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pwave has contributed to 17 posts out of 21185 total posts
(0.08%) in 3,352 days (0.01 posts per day).
20 Most recent posts:
Data and Content Support »
CME Euro contract change Jan 15, 2016 02:29 PM
(Total replies: 0)
Hello, I noticed there is a news thread for futures symbol root changes. I was wondering if there is more than one news thread for futures contract changes or if the aforementioned thread carries all contract change announcements (and not just root name change announcements). For example, the CME recently changed the Euro tick size from 0.0001 to 0.00005. While IQFeed correctly reflected the change in the datafeed, I did not see any announcement in any IQFeed news thread. What do I need to track so that I do not miss such changes in future? Thanks.
IQFeed Developer Support »
API questions Mar 1, 2015 12:16 PM
(Total replies: 6)
A correction to the API spec: the description on dynamic fields sets in API help page DynamicFieldsets.html at the bottom says that fieldset customization results in response S,CURRENT UPDATE FIELDNAMES,Symbol,Last,Percent Change,Change,<CR><LF>. I am finding that this to be <LF> terminated and not <CR><LF> terminated.
IQFeed Developer Support »
API questions Feb 27, 2015 11:40 AM
(Total replies: 6)
I wanted to understand the clock used in the timestamps in LastTimeMS and MostRecentTradeTimeMS fields. The API documentation says "provided by excchange or 3rd party". 1. Who is the "3rd party"? Is that CTS and UTP for equities? 2. Presuming "3rd party" is CTS/UTP, there seem to be at least 3 choices for the timestamp provider: (a) exchange clock, (b) CTS/UTP clock, (c) DTN server clock. Whose clock is being used for the timestamps? Thanks.
IQFeed Developer Support »
API questions Feb 27, 2015 10:28 AM
(Total replies: 6)
Tim, thank you clearing my confusion on #1. While the API documents call for app to register via admin port, quite a few of the sample apps provided do not do that and on startup they simply connect to the port of interest and do whatever it is they need to do. I will take your advice on adding that registration functionality for purposes of troubleshooting issues down the line even though at the moment I do not know how that helps with troubleshooting. Regards.
IQFeed Developer Support »
API questions Feb 27, 2015 02:09 AM
(Total replies: 6)
Hello, I wanted to clarify my understanding of the API. I have some questions as follows: 1. If IQConnect is already connected to the servers since another app (say DTN.IQ) initiated the connection and is watching some symbols via its own watch list, then I presume that my app (to be clear, "my app" is an app being developed by me for some proprietary processing) does not need to connect to IQConnect on the admin port and register the product ID and so on and issue the "S,CONNECT" command. Correct? 2. I presume in above case, my app which is interested in just symbol trades, can simply connect to the Level 1 port on startup, issue a tSYMBOL command for all symbols of interest and start acting on messages received. Correct? 3. When my app issues a "S,UNWATCH ALL" command, I presume that since DTN.IQ may still be watching symbols, the symbol data continues to stream between the servers and DTN.IQ. In other words, symbol data continues to follow between IQ servers and IQConnect as long as there is at least one app watching the symbol. Correct? Thanks.
IQFeed Developer Support »
NYMEX symbols Feb 26, 2015 01:10 AM
(Total replies: 1)
Hello, I am unable to use the SnapQuote or the WatchList to look up NYMEX futures though they work for all other futures. For example, when I look up Crude Oil April 2015 using QCLJ15 in SnapQuote, it returns "Invalid". Is there a permission or configuration issue or am I misunderstanding the symbology? Thanks.
IQFeed Developer Support »
symbol events list Feb 25, 2015 01:31 AM
(Total replies: 1)
Is there a web page or other means by which one can see at one glance all US equities for the upcoming week with the following: new symbol additions, symbol deletions, symbol name changes, equity symbol deletions, and any upcoming splits or dividends. Thanks.
IQFeed Developer Support »
Adjusted Prices. Feb 24, 2015 11:15 PM
(Total replies: 8)
Hello, From reading this, my understanding is that for equities historical data the daily data is split and dividend adjusted while tick and minute data is not adjusted for either splits or dividends. Is that correct? Thanks.
IQFeed Developer Support »
trade conditions mapping to CEO Feb 23, 2015 08:30 PM
(Total replies: 9)
Thank you Tim.
IQFeed Developer Support »
trade conditions mapping to CEO Feb 21, 2015 11:47 AM
(Total replies: 9)
Thanks Tim. These are indeed limited to 4 fields by the equities exchanges (p111 of CTS specification and p6-17 of UTP specification). Do you have pointers to the corresponding specifications for last-qualifying trades for CME and ICE?
IQFeed Developer Support »
trade conditions mapping to CEO Feb 20, 2015 02:41 PM
(Total replies: 9)
Thanks Tim. Yes, I have those exchange specifications. A couple more questions to get completely clear and we can close this topic. In the documentation for historical lookup via TCP it says that the trade conditions field will be "one to four 2digit hex numbers". 1. I assume the hex numbers are not comma delimited. So, as example, trade conditions 61 (decimal for Intermarket sweep) (0x3D) and 135 (decimal for Odd lot) (0x77) would appear as one string "3D77"? 2. It says "one to four". I presume there is no guarantee that it is restricted to four? Could be six conditions though that would be very rare? For realtime, the Update/Summary message documentation for Most Recent Trade Conditions simply says "non delimited 2digit hex numbers" and leaves out the "one to four". Thanks.
IQFeed Developer Support »
trade conditions mapping to CEO Feb 20, 2015 01:47 PM
(Total replies: 9)
Thanks Tim. Yes, I understand the E in CEO. Your documentation explained it. I wasn't looking for you to provide the exchange specifications but rather an indication of which trade conditions are mapped to C and which to O. If you see the screenshot below of the SystemInfoSocket tool that you have provided, the trade conditions are dynamically retrieved and displayed in 3 column format with first being the number, the next two columns being a short name and a long name for the condition. A fourth column indicating whether it is treated as a C or O would have been very helpful. Is such information available? Thanks again.
IQFeed Developer Support »
tools documentation Feb 20, 2015 01:34 PM
(Total replies: 3)
The API documentation is excellent. Helped me understand all the operational details of the API to be able to write my own client in a few hours. But I see that there are a number of tools such as IQExplorer and IQLinkLauncher and I see no documentation on them. Can you point me to anything that will help me make effective use of them? Also, is there one single tool from which you can connect to all the four different ports (5009, 9200, 9100, 9300) and send commands and receive responses to see the full API working from one place? Thanks.
IQFeed Developer Support »
trade conditions mapping to CEO Feb 20, 2015 01:29 PM
(Total replies: 9)
I went through the API documentation and I understand that the trade conditions get mapped to the 'C','E','O' qualifiers in the Message Contents field. I can dynamically get a list of trade conditions using the SystemInfoSocket tool that you have provided (screenshot below). But this just provides the list and does not provide which trade condition maps to C and which maps to O. Is there a way to query that information or do I have to triangulate the CTS and UTP specs (screenshot of one the pages below) with the potential for making erroneous assumptions on how you may have actually mapped the trade conditions?
IQFeed Developer Support »
couple of questions Feb 20, 2015 01:22 PM
(Total replies: 7)
Why not have tSYMBOL be filtered at the server? It makes sense for following reasons: 1. It would make the datafeed much more efficient and robust to packet drops in the Internet. The fewer packets you send, the more robust the feed since you have fewer points of failure. 2. Every packet drop in the Internet leads to TCP misbehavior which adds to the delay. 3. It would reduce your costs by significantly reducing the bandwidth demand on your datacenter outgoing links (and the volume of quotes has been going up over the years with HFT while the volume of trades have remained the same). 4. As a retail trader, changes in quotes do not make sense to me. They are not actionable information to me since I am at a huge latency disadvantage compared to the hedge funds. I only care about actual trades.
IQFeed Developer Support »
couple of questions Feb 20, 2015 09:55 AM
(Total replies: 7)
Perfect. Thank you Tim.
IQFeed Developer Support »
couple of questions Feb 20, 2015 09:20 AM
(Total replies: 7)
Hello, I started with the API yesterday and went through the documentation. Very well documented with examples. I have a few questions. The first three questions are motivated by desire to make the datafeed work as efficiently as possible while using as minimal resources as possible even though I have a 20Mbps ISP connection and a powerful desktop. 1. How many more messages would one generally receive for a typical equities symbol if one watched it with wSYMBOL as opposed to tSYMBOL assuming a Level1 subscription? 2. For trade messages in wSYMBOL and tSYMBOL when the Message Contents field has 'C' designation: do the bid and ask fields contain the best bid and best ask at the time of the trade? 3. On the average, how many bytes of data are fetch per tick from your servers? The protocol between my app and IQConnect is string based and seems to consume hundreds of bytes. I presume the connection between IQConnect and the servers is more efficient; can you give me an idea of the average number of bytes used per tick? 4. How many client apps can be simultaneously connected to IQConnect? I use a charting platform and besides that I would like to have my own app connect to the datafeed as well for purposes of additional processing and monitoring. Thanks. |
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