A long time ago, someone stated in this Data and Contet Support topic: https://forums.iqfeed.net/index.cfm?page=topic&topicID=2402
that market indexes and stats are updated frequently, perhaps as often as tick-by-tick. I could swear I've read somewhere on the web that many of the famous indexes (such as SPX) have their vlaues updated only as often as every 15 seconds. But anyway...
For those with realtime subscriptions who write their own code with the TCP IQFeed API, what is the best way to consume indexes and market stats, if we want the quickest available updates? Obviously the Market Summary snapshot call wouldn't be ideal if, for instance, the Russell "exchange" summary file for security type Index is updated on DTN servers every 5 minutes.
1. Can indexes and market stats actually be consumed via an L1 Watch API call? (clearly most of the dynamic fields such as those related to bid and ask would not apply, which is why I ask)
1a. If an L1 feed is the way to go, are there any special values for any of the dynamic fields (such as "Message Contents") which woudl have any specific or unusual meanings for indexes or market stats?
2. Do people instead request streaming interval bars for these with an interval set as low as applicable (with a floor of 1 second)? If the old thread I referenced is correct about tick-by-tick frequency, this wouldn't take advantage of the "realtime" subscription.
2a. Many market stats such as "TRIN" lend themselves to line charts rather than bars... In this caseI guess one might simply use "last" from the OHLC values and just discard the other 3 "price" fields? (moot if streaming bars wouldn't be used for live index/market stat requests)
2a. I can grab historical bars off-hours, so I'm not worried about the "8/180" day restriction for second intervals which aren't a multiple of 20; I'd mainly be consuming only the current day's "trades". But, as a good citizen in the DTN ecosystm, is there an upper limit to the number of 1-second streaming bars calls I can make (currrent day only) or is this simply included in the (base) 500-symbol limit? (moot if streaming bars wouldn't be used for live index/market stat requests)
3. If there is a better API call to stream real time data for indexes and/or market stats not covered above, just mention that and ignore the other numberd questions
-Mark D. ValorEdited by mkvalor on Dec 1, 2022 at 12:53 AMEdited by mkvalor on Dec 1, 2022 at 12:54 AMEdited by mkvalor on Dec 1, 2022 at 01:04 AM