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20 Most recent posts:
IQFeed Developer Support » Live feed delayed quotes Feb 12, 2020 12:47 PM (Total replies: 2)

I'm not aware of any delays but I will investigate.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » Market snapshot error on EDS / 5MS command Jan 7, 2020 02:06 PM (Total replies: 10)

All,

We've had a handful of reports of this issue now, and I'm getting an official ticket raised to the development team. My notes about the issue so far:

- This behavior has been very rare. But when it does happen, it can be reproduced.
- So far, only attempts to retrieve the NASDAQ and OPERA exchanges seem to be affected.
- Both 5MS and EDS commands are affected.
- Each time it is reproduced, the number of bits of the failed file is the exactly same (varying slightly by the day it happens and/or exchange). This suggests a corrupt file-type problem as opposed to a connection problem.
- Wine log shows nothing out of the ordinary. All functions appear to work normally until failure point.
- IQFeed log shows an immediate (within 6 seconds) response of 1,E,Incomplete file from server.
- Which means that IQFeed isn't reading through the file, and then reaching a failure point. If so the parts of the file up to the failure point would be in the log.
- Oddly, this Incomplete File From Server message is sent twice, which parallels the report that !END_MSG! appears twice.
- Do not suspect a server issue. In reviewing our logs, affected users connected to a large number of different servers in our load balancing pool.
- I had an affected user (John Jones) see if a basic telnet connection would reproduce the problem. It did. So the issue seems linked to hardware or connection, not the program being run.

If there are any other observations, please add them to this thread. Due to the rarity of the problem, we may not have uncovered everything yet, and any examples will be helpful to have.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » Socket problems Jan 6, 2020 05:35 PM (Total replies: 1)

David,

Hello, this is Gary Stephen with DTNIQFeed API Support. I apologize for the slow reply on this.

First, let's clarify that these are two different things. "Could not connect" means you can’t connect, “NO_DATA” means you ARE connected, but your request did not turn up any data (like searching at a time the market is closed). That is a reply from the server.

Re-requesting a connection when you get "unable to connect" is fine. And probably a good idea, the Internet being a unreliable sometimes. But I'm puzzled at the behavior of the NO_DATA responses; in these cases, you already are connected, so re-connecting isn't going to do anything. And an API command responds NO_DATA, it should always respond NO_DATA (except in some rare circumstances during maintenance times when data may be offline).

In this "phantom connection", what exactly remained connected? If you don't have a port connection, IQConnect.exe will shut itself down within 30 seconds. So there should be no lingering connetions. I would want to do some port checks and see what's still connected. What else can you tell me about the circumstances bring about these NO_DATA responses you've mentioned?

Sincerely,
Gary Stephen
DTN IQFeed API Support

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » Market Summary Files incomplete Dec 22, 2019 02:53 PM (Total replies: 4)

I'll have to try again to reproduce the problem, which I haven't been able to do so far. I may also ask affected customers if they're willing to do some logging to try and capture a log with the issue.

Sincerely,
Gary Stephen
DTN IQFeed API Support

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



BBMat,

Currently, the HIT command will return only data from trades, not bids/asks. It sounds like you want a history of bid/ask data, correct? The forthcoming IQFeed 6.2 will have expanded book capabilities, but I don't know the details of yet.

Sincerely,
Gary Stephen
DTN IQFeed API Support

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



This notification is to explain any unusual behavior you may have observed in the symbols QCL#, QNG#, QHO# and QRB# earlier this week.

In response to feedback from customers who felt these contracts were rolling over too late, DTN made a decision to change the rollover rules for these symbols from 3 days to 8 days. This change took effect Sunday night, Dec.8th.

However, after additional customer feedback and discussion, we reconsidered this change. The rollback rules were changed from 8 days to 4 days on Monday, Dec. 9th, and then back to the original 3 days on Tuesday, Dec. 10th. They will remain at 3 days going forward.

QNG# was most affected, as that contract actually rolled during this time. This resulted in the continuous symbol showing the February contract for a few hours on Monday morning, and reverting to January.

If you store historical data for QNG# in a database, you may want to re-download any data for December 9, 2019. This data will be correct going forward.

Our standard notification protocol was missed, and we sincerely apologize for any confusion or inconvenience this may have caused. Our procedure is to post any updates/new releases to our forums in advance. This allows our customers the opportunity to provide feedback and make any updates on their end. At DTN, our mission is to delight our customers, we apologize we fell short of that target.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



Yes, I apologize for not replying until now. But I can answer your question:

The HIT function defaults to having the time label at the beginning of the interval. So in your example:

HIT,@VX#C,60,20191022 102800,20191022 103400,,,,1

2019-10-22 10:28:00,18.300,18.250,18.250,18.300,13607,11,0,
2019-10-22 10:29:00,18.300,18.250,18.250,18.250,13783,3,0,
2019-10-22 10:30:00,18.250,18.250,18.250,18.250,13950,16,0,
2019-10-22 10:31:00,18.300,18.250,18.250,18.250,15371,1177,0,
2019-10-22 10:32:00,18.250,18.250,18.250,18.250,16036,637,0,
2019-10-22 10:33:00,18.300,18.250,18.250,18.300,16461,338,0,
2019-10-22 10:34:00,18.300,18.300,18.300,18.300,17083,593,0,

The time period designated 10:29:00 is the beginning of the interval; this interval covers the time from 10:29:00 to 10:29:59.99999. It is possible to make this request such that the time period labeled 10:29:00 ends at 10:29 instead of starting at 10:29. That parameter is called LabelAtBeginning, and you have to enter a 0 there:

HIT,@VX#C,60,20191022 102800,20191022 103400,,,,1,,,,0

This will return:

2019-10-22 10:29:00,18.300,18.250,18.250,18.300,13607,11,0,
2019-10-22 10:30:00,18.300,18.250,18.250,18.250,13783,3,0,
2019-10-22 10:31:00,18.250,18.250,18.250,18.250,13950,16,0,
2019-10-22 10:32:00,18.300,18.250,18.250,18.250,15371,1177,0,
2019-10-22 10:33:00,18.250,18.250,18.250,18.250,16036,637,0,
2019-10-22 10:34:00,18.300,18.250,18.250,18.300,16461,338,0,
2019-10-22 10:35:00,18.300,18.300,18.300,18.300,17083,593,0,

The time period designated 10:29:00 is now the time period beginning at 10:28:00.0000001 and ending at 10:29:00. You can see that the time period with 11 volume is labeled 10:28 in the first example and 10:29 in the second. So you can make the timeframes of the history command match those of a watch command if you want.

Sincerely,
Gary Stephen
DTN IQFeed API Support

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



Yes, that is a correct statement. If you like, I can put in a request to add more historical split dates to the data the API can return.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



An updated version of the file is available: ftp://www.dtniq.com/beta/IEOPTION.zip

The folder ftp://www.dtniq.com/beta/ also contains some dated past versions of this file.



Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Edited by DTN_Gary_Stephen on Nov 20, 2019 at 11:07 AM
Edited by DTN_Gary_Stephen on Nov 20, 2019 at 11:07 AM


I have requested that a new version of the file be generated.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



The short answer is: that's an incorrect assumption.

The Close of a minute is not necessarily the Open of the next minute, even within the same day. Minute data is built from individual trade data within that minute. For example, the last transaction of the 10:00 minute can have a price $5.00, and the first transaction of the 10:01 minute can have a price of $5.01. That would give you a 10:00 Close of $5.00 and a 10:01 Open of $5.01. This is common.

In other words, IQFeed doesn't publish an Open based on the Close of the previous interval. An Open only occurs when a new transaction happens, and that new transaction may be at a different price level than the previous.

Sometimes the Open of a minute (or any interval) will match the Close of the previous one, but this is by circumstance only.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » API on Linux Oct 31, 2019 09:23 AM (Total replies: 3)

Marcin,

IQFeed has always been developed as a Windows program. The app IQConnect.exe is what makes the connection to the API servers. The only thing you have to do is launch it with some parameters to make the connection with the IQFeed servers.

IQFeed does have a number of Linux users, and there is a long-term plan to implement IQFeed for it, though there is currently no ETA. So, in the meantime, you’ll have to use Wine or a comparable solution to run IQConnect.exe in Linux. I can help with this.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



I am looking into this now, and will post an answer soon.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » Futures Options symbol construction Oct 14, 2019 11:26 AM (Total replies: 3)

Yes, that name convention appears to be correct. I'm finding option symbols for:

@JPUJ20P9300 JPY/USD PREMIUM SYLE 2PM FIX APRIL 2020 PUT 9300
@GBUJ20C12400 GBP/USD PREMIUM STYLE 2 PM FIX APRIL 2020 CALL 12400

By the way, I was able to locate these with the IQFeed.net symbol lookup tool at:
http://iqfeed.net/symbolguide/index.cfm?symbolguide=lookup&displayaction=support§ion=guide&web=iqfeed

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » Allow me to introduce myself. Oct 14, 2019 10:39 AM (Total replies: 1)

Hello! This is Gary Stephen with DTN. It occurs to me that I jumped into this forum without properly introducing myself, so I will do so now.

I joined the IQFeed team at DTN in July of this year. I specialize in supporting the IQFeed API, and to a lesser extent IQFeed in general, and other DTN product APIs. I worked for DTN from 2012-17 in a different capacity, and am happy to have rejoined the company. I am based in Omaha, where our corporate office is, but I'm from Florida originally. Much of my background is in websites; I like working with HTML/CSS, PHP, MySQL, and JavaScript.

I am tasked with answering emails, chats, and forum posts. I try to get to everything as quickly as possible. The developer support address comes directly to me. Feel free to send me any questions you may have about the API! It's great to be here, and I hope I can help you get the most out of the product!


Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Edited by DTN_Steve_S on Oct 14, 2019 at 11:01 AM


I can give you a little information about the Trade Aggressor field. As of Protocol 6.1, which was released about a month ago, the Trade Aggressor is explicitly reported. The field is available in both watch and historical requests, but the watch command has to be customized to do so via a http://www.iqfeed.net/dev/api/docs/DynamicFieldsets.cfm]Dynamic Fieldset. This will be available for the ICE and CME exchanges going forward; there is relatively little historical data as the exchanges only recently started reporting this.

To your other question:

Quote: Can anyone tell me why comparing the price to the bid and ask in a tick record does not seem to work?


There have been entire academic studies devoted to that question, such as:

https://pdfs.semanticscholar.org/b9b9/257d161bb6fee796dd9a1b9bb725abf3b7b3.pdf

https://quant.stackexchange.com/questions/14512/algorithm-to-detect-the-aggressor-side-of-a-trade

I can't really advise you on how to design an algorithm, so I hope the above links are helpful. I can answer any questions you may have about the data the API returns.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » Futures Options symbol construction Oct 14, 2019 09:41 AM (Total replies: 3)

Try:

@EUUZ19P11100
@EUUZ19C11200

Note the extra U after the base @EU, before the month code.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » News Story Download Limit. Oct 11, 2019 11:28 AM (Total replies: 7)

The Error code 15 means "empty XML document." It means the request didn't return anything. There's no matching stories for the parameters you specified (date, symbol, provider, etc.) If you're not sure why you're getting such an error, post the command you're doing and I can take a look. Let me know your Protocol also, or if you are not specifying one.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » What does this error mean? Oct 10, 2019 08:49 AM (Total replies: 3)

WSAEWOULDBLOCK is a windows socket error code. It means that IQConnect tried to send data to your application, but there was no space left on the socket buffer to receive it. When this happens, IQFeed queues any further data until that data can be delivered, or the app disconnects. The next two lines indicate that this happened (the socket closed and the app disconnected). The remaining lines describe IQConnect/IQFeed shutting down. This is all normal behavior.

So the underlying problem is that the socket buffer is filling, meaning that data is coming in faster than the program is processing it.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » News Story Download Limit. Oct 7, 2019 05:31 PM (Total replies: 7)

That sounds like an error on our end. There isn't a news story limit that I know of. I will investigate and follow up on this thread.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



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