opttrade has contributed to 23 posts out of 18987 total posts
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many thank's for the very prompt check!
Could you please double check the minute bar for
AM 2019-03-13 14:58:00
The candle looks like to contain bad tick
Thanks in advance
I'm having troubles to get the unadjusted hiostorical Open price for stocks.
For backtesting I need unadjusted data. Therefore I take the (unadjusted) 1-minute data and thought that the open price of the 0930 bar (or the first bar after 0930 if this does not exists) will match to the daily open price.
Normally the price IS the open price, but there seems to be some situation where this is not the case.
Example: Feb, 7th 2019:
At 09:30:00 055341 there was a trade at 19.83 which is the open of the 0930 candle
The streaming data for VVV sent an open of 20.43 which seems to be the official open from NYSE_ARCA at 09:32:05 001591
The problem now: How to create valid unadjusted historical daily bars? We have to use intraday data, because daily data from IQFeed are adjusted, but the open of the first minute bar does not necessarily match the real open. To correct this it would be necessary to look into T&S but this is only available for half a year or so.
Any suggestions how to build unadjusted daily (and minute) data with correct open?
Tanks for the prompt fix
Could you please check the minute data for WY and TWLO on Feb, 4th 2019?
Seems there is a bad tick. Daily data are ok.
thanks for the prompt fix.
could you pls check the intraday data for HOLX for 2019-01-25 15:36:14.483137
The tick chart (and Minute chart also) shows a Low at 40.8050 which seem a bad tick. Also the volume in the tickchart has no corresponding in the T&S.
This tick in T&S does not show any abnormality (TickID 612) at this time.
Daily chart is ok.
thanks for reply.
So in summary this means:
If connected by multiple connections:
- In summary messages the values are correct but the "message content" may be wrong / incomplete when watching the same symbol via different connections. For example: if there is a value in Open then just the "o" is missing, but the open occured.
- In update messages all connected connections will get the same values and same correct "message content".
If so, I think I can work around this, but please take in on your roadmap for the next update
Are there any other surprises waiting for me when using multiple connections?
indeed, another program was connected to the feed.
But: I've a few programs working completly independend from each other - they don't know each other and are trading different strategies on different accounts.
Each of the programs opens a connection to the IQFeed and rely on the feed!
It's absolutly inaceptable that two different connections get differnet informations because the feed client says: hey, I've sent the open information allready to the other connections and because of that I don't give you the information...
Technically this leads to absurdity of accepting multiple connections.
This information is a big surprise to me and a showstopper in using IQFeed.
Any idea how to solve?
strange - did there something change on your side?
I just rerun my test and AAPL and also AA is giving me now "Cbaohlcv" in the summary as expected - Why?
thanks for the reply.
I just tried AAPL and AA a minute ago. Both have only "ba" in the summary message.
could you please explain me the message content flag a little bit deeper?
As far as I understand, when subscribing a symbol I get one summary message containing all requested fields and after that I get update messages containing only fields which changed.
When I start watching a symbol I would expect that all message content flags are set in the summary message for all conditions occured in that trading session till now.
But when I start watching a symbol during a trading session which is currently running the summary message (and also not update message) does never contain an "o" flag although it contains an open.
Does the "o" really only occur when you observe the open? I also would it expect in the summary message after the open signaling there is a valid open price in the summary.
thanks for prompt reply.
The problem seems to exist for a longer time, but we started just now to analyze the logs...
As we use business connection and enterprise equipment for routing and firewall (Cisco) I personally would exclude problems with it. Maybe the line is to Long between Europe and US
So the simpliest way will be to requery that symbols.
Many thanks and br
everyday I'm requesting historical minute data for the last trading day for about 3000 stocks and everyday I get somtimes connection errors for some symbols in the middle of the task. When I re-run the task then there are other symbols affected.
The logfile shows an error connecting the history socket
STATUS LookupError 3220 21 2018-11-13 12:17:19 History Connect Error SendIntervalRequest (220.127.116.11:60050). Error:10060.
TO CLIENT LookupError 3220 21 2018-11-13 12:17:19 REQ_HST_INT25,E,Could not connect to History socket.,
As I've no glue how the client internally is communicating with the Servers but it seem's the IQFeedClient having troubles sending the request. The socket connection from my app to the iqClient is still alive and not broken.
The errors (about 10-30 symbols out of 3000) appears never in a row - they are absolutly randomly.
I'm using IQFeed Version 18.104.22.168
thanks for clarifying!
Samples from Nov 5th having the problem:
STZ, AMTD, AAP, AEO, A, ADI, AEE, AEP, AET, AFL, ALB, BA, BAX, BRK B, BK, BSX,....
(and many more...)
samples from Nov 5th WITHOUT problem:
AIG, FCX, ATI, BJ, ADBE, DE...
(and a few more)
Knowing about the problem I currently avoid subscribing symbols in the morning and start the subscription at aprx. 10:00 or 11:00 EST. But to improve my automated trading it would be helpful to find the rootcause when and why this could happen.
on Nov 5th I started my automated trading at 02:47 am (EST) by subscribing L1 for approx 450 stock-symbols.
I understand that there is no or an old open prices in the message.
But the real problem was, that in the summary message content the "o" was set.
Why is the "o" flag set for summary at a point of time of a day where definitifly was no trading? And in update messages there was no further "o" flag for the rest of the day.
I would expect when subscribing to symbols on a day the first message containing an "o" will be sent around 09:30 but not at 02:47. Also giving sometimes an "old" open from the prev day does not make sense to me.
Is there a defined time on your side when you "reset" the open flag and the open price?
Edited by opttrade on Nov 7, 2018 at 07:38 AM
Edited by opttrade on Nov 7, 2018 at 07:39 AM
Thanks for the prompt fix.
I've to trust on Minute data because of some other issues and have now problems with CVX.
Could you pls check the minute data for CVX. The high of 1536.90 on 2018/09/21 at 14:13:00 (14:14:00 on your chart) can't be correct (In daily data you do not see that high)
It also seems, that this bar has been changed!
In an other download for CVX a time ago I got a high 120.44 and a volume of 4975 and now I get a high of 1536,90 and a volume of 4976...
many thanks for clarifying and updateing the documentation.
No good news to hear that daily streaming bars are not available "out of the box". I've to build daily charts reflecting the RTH (0930-16:00) only. So building the volume of the latest bar is a little bit tricky and will result in additional work on my side. I have to aggregate eg hourly derivative bars to the latest daily "streaming" bar by myself...
Many thanks for your support!