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| Author | Topic: 5MS 5-min market summary (7 messages, Page 1 of 1) |
 somebody -Interested User- Posts: 7 Joined: Nov 22, 2016 
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Posted: Dec 21, 2020 12:14 AM
Msg. 1 of 7
Quick question: does 5MS command (5 Minute Snapshot Summary) automatically retrieves data every 5 minutes? Or is the data just summarized every 5 minutes, while I'd need to resend 5MS request myself every 5 minutes if that's how often I'd like to receive it?
Thank you. |
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DTN_Gary_Stephen -DTN Guru- Posts: 403 Joined: Jul 3, 2019 
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Posted: Dec 21, 2020 09:21 AM
Msg. 2 of 7
The 5MS command only returns the report once. If you want to receive it every five minutes, you'd have to re-request it each time.
Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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andrewm -Interested User- Posts: 52 Joined: Feb 23, 2015 |
Posted: Mar 11, 2021 05:21 PM
Msg. 3 of 7
The docs say:
5 Minute Snapshot Summary - Retrieves a snapshot of the current market data for all symbols in a Security Type and Exchange Group. NOTE: The timing of the snapshot is not guaranteed, but data will be gathered every 5 minutes. What does that mean? If I issue a 5MS command every 5 minutes at times ending :06, :11, :16, etc will I get the 1 minute old snapshot? Thanks |
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DTN_Gary_Stephen -DTN Guru- Posts: 403 Joined: Jul 3, 2019
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Posted: Jun 17, 2021 05:05 PM
Msg. 4 of 7
Each 5MS report takes some time to build, but in my experience, 1 minute is usually enough to get you the most recent report. 2 minutes would be better. On a side note, the report takes multiple seconds to run, and it runs in alphabetical order. So ZZZ will be updated a few seconds more recently than AAA. It's not going to be super-precise about any timing. The "Last" field will tell you the most recent trade for that symbol it knows of; identifying the latest Last time will give you a good idea when the report was run.
Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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andrewm -Interested User- Posts: 52 Joined: Feb 23, 2015 |
Posted: Jun 17, 2021 05:30 PM
Msg. 5 of 7
The problem with these 5MS market summary snapshots is that they don't give you the current bid/ask. They give you the bid/ask at the time of the most recent trade which may have been hours, days or weeks ago. Right?
Can that be fixed? |
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andrewm -Interested User- Posts: 52 Joined: Feb 23, 2015 |
Posted: Jun 4, 2022 07:47 PM
Msg. 6 of 7
Any suggestions on this? Can the current bid/ask be added to the 5MS snapshots?
Also the documentation should make it clear that the 5MS snapshots don't contain the current bid/ask since including week-old bid/ask in a 5-min snap is really counterintuitive. Edited by andrewm on Jun 5, 2022 at 08:57 AM |
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DTN_Gary_Stephen -DTN Guru- Posts: 403 Joined: Jul 3, 2019
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Posted: Jun 5, 2022 04:34 PM
Msg. 7 of 7
The report will collect the most recent tick available, and its applicable bid/ask. The TradeDate and TradeTime fields will tell you the timestamps of the bid/ask. I don't know if there's a way to change the report's behavior, but I can ask.
Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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