Hello,

Since the release of IQFeed version 5.2.4.0 the contents of the VWAP data field are complete garbage for most of the US stocks during at least the first 2 hours of trading.

I have already reported this issue to IQfeed tech support. At the end of July they told me that the developers had broken this calculation on the server side and were working to fix it asap.

Any idea when will this be available again if ever? I cannot believe I am the only one using these data.

Regards,

Jose

I appreciate your post. We are in contact with our development team regarding your issue with VWAP field.

We will post additional comments after we have looked into this.

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Stephen Shockey | Telvent DTN LLC | Trading Markets | United States |Customer Service Technical Support
Email: support@iqfeed.net
Edited by DTN_Stephen on Aug 24, 2016 at 10:56 AM

Can you please upgrade to IQ Feed 5.2.4.0. There was a rare issues with 5.2.3.0 that may be affecting your VWAP Data.

http://www.iqfeed.net/iqfeed_client_5_2_4_0.exe

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Stephen Shockey | Telvent DTN LLC | Trading Markets | United States |Customer Service Technical Support
Email: support@iqfeed.net

Hi Stephen,

Thanks you for your reply.

I will upgrade asap.

I will let you know tomorrow if I see any issues.

Thank you for your support.

Jose

Hi Stephen,

I upgraded as indicated above. Now it looks better but not by much. Still many stocks with wrong VWAP 10 minutes into trading. See examples below:

Symbol %VWAP Open Last VWAP
PPC 429.16% 23.23 23.23 4.39
MAT 276.70% 33.2 33.15 8.8
HDS 248.40% 35.88 35.92 10.31
CTSH 222.77% 57.7 57.55 17.83
GLPI 152.14% 34.78 34.82 13.81
TMUS 145.41% 46.31 46.26 18.85
ADBE 141.17% 101.15 101.22 41.97
SFM 134.22% 23.14 23 9.82
CDW 122.07% 44.68 44.68 20.12
STLD 128.29% 24.63 24.61 10.78
CAR 111.51% 36.19 36.21 17.12
CERN 121.98% 64.41 64.44 29.03
NAVI 108.88% 14.36 14.35 6.87
CREE 107.61% 23.9 23.73 11.43
SABR 104.70% 27.99 27.88 13.62
MDLZ 102.73% 43.02 43.02 21.22
GT 101.17% 29.34 29.29 14.56
CA 92.76% 34.02 34.06 17.67
MXIM 88.02% 40.7 40.8 21.7
PCAR 86.67% 59.7 59.64 31.95
FEYE 70.43% 15.03 15.1 8.86
KHC 84.82% 88.99 89.14 48.23
ASNA 82.40% 8.75 8.81 4.83
FOX 83.15% 25.35 25.33 13.83
URBN 71.68% 36.9 36.86 21.47
BLMN 81.81% 19.44 19.49 10.72
EXPE 78.24% 111.39 111.65 62.64
GNTX 77.52% 17.81 17.77 10.01
CTXS 75.16% 88.1 88.28 50.4
WEN 73.43% 9.93 9.92 5.72
QVCA 71.00% 21.23 21.29 12.45
ZION 69.97% 29.21 29.32 17.25
TTWO 69.19% 42.03 42.06 24.86
PYPL 67.08% 37.5 37.51 22.45
LKQ 68.16% 35.77 35.7 21.23
AAL 67.78% 36.34 36.76 21.91
NCLH 65.58% 36.68 36.56 22.08
SYMC 59.53% 23.79 23.77 14.9

Please, could you check again?

Thanks,

Jose

Thanks!

We are looking at these now.

Tim

Can you confirm for me if you remain connected overnight? Also does a restart seem to help or not?

Tim

Hi,

No, I always close the feed down daily at EOD and restart it sometime at around 6:30 next morning.

An intraday restart has not helped me much since the calc was broken. Later on in the day, most values appear to be closer to what they should be, but I am not really confident the calc is right anyway after they have been broken for the best part of the morning.

There is something fishy going on in there for sure.

Thanks for your help.

Jose

Hello,

Quick update, I was unable to recreate this today post mortem, but I will come in tomorrow morning and try to replicate your experience.

A few questions to help me do that;

Where are you seeing the bad VWAP data?
Do you have an update or summary message that we that I could review which has the bad data?
Can you confirm what protocol you are using?
Are you doing a regular or trades only watch?
Can I also get the message format you are using (if it is not the default for the protocol)?

Thanks in advance, for your time in helping to resolve this.

Tim

Hi Tim,

Thank you for taking the time to look at this.

I am using the 5.2 protocol and requesting these fields for the L1 quote:

string command = string.Format("S,SET PROTOCOL,{0}\r\nS,SELECT UPDATE FIELDS,Symbol,Most Recent Trade,Most Recent Trade Size,Most Recent Trade Date,Most Recent Trade Time, Most Recent Trade Market Center,Total Volume,Bid,Bid Size,Ask,Ask Size,Open,High,Low,Close,Message Contents,Most Recent Trade Conditions,VWAP,\r\n", PROTOCOL);

The values I get are exactly the same as the ones shown via the DTN.IQ client you guys provide in the SnapQuote message window. The VWAP field in there is exactly the same.

Let's try tomorrow again around the open. You will have plenty of time.

Now, all quotes look reasonable.

Jose

Hi Tim,

Today's sample if it helps:

Symbol %VWAP Open Last VWAP
COMM 2731.43% 29.63 29.73 1.05
GLPI 878.53% 34.64 34.64 3.54
SNH 224.04% 21.95 21.97 6.78
CAVM 2336.89% 55.01 54.83 2.25
SEMI 226.70% 11.5 11.5 3.52
DISH 697.10% 49.51 49.42 6.2
TMUS 84.40% 46.42 46.23 25.07
CRZO 617.12% 36.62 36.86 5.14
FOX 494.56% 25.24 25.15 4.23
CERN 582.55% 64.33 64.16 9.4
CHRW 639.51% 69.03 69.07 9.34
GLNG 234.15% 20.34 20.35 6.09
HPT 206.25% 30.56 30.38 9.92
PCAR 85.87% 60.1 60.11 32.34
MAT 349.53% 33.46 33.4 7.43
GNTX 139.41% 17.96 17.98 7.51
PDCE 424.67% 67.85 68.26 13.01
PPC 376.66% 23.51 23.69 4.97
STLD 335.98% 24.79 24.72 5.67
HDS 225.27% 35.85 35.91 11.04
QVCA 235.97% 21.28 21.2 6.31
KLAC 439.86% 67.28 67.59 12.52
Z 438.96% 34.07 34.17 6.34
NCLH 218.01% 36.15 36.03 11.33
KHC 246.61% 89.04 88.87 25.64
FEYE 103.28% 15 14.86 7.31
SFM 172.86% 23.17 23.22 8.51
VRSN 392.69% 75.23 75.53 15.33
FTNT 295.77% 35.59 35.58 8.99
NTES 56.69% 209.5 209.89 133.95
TTWO 122.71% 42.17 42.07 18.89
SINA 284.65% 71.11 71.43 18.57
CDNS 207.98% 25.48 25.47 8.27
GT 123.93% 29.24 29.29 13.08
XRAY 150.72% 60.41 60.75 24.23
AKAM 202.61% 54.56 54.44 17.99
CMCSA 160.35% 65.74 65.79 25.27
SABR 170.82% 27.98 28.03 10.35

Jose

Hi Tim,

Any update on this issue?

Thanks for your help.

Jose

Good morning Jose,

I am sorry I have not yet been able to re-create it. Tomorrow morning, or this morning if the issue still shows, would it be possible to give the support team a call and then we can set up a remote session to try and understand why you are seeing different data than I?

Tim

Sure, I can do that.

But you are telling me that around the open for more than 2 hours you cannot see any of those wrong values I am showing you, even though I can see exactly the same vwap numbers in the snap quote window via the IQ client ?

What values do you see then and how do you source them?

Note, that this only started happening after the recent API upgrade.

Let's discuss.

Jose

That brings up an interesting point!

What protocol are you using? Everything I am viewing is protocol 5.2, I haven't considered the older protocols. Maybe I broke something with how I handled the calculations in the 5.1 and/or older protocols. I'll look at that.

Tim

Hi,

No, see the response above. I am using only 5.2.

Jose

Ok, I'm sorry, then yes. Let's look together tomorrow morning. All the values I see what I do it are squarely in range of the day's high and low.

Tim

Hi Tim,

Could we get some time to look at this problem.

Current view:

Symbol % VWAP Open Last VWAP
NUAN 6563.64% 14.64 14.66 0.22
TROW 2125.40% 69.02 69.21 3.11
PDCE 3315.74% 67.63 67.29 1.97
QVCA 2261.54% 21.53 21.49 0.91
MYGN 2003.06% 20.55 20.61 0.98
XLNX 1692.08% 54.41 54.3 3.03
WETF 1367.61% 10.35 10.42 0.71
CTXS 1083.94% 87.75 87.73 7.41
GRMN 999.11% 49.23 49.35 4.49
CA 1026.73% 34.11 34.14 3.03
CAR 1013.72% 36.37 36.53 3.28
AKAM 919.93% 55.4 55.28 5.42
HDS 738.30% 36.47 36.55 4.36
XRAY 867.50% 62.98 61.92 6.4
DNKN 652.07% 48.85 48.96 6.51
ARRS 550.46% 28.46 28.36 4.36
ETFC 542.30% 26.17 26.27 4.09
COMM 594.88% 29.82 29.88 4.3
FIVE 575.77% 44.17 44.06 6.52
DISCA 532.68% 25.74 25.94 4.1
AMTD 470.93% 32.5 32.6 5.71
CAVM 529.16% 56.9 56.75 9.02
SABR 503.79% 28.49 28.68 4.75
KHC 478.29% 89.9 89.75 15.52
ADI 451.35% 63.29 63.13 11.45
ADSK 453.83% 67.93 67.9 12.26
ROST 438.75% 62.55 62.71 11.64
CSAL 402.88% 31.48 31.48 6.26
HPT 375.04% 30.08 30.26 6.37
ISIL 360.68% 20.2 20.27 4.4
LRCX 354.17% 95.24 94.65 20.84
CHFC 366.39% 44.94 44.96 9.64
STLD 363.54% 25.01 25.17 5.43
CREE 283.41% 24.24 24.5 6.39
MCHP 355.61% 62.74 62.92 13.81
VIAB 354.46% 40.01 40.22 8.85
HOLX 351.46% 38.66 38.6 8.55
TXN 286.68% 70.02 69.95 18.09


I can also send you the "good" ones if you need to.

Very frustrating this problem. Please, could you confirm that you guys are committed to providing this calculation on the server side from the open?

Thanks,

Jose

Please have a look at the following snapshot.

Ok, I was actually able to catch this today and I think we know the error. I will discuss with our team to see what we can do to try and improve this and get back with you. It will likely take a code release to change, so I can't speculate on an ETA yet.

Note: A complete restart of IQFeed changed my VWAP from 4.35 to 36.48 on HDS today. So that appears to still be slightly different from your experience.

Tim

You mean a complete restart after the OPEN ??? That would be a no go for me.

Thanks,

Jose

That was what I did as well. Ok, that would explain the difference! Thanks.

Just wanted to update you that we have made progress on this and we do hope to complete internal testing soon. Then we will get the changes over to our QA department for further review to help rectify the issue.

Tim

Hi Tim,

Good to hear. Thanks for the update. Please keep me posted. I am waiting for this fix.

Regards,

Jose

Ok, I think we have this resolved now. We have it over to QA now. Once I hear what their schedule looks like I should be able to get you an ETA on its release.

Tim

Great thanks. Looking forward.

Regards,

Jose

Hi Tim,

Any update on this? Do I need to install any new version?

Thanks,

Jose

Good morning.

We found an additional issue, where when a correction comes in and deletes some of the current day's volume, that volume was not being correctly removed from the calculation, so it is back with development to try to make sure we get this right. I had hoped it would be returned to QA and released soon, but after discussing the ETA with management it may be a few weeks unfortunately.

Tim

Good morning,

I think this went live Monday morning. Can you take a look and let me know if you see any VWAP issues going forward?

Tim

Hi Tim,

Thanks for letting me know. Do I need to upgrade my API version?

Jose