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DTN_Steve_S has contributed to 2020 posts out of 17737 total posts
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Hello, we do not have listings of constituents available. As for your other question about getting a list of all symbols in a specific market, you have two options.
The first option is that we publish a text file of every active symbol in our system daily here:
You can parse that file to pull out whichever market(s) you need.
Alternatively, you can filter the symbol lookup requests in the API by security type or listed market (multiple markets can be sent space delimited) and just use a * wildcard in the search field to get a list from each market.
I can confirm this appears to be an issue in the servers. I haven't been able to identify exactly what is happening but I can duplicate the issue. I'll report this over to our server team for investigation.
For the current time, the workaround that seems to work consistently is to request the current day's data with a separate request.
Unfortunately we don't provide a snapshot data option at this time and if implemented, the likely lower limit would be 1s.
With that said, I took a look at the code you provided and the obvious thing that jumps out at me is the use of String.Split. This function allocates a new array and a new string object for each and every field on each and every message. When dealing with potentially thousands of messages per second (possibly 10s of thousands), this is going to be very inefficient, especially since these are temporary objects and you are immediately converting the fields to binary. In order to efficiently process the feed, you need to eliminate as many of these types of temporary variables as possible in your processing.
Also, make sure you are using the dynamic fieldsets feature of the feed to eliminate any fields that you aren't interested in processing. I can't tell from the code snipit if you are using this or not but make sure you are.
The derivatives history only supports interval requests which returns OHLC data. It's a bit confusing because you can request an interval of X ticks (which you have), where each message represents an interval of data containing X number of trades. However, this is not the same as a historical tick data request where each message represents a single trade with the additional information about that trade supplied. However, this is still a subset of the available fields in level 1 data since not all fields are stored historically.
To get historical tick data, you will need to issue a historical data request on the lookup port (same port your CEO request is made on). You want to issue a Tick data request which is any of the requests that start with HT(HTX/HTD/HTT). These requests documented here: http://www.iqfeed.net/dev/api/docs/HistoricalviaTCPIP.cfm. All of the data returned by these requests are potentially the same but the 3 different requests allow for different types of filters.
For example: HTX,INTC1609I26,10 will give you the last 10 trades on that option symbol (in this case, the symbol has only traded twice):
The format of the messages are documented in the above page of the documentation.
Issuing a watch request on the level 1 port of IQFeed for realtime streaming data will result in the following data being returned:
F,INTC1609I26,E,,,10.25,10.25,,,,,,,,,,,,,,,,,,INTC SEP 2016 C 26.000,,,,,,,,,,,,,,,12,2,,,2,14,09/01/2016,09/01/2016,,,,,,09/09/2016,26.000,,,100.00,0,
Note that this is the default fieldset for IQFeed protocol 5.2. You can add/remove fields from this fieldset with the dynamic fieldsets in IQFeed to your liking. In addition to the above messages, if you keep the subscription active, you will receive quote messages (start with a Q,) anytime any of the data updates.
I don't think that the Streaming bars feature is what you are looking for.
IQFeed provides both realtime tick by tick data (every trade/bid/ask/etc) and Historical data. Our historical data can be retrieved as "tick", "interval", or daily/weekly/monthly bars. The tick history is every trade for the symbol and includes bid/ask price data at the time the trade occurs (no data is stored for bids/asks that occur between trades). The intervalized data provides an OHLC plus interval volume as well as the total daily volume up to that point in the day. We support tick/time/volume interval bars with the most commonly requested being time (1min/5min/15min/etc). The daily/weekly/monthly data is EOD data.
The streaming bars feature merges interval historical data requests with the realtime tick by tick data subscriptions and then streams the new bars as they complete/update. As a result, the data supplied using this feature is limited to the same data that we provide via historical data requests. This is also the reason your interval request of 1tick returned an error. Requesting 1tick isn't an interval, its just tick data which isn't supported by the streaming interval bars feature.
In order to get the type of display that you see on nasdaq.com, you will want to go back to issuing your level 1 watch request and parsing that data for the information you need. You are correct that many of the fields will be empty when you request all fields. This is because our feed is security type agnostic and many of the fields won't apply to options data (just like fields such as strike price wouldn't apply to the underlying equity). You will have to parse the csv string that is returned and only look at the fields you want to see. alternatively, you can just request the specific fields you want (in the order you want) and the feed will deliver a message that is more to your liking. Take a look at this page for more info on selecting fields: http://www.iqfeed.net/dev/api/docs/DynamicFieldsets.cfm
You might also need/want to switch to the most recent protocol (5.2) using the S,SET PROTOCOL,5.2 command prior to setting your fieldset. Some fields are only available in the newer protocols.
Hello, the chains request simply returns a comma delimited list of contracts that are part of the requested chain.
The symbols are in OPRA OSI format as documented here on our website:
To get price information for the contracts, you will have to issue a request to subscribe to updates for the symbols on the Level 1 port of IQFeed (see http://www.iqfeed.net/dev/api/docs/LevelIviaTCPIP.cfm )
RequestIDs are populated as the first field in any complete message returned from the feed for a request. In the case of chains, it will typically be all returned in a single message followed by the end of transmission message (which should also have the request ID attached).
Most of the authorization codes you list are exchanges which you have signed up to receive so those should be self explanatory. The rest are premium authorizations for News sources which you can access via the Lookup port in IQFeed (same port you are getting chains data from, you just need to send news requests instead of chains request)
Hope this helps.
Edited by DTN_Steve_S on Aug 26, 2016 at 07:44 PM
I have confirmed this behavior in the code for the current release of 5.2.
Unfortunately, it is a bug (trades only watches are the only ones affected) and there is not going to be any workaround in the current release since that is the only command that is able to retrieve that information.
IQFeed is intended to have a single instance running on a single instance of the OS. You might be able to get this working with separate installs of wine but that would be way beyond the scope of support that we officially provide.
Keep in mind that you would also potentially be subject to duplicated exchange fees if you need data from the same exchanges on both accounts.
There is nothing in the API to retrieve this.
Any interval that is not a multiple of 60s (1min) will be limited to the same 180days that tick data is limited.
1min interval data goes back to mid 2007 for all but a couple symbols that were backfilled to 2005. We do not delete minute data so this date should never change.
Hello, it is true that all of our datacenters are located in or around Omaha. However, we have dedicated lines from the exchanges into our facilities to reduce latency on the incoming side. Of course IQFeed sends data out to customers over the internet and is subject to whatever routing happens between our datacenters and your machine. What this means is that our Central US location allows us to service our east coast and west coast customers equally (or at least as equally and cost effectively as we can control).
While we don't claim to be an ultra low latency feed, it is possible to collocate a machine pretty close to our datacenters (I've seen as low as about 20-25ms realistically possible). It is best to search for a datacenter in Chicago, Denver, or Dallas (in that order) since most of our internet traffic travels through those 3 cities from my experience.
Keep in mind that you would also want to take into consideration where your order execution servers are located as well since it doesn't do any good to have lightning fast signals that can't be filled before they go stale.
Hello, this is correct. Almost all tick timestamps are generated by the exchanges and/or data provider. We store our tick data in the order it was received and processed so it is possible for the timestamps to be out of order chronologically in our historical data. This applies to settlements as well.
Hello, sorry for the delayed response here. Hopefully you got the information from another support channel but in case you still need it (and for the forum history), for all symbols, our historical data limitations are based on the market hours of the US equity exchanges since these are the times of greatest trading activity across all supported exchanges. As such, the limits are from 09:30 - 16:30 Eastern time.
Hello, we provide a chains lookup request on the Lookup port of IQFeed where you can retrieve a current list of options symbols for a given equity symbol. Using this, you can retrieve the list of symbols which you would then subscribe to (watch) on the L1 port to retrieve the data for each symbol.
Take a look at the Chains documentation page for that request details here:
Simply put, this sort of volume analysis will not normally match up because there are reasons (depending on market/symbol) that something can adjust the volume without trading.
However, I'd bet that most of what you are seeing on AAPL are non-last-qualified trading.
Our intraday data only accounts for Last Qualified and FormT extended trading. Daily volume will include all trades.
For something like AAPL, there are bound to be a large number of oddlot trades which are not last qualified trades so the discrepancy will be large. There will like be other types of non-last-qualified trades in there as well.
If you download the Tick Data you can see all of the trades along with type and trade conditions and run detailed analysis.
Also, we do include with each interval on intraday data, the current total daily volume at the time that interval was recorded (in addition to the interval volume). This field will also include the non-last-qualified trades so you can see how the volumes differ over the course of the day.
Edited by DTN_Steve_S on May 7, 2016 at 08:38 PM
My apologies for the delayed response.
Our history servers will currently sometimes return an invalid symbol error message if there was no data available for the time period requested. We are working on addressing this problem.
As a workaround, you can safely ignore this error message and assume that the request simply returned zero datapoints.
Interval data in IQFeed is timestamped in the second following the data it represents.
As a result, your 09:31 bar represents trades from 09:30:00-09:30:59.
We also do not send incomplete bars for time based intervals unless you are authorized for realtime data for the symbol AND requesting data up to the current second while it is still trading. Any bar that lies partially within the timeframe you are requesting will be returned.
As a result, your 16:01:00 bar represents data from 16:00:00 - 16:00:59 and is included because you requested the 16:00:00 second.
Hello, it appears your account was inactivated for some reason on the website but your productID for your software was still active in the system.
I have reactivated your website access and you should be able to login now.
Larry, this particular instance would also be explained by multiple server farms having different data. Each of our server farms operate independently from one another. This means that each has its own feed from the exchanges and separate processing.
While normally the feeds from the exchange match, problems do occur and there might be slight discrepancies in the data as processing recovers and switches from primary to backup. As a result, on the weekends we have a process that runs to consolidate historical data across all our server farms so it matches.
As a result, the following monday would be safe as far as this type of discrepancy is concerned however, the exchange can send corrections for any day at any time (we even receive corrections for data beyond our 180 day storage limit on occasion). Additionally, if our market data team determines that data is wrong, they will make corrections as needed. Unfortunately, this means that there never really is a "complete and won't change" date that I can give you.
Milliseconds are only available using protocol 5.0 or higher. Microseconds require protocol 5.2 or higher.
You must set your protocol in each connection to IQFeed. In your case, since you are using COM, each instance of the COM interface is a new connection to IQFeed so you need to set the protocol in each of them.
You are correct. I don't see an explanation for what you are showing currently. Everything appears to be correct on the servers and our historical data shows current bid/ask prices along with those trades.
Is this the first time you've seen the issue? If so, did it start immediately upon upgrading to the new protocol?