Lav2018 has contributed to 10 posts out of 20642 total posts
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Consider the following situation:
15:14:59 @ES# trades for 2500.00
15:15:02 @ES# settles for 2500.25
15:15:05 I start a trades-only watch on @ES# with command "t[@ES#]"
I will then immediately receive Summary Message at 15:15:05. In that Summary Message, what will the values of the following fields be:
Most Recent Trade
I have seen other data providers send out "ticks" that give the settlement price for the future contract each day at closing; these ticks have a volume of 0. I do not want these ticks.
I only want to follow ticks that represent actual trades taking place on the exchange. What's the best way to achieve this? Would it be the Extended Trade field?
On this same topic, in dealing with @ES# can you tell me the difference between the Extended Trade fields and Last fields? I understand their difference in terms of stocks, but not futures.
Sounds reasonable. I will let you know if I find others. Thanks.
Will it be possible for your team to identify other days and other contracts that have this same problem? I was only checking 25 symbols for 1 month. I think it is likely that this happens with other contracts and on other roll dates.
I am very happy with the live data that IQfeed provides, but the historical data appears to have major issues.
How are historical files maintained and checked for accuracy? I tried downloading 25 symbols (minute bars from September 3 to September 28), and 14 out of 25 files were missing the entire trading day of September 20. I can't say all other bars were present, but missing an entire day was obvious.
The symbols missing data were:
I brought up the missing data for @XAE# to support staff, and they have since fixed it. However, the symbols SMM, STG, STM, STN, STO all remain incomplete.
Is there an easy explanation for the errors? I would like to think that I can rely on the data, but right now I feel responsible for finding gaps and reporting them to you. I am not in the best position to find gaps, and therefore worry that many others may exist in the data.
Am I safe with the assumption that the messages I receive for one symbol will be in chronological order, or do I need to code for the possibility that an exchange or IQFEED may send a tick out of chronological order occasionally?
Particularly, if my requests are
S,SELECT UPDATE FIELDS,Symbol,Most Recent Trade,Most Recent Trade Time
Will Most Recent Trade always be the most recent? Or do I need to use CPU checking its timestamp against the previous tick's timestamp?
I ran into this same problem. Found this thread in a search. I fixed my problem already, but for anyone just starting out with the API:
the example on http://www.iqfeed.net/dev/api/docs/docs52/InitializingTheFeed.cfm has small typo so can't copy/paste it into your code and replace with your parameters
IQConnect.exe ?product YOUR_PRODUCT_HERE?version 220.127.116.11 ?login 100000 ?password 1234 ?autoconnect
It is missing a space between YOUR_PRODUCT_HERE and -version. Once I fixed that it works.
Makes sense. Thanks.
I've found all of the sample C# programs very helpful and the comments make for easy following. I have one question about the Level1Socket program.
In Level1SocketForm.cs, lines 201-202 are:
// move on to the next message. This isn't very efficient but it is simple (which is the focus of this example).
sData = sData.Substring(sLine.Length + 1);
Do you have any examples showing more efficient ways? If not, can you please point me towards a better solution. Thank you.
I have a few technical questions regarding derivative bars in IQfeed. Apologies if I missed this information in the documentation, but I could not find it.
1. Lets say I have requested streaming bars with an interval of 60 seconds. In the messages my client receive, what will [DateTime] represent? Will it be the start time of the interval or the end time of the interval? E.g. Would 12:00:00 be for interval 2:00:00 to 12:00:59, or interval 11:59:01 to 12:00:00?
2. Within IQFeed, what determines when a bar is "finished" being built and sent out to my client? Is it my internal computer clock, IQfeed's server clock, or timestamps on ticks? If it is timestamps of ticks, then I suppose the bar won't be sent to the client until a tick with timestamp OUTSIDE that interval has arrived. That could cause delays in instruments with low volume.