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juanoShutze has contributed to 6 posts out of 21196 total posts
(0.03%) in 411 days (0.01 posts per day).
20 Most recent posts:
Hi Gary,
I have one more question (hopefully last one). I successfully filtered out most of the outliers coming from "Other" and I have only "C" and "E" trades coming in.
However, the person who uses the app tells me that a considerable ammount of ticks are "FINRA entries", and that the API provider should have a method for filtering them. I attach a screenshot of the raw data I get from an HTT request on AAPL for 04/06/2023 where my client identifies in purple, the FINRA entries. Is there any hidden code the API provides that could help me identify them?
I know that the Center and Condition fields could lead me in the right direction, but they are not very self explanatory, nor there is a list of codes to understand.
Anyways, I don't see a clear pattern to filter these trades from the information that is currently being provided by the API. Is there any extra way to query that from IqFeed?
I attach a picture of the rows (green) my client assumes are FINRA. Thanks for any help
Best
Thanks for that!
Hi Gary, sorry for bothering again...
In the extended hours I get now a lot of trades. I could identify from the documentation the following letters...
C - Last Qualified Trade. E - Extended Trade = Form T trade. O - Other Trade = Any trade not accounted for by C or E. S - Settle = Daily settle, only applicable to commodities.
Can you tell me what "Other trades" includes? I was expecting to have mostly E trades outside business hours but I see a lot of Os.
Thanks in advance
Hello Gary,
Thanks for your response. It really helped me sort out what was going on. Since you mentioned that the command was working for you, I started looking at the library I was using for the requests.
I´m using pyqfeed, an open source library that has been unmantained for 10+ years. However, it is very nice since all the code is available.
The library was indeed filtering for trades of type "C" when requesting HTT data. Don´t know the reason why they hardcoded it that way, but I removed the filter and now have all the trades from 4AM to 8PM.
Thanks a lot!
Thanks for your prompt reply! I´m gonna check which protocol I`m using, but I´m sure it´s 6.2
I´ll come back later with the results!
Hello,
I´d like to get pre-market data and after-market data.
I am sending the request as usual but replacing the bgn_time and end_time as well as bgn_flt and end_flt as 00:00:00 and 23:59:59
For example, for 'MU', I request:
HTT,MU,20230331 000000,20230331 235900,,000000,235900,1,H_0000000000,100
Data retrieved only contains market data (9:30:00 to 16:00:00).
Could you please help me sort this out? Thanks in advance
Juan
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