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»Forums Index »Archive (2017 and earlier) »DTN.IQ Client Software Support »Getting historical tick data to csv
Author Topic: Getting historical tick data to csv (22 messages, Page 1 of 1)

chud
-Interested User-
Posts: 4
Joined: Jan 22, 2008


Posted: Jul 29, 2012 01:55 PM          Msg. 1 of 22
Hello, I'm interested in getting historical tick data with bid/ask into Amibroker. Since the Amibroker IQfeed plugin doesn't retrieve bid/ask, I was planning to import it as ascii. Does IQfeed not provide a way to get this raw historical data? I've read some posts on this forum referencing a Downloader installed with IQFeed but don't see this in my installation.


Thanks.

DTN_CurtisT
-DTN Technical Support-
Posts: 323
Joined: Jun 14, 2007


Posted: Jul 29, 2012 04:20 PM          Msg. 2 of 22
Hello Chud, we do not provide a way to download data directly from IQFeed as many of the 3rd party charting software's will do this. As to Bid/Ask Data, IQFeed only saves Bid & Ask Prices that occurred at the time of the trade. Any Bids or Asks that did not occur with a trade are not stored in history and the only way to see these would be as they come through the streaming data.

If you have any other problems or questions please let us know.

Curtis Thompson
support@iqfeed.net
support@dtniq.com
Trading Markets Customer Service
1-800-397-7000 x3614

sma202
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Posts: 24
Joined: Nov 20, 2010


Posted: Sep 9, 2012 01:29 AM          Msg. 3 of 22
how do you determine how to associate a bid/ask with the trade given they're on separate feeds cqs vs cts, and trade reporting can be delayed?

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Sep 10, 2012 08:15 AM          Msg. 4 of 22
Hello Sma202,

I am going to need some help on this answer - I am asking and will be back here with the response. Thank you.

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Sep 10, 2012 09:13 AM          Msg. 5 of 22
Hello,

The bid and ask prices that are displayed at the time of an actual transaction are the bid and ask prices saved in historical data. . . even if/when the bid/ask quotes from the exchange are slightly delayed.

sma202
-Interested User-
Posts: 24
Joined: Nov 20, 2010


Posted: Sep 10, 2012 11:14 AM          Msg. 6 of 22
so how does it work for streaming realtime?

DTN_ToddH
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Posts: 287
Joined: Oct 6, 2011


Posted: Sep 10, 2012 11:31 AM          Msg. 7 of 22
I am not sure what you are asking - could you please elaborate?

sma202
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Posts: 24
Joined: Nov 20, 2010


Posted: Sep 10, 2012 12:03 PM          Msg. 8 of 22
You said "The bid and ask prices that are displayed at the time of an actual transaction are the bid and ask prices saved in historical data."

If it is streaming real-time trades that you're looking at, then bid/ask are not saved in historical data, then how is the bid/ask obtained shown with the trade?

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Sep 10, 2012 01:01 PM          Msg. 9 of 22
Hello,

I have included a screenshot of time and sales below for IBM to help explain. In IQFeed's real-time data, bid and ask prices come from the exchange and stream by in the feed - some bid and ask prices show up at the same time as actual transactions and many other bid and ask prices show up in-between trades. Not all of the bid and ask prices are saved in historical data - only the bid and ask prices at the time of an actual trade are saved in historical data. You can see in the screenshot that I included that there are many bid and ask prices that show up between trades, but those are not save in historical data. Only the bid and ask prices at the same time as trades are saved (which you can see in the example). Does that help answer the question?



File Attached: ibm.png (downloaded 2337 times)

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Sep 10, 2012 01:37 PM          Msg. 10 of 22
Sma202,

This may also help -

We direct the streaming data into a level 1 record and update the bid and ask fields in that record as they come in so that when a trade comes in we send the bid/ask prices along with the trade to our historical system and that is how it has the bid/ask at the time of the trade.

jonnyb
-DTN Evangelist-
Posts: 122
Joined: Aug 15, 2012


Posted: Sep 26, 2012 10:47 PM          Msg. 11 of 22
Todd,

When you say "bid/ask at the time of the trade" is it the bid/ask before the trade or after the trade? (as the trade can interact with and change the bid/ask)

For example, say the bid - ask before the trade was 101 - 102. The trade occurs at 102 (removing the ask) and after the bid - ask is 101 - 103. Does your historical tick data report bid/ask of 101/102 with this trade or 101/103?

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Sep 28, 2012 09:59 AM          Msg. 12 of 22
Hello jonnyb,

Unfortunately, the answer is not so easy because of how the feeds work -

As mentioned earlier in that thread, the Bid/Asks come on a different feed from the exchange than the Trades and they are merged together based on when they arrive from the exchange (not based on message timestamp because doing so would delay one feed or the other).

As a result, whichever bid/ask arrived from the exchange immediately prior to the trade is the one that gets stored with history for that trade. However, there is no way to actually know if the bid/ask that is stored in history is the bid/ask that resulted in the trade or if it is the bid/ask that resulted from the trade.

jonnyb
-DTN Evangelist-
Posts: 122
Joined: Aug 15, 2012


Posted: Sep 28, 2012 10:38 AM          Msg. 13 of 22
Thanks Todd. If I'm understanding correctly, this is exactly how it's done in the live feed and the historical ticks are simply saved trade messages from the live feed?

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Sep 28, 2012 10:42 AM          Msg. 14 of 22
Yes.

pb2102
-Interested User-
Posts: 1
Joined: Dec 7, 2013

Trial User


Posted: Dec 7, 2013 03:53 PM          Msg. 15 of 22
If I understand these posts/answers correctly, at busy times of the day for heavily traded securities, the calculation of indicators such as Cumulative Delta - which relies on identifying whether a trade was on ask or on bid - will not be 100% accurate.

Please can you confirm.

quickTick
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Posts: 53
Joined: Nov 17, 2013


Posted: Dec 11, 2013 01:02 PM          Msg. 16 of 22
Or, the alternative, it could mean that you cannot re-calculate such an indicator from the historical tick data, but you could, correctly, from the live feeds.

DTN_LorenF
-DTN Technical Support-
Posts: 228
Joined: May 11, 2004


Posted: Dec 11, 2013 01:17 PM          Msg. 17 of 22
QuickTick
This will mostly depend on how the charting software/indicator actually processes the data.
The time/data should be the same.

quickTick
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Posts: 53
Joined: Nov 17, 2013


Posted: Dec 11, 2013 01:27 PM          Msg. 18 of 22
One could argue the generation of historical data should be slightly delayed in order to use the bid/ask based on the time stamps (not arrival time). If one wants the data as fast as possible, one would observe the live stream, not the historical data, I'd think.

And if indicators such as the one described above are generated using the bid/ask time stamp as well (meaning correct yet slightly delayed), then it cannot be re-calculated from historical data, only from the live stream. If, however, it is calculated in the same manner as historical data, then in can also be re-calculated from historical data.

If that makes sense, I'm new to this.

quickTick
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Posts: 53
Joined: Nov 17, 2013


Posted: Dec 11, 2013 01:34 PM          Msg. 19 of 22
(I suppose we are talking about an indicator that is part of the IQFeed.)

apprentice
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Posts: 2
Joined: Apr 24, 2014


Posted: Apr 24, 2014 05:28 PM          Msg. 20 of 22
Hello,

I wonder if IQFeed still synchronizes ticks (trades) and quotes (ask/bid) in historical data by the time they arrive to IQFeed server. Or it is now synchronized by exchange timestamps.

Thanks

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Apr 25, 2014 11:12 AM          Msg. 21 of 22
Hello,

Everything is stored in the order it was received.

Tim

apprentice
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Posts: 2
Joined: Apr 24, 2014


Posted: Apr 25, 2014 02:32 PM          Msg. 22 of 22
Thanks Tim,

So if quote feed is delayed vs trade feed, ask/bid prices after the trade enter into IQFeed historic records. And there is no way to know that it happened (when I use historic tick data). Am I right?

Thanks
 

 

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