I couldn't find even one topic addressing "Form T" or extended hours trades for U.S. stocks. Intraday history requests like HID only have time filters. However, occasionally an extended hours trade (or trades) occurs just after 093000, which affects the opening price of the first intraday bar of the regular session. Often a Reg T trade won't match the actual open / daily bar opening price, which should be the first non-Form T full-lot trade. Is there an undocumented method to filter Form T trades from an HID request?

It sounds like you are speaking about API requests? Please contact us at support@iqfeed.net with your IQ Login/username so we can direct your question to the appropriate department.

Thank you

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Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

Roberts,

In the IQFeed API, there is no way to filter an HID request by trade type. However, there are some other possible approaches:

HTD, HTT, and HTX (tick-level) history requests include the Trade Condition. You can't submit a request that filters for this, but you can retrieve all ticks, and use your own code to identify the ones that include the FORMT trade condition. The code "17" as all or part of the Trade Condition code indicates a FORMT Trade Condition. You can see a list of all the Trade Condition codes by sending the command STC to Port 9100. (The codes are in hexadecimal, while the STC list is in decimal. so FORMT is code 17 in the ticks and 23 in that list.)

Another approach is to use the Level 1 feed to follow symbol(s) live. The Most Recent Trade Conditions field contains the Trade Condition code as described above. Also, there is a field Message Contents that more generally tells you what drives this tick:

C - Last Qualified Trade. E - Extended Trade = Form T trade. O - Other Trade = Any trade not accounted for by C or E. b - A bid update occurred. a - An ask update occurred. o - An Open occurred. h - A High occurred. l - A Low occurred. c - A Close occurred. s - A Settlement occurred. v - A volume update occurred.

Please note that you must use Protocol 6.1 to get the Trade Condition. This data point does not exist in earlier protocols. I hope this information is helpful!

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Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Thanks for the info Gary. I was aware of the Level 1 approach and we'll do that for streaming charts. That doesn't help for the history, which our customers use for backtests. Instead of bulky tick history requests to just find an opening price, we'll just post-process and massage that data with the daily bar's opening price. I'm hoping that'll work!

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