacted in the closing session (16:14 to 16:15 ET)."
I.e., the official trading hours for this symbol are from 20:00 ET to 18:00 ET, but 16:15 ET is considered to be the official closing time. This is consistent with the other e-mini contracts, like @ES, which also close at 16:15 ET.
There might be similar problems for other ICE symbols -- I haven't checked.
Can this be fixed? Thank you.
To follow up on this post, is there any possibility that IQFeed could improve this and make additional minute data available for earlier time periods? I've spent some time backtesting a number of strategies, and this has been a real limitation for me. I've ended up purchasing additional ASCII data from third parties, which has been a real PITA.
It would be so much better if IQFeed could offer a few additional years of minute data itself. I'm not complaining -- you still seem to offer a large amount of historical data compared to other providers. However, if you could take it to the next level, you'd be even more awesome.
I currently have a server that is located at my home in Seattle. I'm using it to run an automated trading system using MultiCharts, with IQ Feed as my data provider and IB as my broker.
IB's servers are located in the New York City area (specifically, Greenwich, CT). Unfortunately, there's currently nearly 100 ms of latency between my current computer and the IB server at gw1.ibllc.com.
I'm considering having my server hosted someplace else, like at a data center in the New York City area, to minimize the ping. I'm not looking for a low-latency system per se, but I would like to eliminate any unnecessary lag between my server and the broker.
Based on the thread below, it appears that the IQ Feed servers are located in Denver. If this is the case, would there still be a significant benefit to having my server hosted elsewhere? E.g., if I had my server hosted in the New York City area, how much latency should I expect between Denver and New York? Alternatively, would it make more sense to have my server hosted in Denver, or someplace central like Chicago?
If any of the IQ Feed technical support people would have time to ping the IB server (gw1.ibllc.com) from their Denver location and report back, that would be great. That would give me some idea of the "best case" ping between Denver and New York.
For what it's worth, my strategy currently is mostly trading futures on CME Globex in Chicago. However, I think that my trades will still have to go through IB's severs in New York before they're routed by IB back to CME in Chicago. (Please correct me if I'm mistaken.)
Edited by Xyzzy on Feb 16, 2012 at 03:04 AM
Thanks again. It would be great if DTN could perhaps beef up the information on these pages to provide more explanation about each exchange.
Returning to the RUSSELL and RUSSELL-FL issues, MultiCharts requires me to define a new "Exchange" before importing these symbols. However, it also requires the trading hours before I can complete that process. ("Trading hours" might be a misnomer for indexes, but it wants to know the relevant hours of operations.)
I can't figure out what the hours are for the Russell indexes, either on the Russell website or elsewhere. Since many of the indexes are global, are they 24/7 indexes? If not, could you point me in the right direction for this information?
Than you very much, Jay and Steve. As a related question, I've generally had some difficulty figuring out details about what symbols and information are contained within each particular feed.
I've noticed that some of your competitors have fairly detailed information on their websites to describe this information, such as this page (with hyperlinks) from TradeStation:
Is there any chance that IQFeed could provide similar information on its website about what symbols and markets are included in specific fees? Or have I just missed that information? That would make it easier for me to find what I need, and make sure that I've ordered the right feeds.
Edited by Xyzzy on Feb 14, 2011 at 01:17 PM
Edited by Xyzzy on Feb 14, 2011 at 01:18 PM
I'm trying to import various symbols into MultiCharts. When I attempt to import various "Index" symbols, I receive the following error message: "You must create exchanges first: NYLED, RUSSELL, RUSSELL-FL"
I understand that this means that MultiCharts doesn't recognize these three exchanges identified in the IQFeed list (namely NYLED, RUSSELL, and RUSSELL-FL), and that I need to define these exchanges manually so that the symbols will import correctly and be associated with these exchanges.
To do so, I need to provide certain information in MultiCharts, such as the full names and trading hours for these three exchanges. However, I can't find this information online. For example, I'm Googling for the name "NYLED," and I can't find any references for this exchange other than on the IQFeed website.
What do these three exchange names refer to, and how do I locate the full names and trading hours for these exchanges? Thanks much.