Joined: May 31, 2019
Posted: May 31, 2019 10:32 AM
Msg. 1 of 2
My goal is to follow 500 stock market symbols at the same time (the max allowed in my IQFeed account) using real time tick data.
In order to do that, I take the field "Last" - Last trade price from the regular trading session using the Level 1 TCP/IP socket. I ran a FOR loop, requesting to watch 500 symbols.
Then, every 15 minutes I analyze the last price and calculate the high and the low for these 15 minutes. I do these for the entire trading hours.
I get the tick data at a high refresh rate, but the problem is sometimes it is not correct! I analyzed several stocks, and saw that the last price was not consistent with Yahoo finance and google finance. It was a higher number from what it really was supposed to be.
I tried to use the real time bars (derivative data), but for 500 symbols the data of all of the symbols does not trigger the event in the code at the same time, and so the prices are not updated simultaneously.
What should I do?