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DTN_Gary_Stephen has contributed to 104 posts out of 19686 total posts
(0.53%) in 410 days (0.25 posts per day).
20 Most recent posts:
IQFeed 3rd Party Software Support »
Form T Intraday Filter Aug 4, 2020 08:53 AM
(Total replies: 3)
Roberts, In the IQFeed API, there is no way to filter an HID request by trade type. However, there are some other possible approaches: HTD, HTT, and HTX (tick-level) history requests include the Trade Condition. You can't submit a request that filters for this, but you can retrieve all ticks, and use your own code to identify the ones that include the FORMT trade condition. The code "17" as all or part of the Trade Condition code indicates a FORMT Trade Condition. You can see a list of all the Trade Condition codes by sending the command STC to Port 9100. (The codes are in hexadecimal, while the STC list is in decimal. so FORMT is code 17 in the ticks and 23 in that list.) Another approach is to use the Level 1 feed to follow symbol(s) live. The Most Recent Trade Conditions field contains the Trade Condition code as described above. Also, there is a field Message Contents that more generally tells you what drives this tick: C - Last Qualified Trade. E - Extended Trade = Form T trade. O - Other Trade = Any trade not accounted for by C or E. b - A bid update occurred. a - An ask update occurred. o - An Open occurred. h - A High occurred. l - A Low occurred. c - A Close occurred. s - A Settlement occurred. v - A volume update occurred. Please note that you must use Protocol 6.1 to get the Trade Condition. This data point does not exist in earlier protocols. I hope this information is helpful! Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Corrupted L1 data-in recent past on multiple products at 'random' times Jul 30, 2020 09:25 AM
(Total replies: 28)
I'm not sure what you mean by "empty". But those two ticks are settlements, not trades. The symbols are options that expired at the end of the day. When that happens, the exchanges send a "settlement" transaction, which shows up as a tick. The Most Recent Trade Conditions field tells you if a tick represents a trade, or something else. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Corrupted L1 data-in recent past on multiple products at 'random' times Jul 20, 2020 02:58 PM
(Total replies: 28)
DTN had a brief internal issue receiving CME data today, at this time. I will add your report to our internal investigation. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Corrupted L1 data-in recent past on multiple products at 'random' times Jul 20, 2020 01:42 PM
(Total replies: 28)
Do you mean the symbol @ESU20? In looking at the historical data for the time you give, I don't see any cases where the Bid exceeds the Ask. Can you give an example? Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Downloading Historical Intraday Future Ticks Jul 20, 2020 07:58 AM
(Total replies: 3)
Greg, Excellent! I'm glad I could help. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Downloading Historical Intraday Future Ticks Jul 17, 2020 10:58 AM
(Total replies: 3)
Hello, this is Gary with IQFeed API Support. Your request is fine. You can request as much data as you want. It sounds like the data is queueing, which happens when IQFeed cannot send data that has been requested. In other words, IQFeed is sending data faster than your code is processing it, and the receive buffer is filling up. To monitor this, open Diagnostics/Client Stats tab, and observe the "KB Queued" column for the Lookup port during a request. You'll probably find that it starts low and slowly increases as data comes in. How do you avoid this? Generally, DTN recommends using three different threads in your app: one to retrieve the data from the API, one to convert the information into the form you want, and a third thread to act on it (draw a chart, put it in a database, whatever your app does). Also: having multiple connections to the IQFeed, and having each connection retrieve part of the desired data, can improve performance. I hope this helps! Let me know if you have any other questions or issues getting data from the API. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Pulling historical OPRA chains Jul 17, 2020 09:09 AM
(Total replies: 1)
The CEO command will only retrieve option symbols that are not yet expired. History command can retrieve historical data for expired options if you know the symbol, e.g. GOOG2017A1070. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
HIT: Missing data or data compression? Jul 17, 2020 08:08 AM
(Total replies: 3)
Yes, this is standard behavior of the API. If no data exists for a specified time period, the API will omit it from the response. There were no transactions for this symbol in the minute of 2010-01-03 17:47:00, so no record is created. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Historical Data Questions Jul 9, 2020 04:21 PM
(Total replies: 2)
In the IQFeed API, daily history is adjusted for stock splits. Minute and tick history is not adjusted for stock splits. For other corporate actions, such as special one-time stock awards, it depends on how they are entered into the data. If they are treated as stock splits, the above applies. The amount of historical data available varies greatly by symbol and exchange. As you note, tick data is only available for the past 180 days. In general, minute data is available back to about 2007-2008. In some cases, hourly, daily, or monthly data may be available for many years further back. There's no hard-and-fast rule on it; you can try to request any historical data, and the IQFeed API will return whatever is available. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Connect to Level 1 AND News Lookup at the same time Jul 8, 2020 04:28 PM
(Total replies: 1)
Antoine, The IQFeed API allows connections, including to multiple ports at once, at the same time. Are both your connections coming from the same computer? If your two connections are from two different machines, and using the same LoginID, the second connection will disconnect the first one. This is a limitation of the loginID. If you're trying to make both connections from the same computer, can you tell me more about what happens when you are disconnected? You should be able to connect to both news and data ports as you describe. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist Edited by DTN_Gary_Stephen on Jul 8, 2020 at 04:31 PM
IQFeed Developer Support »
Level 2 returning "U" messages. Jul 8, 2020 04:10 PM
(Total replies: 3)
Most likely you are not sending an S,SET PROTOCOL. Summary messages used to be specified as "U" instead of "Z" in the default protocol of 4.9, which is the default protocol. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Wish List »
Open Streams by FIGI Code Jun 24, 2020 08:12 AM
(Total replies: 5)
I apologize for the misreading. Apparently my caffeine REALLY hasn't kicked in. I'm not aware of any future plans to implement FIGI in this fashion. Also, it occurs to me that such functionality could be built, using what's currently available. If you built a database of all the symbols and FIGIs, you could accept the FIGI as user input, cross-reference it to the symbol, and send the command to the IQFeed API using the symbol. The FIGIs can be collected using watches on the Level 1 port (watch symbol, collect FIGI from fundamental message, unwatch symbol). Alternatively, I am aware of a third-party API called OpenFIGI which you can use to retrieve FIGI for a given ticker symbol and exchange. There may be other similar options out there. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Wish List »
Open Streams by FIGI Code Jun 24, 2020 07:03 AM
(Total replies: 5)
Disregard my prior response; apparently my caffeine hasn't kicked in yet. FIGI is already implemented in IQFeed; it is part of the Fundamental Message in Protocol 6.1: F,MSFT,5,33.3,35013000,203.9500,130.7800,203.9500,132.5200,1.0100,0.5100,2.0400,09/10/2020,08/19/2020,6.06,,0.14,06,MICROSOFT,MSFT,54.100,0.84,,175552.0,69420.0,03/31/2020,66662.0,7583440,0.50 02/18/2003,0.50 03/29/1999,14,4,7372,26.97,1,21,06/23/2020,08/05/2019,06/23/2020,03/23/2020,157.7000,,,,,511210,,,,,,USD,,,,,BBG000BPH459,, You can retrieve it from that message whenever you follow a symbol. It is not in protocols earlier than 6.1, so you'd have to update if you're not already using it. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Keeping up with L2 flow during busy market hours Jun 24, 2020 06:51 AM
(Total replies: 7)
Thanks for the update! IQFeed is a native Windows program, and I can't offer a lot of advice on how to run it under Linux or any non-Windows OS. You might also look for any Wine errors or log messages at the times you're having these spikes; in some cases that can clue us in to what's causing it. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Wish List »
Open Streams by FIGI Code Jun 24, 2020 06:44 AM
(Total replies: 5)
Edited by DTN_Gary_Stephen on Jun 24, 2020 at 07:01 AM
IQFeed Developer Support »
Questions about api Jun 17, 2020 12:20 PM
(Total replies: 3)
The maximum number of simultaneous history requests is tied to the loginID, not the connection. So having 10-15 multiple threads under the same loginID will not increase that limit. Only tick-level historical requests will return Bid and Ask. I can't really comment on end user download speeds, because that depends largely on how much data you're downloading, time of day, internet connection, and other factors. In general, best practices are to have different threads for retrieving data from the API, converting it to your desired form, and then acting on it. Having multiple connections to the IQFeed API can help also. The timestamps in the data are exchange timestamps, so you can use those to determine your total transit time. DTN has general sample code in C, C#, Java, and Visual Basic at iqfeed.net, and we are aware of several Python repositories around GitHub. But I'm not aware of any such code for that specific purpose. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Wish List »
Binary Protocol Jun 17, 2020 10:37 AM
(Total replies: 12)
Can you be more specific? The number of ASCII characters in an API response can vary a great deal, depending on the request. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Keeping up with L2 flow during busy market hours Jun 17, 2020 09:03 AM
(Total replies: 7)
If you decide you would like us to review it, you can get in touch with me via any of the support channels. Ask to speak to Gary (me), and I'll handle everything from there. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Questions about api Jun 17, 2020 08:57 AM
(Total replies: 3)
Answers to your questions: Online documentation of the IQFeed API can be read at http://www.iqfeed.net/dev/index.cfm?login=login. You will need to login with your website username and password, which you received when you subscribed to the API product. If you don't know it, that URL has a "send me my password" link. You just need to enter your email address. If you still can't retrieve it, contact IQFeed support. The most basic way to build historical bars is a history command, as per https://www.iqfeed.net/dev/api/docs//HistoricalviaTCPIP.cfm. What you probably want is an HIT command. This allows you to specify a symbol, interval, start/end date/time, and get a list of all intervals in that range. This will return Timestamp,High,Low,Open,Close,Volume,Period Volume. If you want to collect historical bars and gather new bars as they come in, the BW command works similarly. Yes, tick data generally goes back 180 days. Minute and daily data goes back further. There is no limit to concurrent connections, provided they all come from the same computer. To have concurrent connections from different machines would require multiple IQFeed login IDs. There can be 15 history requests active at one time. "Active" means the request has been sent and the data has not been completely returned yet. If you are requesting large amounts of history for a large number of symbols, you might have to space your requests out a little. But most requests process so quickly this isn't an obstacle. If you are doing any kind of live "watching" of a symbol, you may only watch up to 500 symbols at a time, unless you pay an additional fee to view more. There are no per-time period maximums on the total number of historical requests you make. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Keeping up with L2 flow during busy market hours Jun 16, 2020 12:22 PM
(Total replies: 7)
If you are willing, we can test your app in-house. This will help eliminate network or machine as possible causes of the delay. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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