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andrewm has contributed to 52 posts out of 21199 total posts (0.25%) in 3,380 days (0.02 posts per day).

20 Most recent posts:
IQFeed API Questions » 5MS for CBOT_GBX? May 16, 2023 12:32 PM (Total replies: 2)

Gary answered this for me via email. 5MS,8,30 was the winning answer:
-Andrew



Five MS works for all exchanges (if you are subscribed to them), But you have to enter the exchange group number, not the exchange number. From the SLM command:

LS,111,CBOT_GBX,Chicago Board Of Trade (GLOBEX),30,CBOT,

You need:

5MS,8,30

30 is the Exchange Group number. Change 8 to the symbol type you want (from SST command). The response will also return other "group 30" symbols,but the response includes the specific exchange number so you can filter them that way.

IQFeed API Questions » Connecting to API using TCP/IP via Excel VBA May 14, 2023 12:17 PM (Total replies: 9)

I'm slightly joking about Excel. It's a great spreadsheet but it's terrible as a realtime trading platform or any other ways people abuse it.

  • Logic gets divided between formulas in cells and VBA code.
  • You can't use version control (Git, etc) to manage development in Excel.
  • multiple developers, traders, etc can't collaborate on an excel spreadsheet simultaneously.
  • Tools enabling software development best-practices like unit testing frameworks do no exist for Excel.


Now most of what a trader does in Excel is better done using Python + Jupyter notebooks or Plotly Dash.

IQFeed API Questions » 5MS for CBOT_GBX? May 12, 2023 06:23 PM (Total replies: 2)

Does 5MS work for CBOT_GBX?

for example to collect a snapshot including the symbol @FFG24 these both do not work:

5MS,8,111
5MS,41,111,test
test,E,50007,No file available.

IQFeed API Questions » Connecting to API using TCP/IP via Excel VBA May 12, 2023 11:20 AM (Total replies: 9)

Step 1: Don't use Excel
Step 2: If you ignored step 1, try https://excel-dna.net/

Miscellaneous Messages » Support for Linux API for the datafeed? May 12, 2023 11:15 AM (Total replies: 33)

It's funny that DTN recommends running their IQ Feed Windows client on Linux/Mac using something called CrossOver when DTN could so easily just release a native version instead!

https://iqhelp.dtn.com/apple-linux-other-operating-systems/

Miscellaneous Messages » Support for Linux API for the datafeed? Jan 2, 2023 12:47 PM (Total replies: 33)

If IQ Feed would publish the protocol I'm sure it would be fairly easy for the community to whip up a decent open source Linux client.

Miscellaneous Messages » Support for Linux API for the datafeed? Jan 2, 2023 12:24 PM (Total replies: 33)

Happy new year!

It's 2023. It's time to build a Linux command line (no GUI) version of the IQ Feed client.

New IQFeed Forum » Full options chain command? Nov 22, 2022 03:18 PM (Total replies: 10)

Here's the others I collect:

cboe_index.py:

from main import start
from datetime import datetime

print('starting cboe index at ' + str(datetime.now()))
DATA_PATH = 'c:\\data\\cboe_index'
TEMP_FILE = 'c:\\temp\\cboe_index.csv'
COMPRESSED_FILE = "cboe_index.7z"
SECURITY_TYPE = 6 # CBOE
MARKET = 13 # index
start(DATA_PATH, TEMP_FILE, COMPRESSED_FILE, SECURITY_TYPE, MARKET)



cbot_futures.py

from main import start
from datetime import datetime

print('starting cbot futures at ' + str(datetime.now()))
DATA_PATH = 'c:\\data\\cbot_futures'
TEMP_FILE = 'c:\\temp\\cbot_futures.csv'
COMPRESSED_FILE = "cbot_futures.7z"
SECURITY_TYPE = 8 # futures
MARKET = 30 # CBOT
start(DATA_PATH, TEMP_FILE, COMPRESSED_FILE, SECURITY_TYPE, MARKET)


cme_futures.py

from main import start
from datetime import datetime

print('starting cme futures at ' + str(datetime.now()))
DATA_PATH = 'c:\\data\\cme_futures'
TEMP_FILE = 'c:\\temp\\cme_futures.csv'
COMPRESSED_FILE = "cme_futures.7z"
SECURITY_TYPE = 8 # futures
MARKET = 34 # CME
start(DATA_PATH, TEMP_FILE, COMPRESSED_FILE, SECURITY_TYPE, MARKET)



cme_options.py

from main import start
from datetime import datetime

print('starting cme options at ' + str(datetime.now()))
DATA_PATH = 'c:\\data\\cme_options'
TEMP_FILE = 'c:\\temp\\cme_options.csv'
COMPRESSED_FILE = "cme_options.7z"
SECURITY_TYPE = 9 # options
MARKET = 34 # CME
start(DATA_PATH, TEMP_FILE, COMPRESSED_FILE, SECURITY_TYPE, MARKET)


nasdaq_equities.py

from main import start
from datetime import datetime

print('starting nasdaq at ' + str(datetime.now()))
DATA_PATH = 'c:\\data\\nasdaq'
TEMP_FILE = 'c:\\temp\\nasdaq.csv'
COMPRESSED_FILE = "nasdaq.7z"
SECURITY_TYPE = 1 # equities
MARKET = 5 # NASDAQ
start(DATA_PATH, TEMP_FILE, COMPRESSED_FILE, SECURITY_TYPE, MARKET)


nyse_equities.py

from main import start
from datetime import datetime

print('starting nyse at ' + str(datetime.now()))
DATA_PATH = 'c:\\data\\nyse'
TEMP_FILE = 'c:\\temp\\nyse.csv'
COMPRESSED_FILE = "nyse.7z"
SECURITY_TYPE = 1 # stock
MARKET = 7 # NYSE
start(DATA_PATH, TEMP_FILE, COMPRESSED_FILE, SECURITY_TYPE, MARKET)


New IQFeed Forum » Full options chain command? Nov 22, 2022 02:38 PM (Total replies: 10)

You're welcome. Glad it helps. It's a little rough around the edges. getDirectory should be made functional instead of having the side effect of also creating the dir. Some logging would be nice, etc. But it works...

New IQFeed Forum » Full options chain command? Nov 22, 2022 11:02 AM (Total replies: 10)

Here's a couple python files that will collect the OPRA snapshots and compress them to 7z format. I put this in a windows scheduled task. You can replace opra.py values with other markets. I collect several.

opra.py:


from main import start
from datetime import datetime

print('starting opra at ' + str(datetime.now()))
DATA_PATH = 'c:\\data\\opra'
TEMP_FILE = 'c:\\temp\\opra.csv'
COMPRESSED_FILE = "opra.7z"
SECURITY_TYPE = 2 # equity options
MARKET = 14 # OPRA
start(DATA_PATH, TEMP_FILE, COMPRESSED_FILE, SECURITY_TYPE, MARKET)


main.py:


import shutil
import socket
from datetime import datetime
from pathlib import Path
import subprocess
from os import makedirs

ZIP_EXE = 'c:\\util\\7z\\7z.exe'
HOST = '127.0.0.1'
PORT = 9100

def getDirectory(data_path):
today = datetime.today().strftime('%Y-%m-%d')
todaysPath = data_path + '\\' + today
Path(todaysPath).mkdir(parents=True, exist_ok=True)
return todaysPath

def get7zFilename():
now = datetime.now()
print("now =", now)
today = datetime.today().strftime('%Y-%m-%d')
dt_string = today + "_" + now.strftime("%H%M")
print("date and time =", dt_string)
filename = dt_string + ".7z";
print("filename = "+filename);
return filename

def start(data_path, temp_file, compressed_file, security_type, market):
print('start sec type ' + str(security_type) + ' market ' + str(market))
with socket.socket(socket.AF_INET, socket.SOCK_STREAM) as s:
s.connect((HOST, PORT))
s.sendall(b'S,SET PROTOCOL,6.2\n')
s.sendall(bytes('5MS,' + str(security_type) + "," + str(market) + '\n', 'ascii'))
f = s.makefile()
line = f.readline()
# for line in f.readline():
print("line="+repr(line))
line = ''
outfile = open(temp_file, "w");
while not line.startswith('!ENDMSG!'):
line = f.readline()
outfile.write(line)
#print("line=" + repr(line))
outfile.close()
f.close()
dir = getDirectory(data_path)
fn = dir + "\\" + get7zFilename()
subprocess.call([ZIP_EXE, 'a', fn, temp_file])
# shutil.copy2(fn, dir + "\\" + compressed_file)
print("done")
# print('Received', repr(data))


IQFeed API Questions » 5MS 5-min market summary Jun 4, 2022 07:47 PM (Total replies: 6)

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

New IQFeed Forum » Full options chain command? Jan 1, 2022 09:33 AM (Total replies: 10)

No reply.



I believe it's not supported

Data Questions » options Complex Order Books? Nov 18, 2021 04:34 AM (Total replies: 12)

if a spread trade executes at a single price on an options exchange's Complex Order Book, how would that be reported on OPRA? How would they decompose the spread into individual legs with an execution price for each leg?

Data Questions » options Complex Order Books? Nov 17, 2021 06:47 AM (Total replies: 12)

Can we see US options exchanges' complex order books?

IQFeed API Questions » 5MS 5-min market summary Jun 17, 2021 05:30 PM (Total replies: 6)

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?

New IQFeed Forum » Full options chain command? May 4, 2021 05:33 PM (Total replies: 10)

A command to get a current snapshot of the full options chain for one expiration date like yahoo shows would be nice:

https://finance.yahoo.com/quote/AAPL/options?p=AAPL

They give:
Contract Name
Last Trade Date
Strike
Last Price
Bid
Ask
Change
% Change
Volume
Open Interest
implied vol <- probably not needed

Currently with IQ Feed I think you have to query the whole chain, then iterate over it, subscribing and unsubscribing to each symbol. Right?

IQFeed API Questions » OPRA Market Summary Bid/Ask May 3, 2021 05:58 PM (Total replies: 3)

Keep in mind that the bid/ask in 5MS were at the time of the last trade, which may have been days ago.

IQFeed Developer Support » can 5MS summary please be fixed? May 3, 2021 05:27 PM (Total replies: 0)

The 5MS snapshot is NOT delivering the current market data. The bid/ask is of the time of the last trade which may have been days earlier.

The docs say this:

5MS,[Security Type],[Group ID],[RequestID]<CR><LF>
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.

IQFeed API Questions » OPRA Market Summary Bid/Ask Apr 8, 2021 09:45 AM (Total replies: 3)

You might find this thread helpful:

http://forums.dtn.com/index.cfm?page=topic&topicID=5679

Data Questions » Only TRADES for "HIT" historical data requests? Apr 8, 2021 12:27 AM (Total replies: 14)

> You'll find that when you use that mechanism for liquid instruments
> the quality of data becomes lacking due to the high frequency aspects of the data.

Agreed that it's not perfect however it's much better than nothing which is effectively what we have now for historical intraday quotes on thinly traded products such as nearly all equity option contracts.

> Collecting data real-time during the day allows you to catch the stream as it happens

Except:

You can only collect as many symbols as your account is permissioned for.
If you decide to test a new strategy on 6 months of historical data you must first spend 6 months collecting it.
If you want to know how your new strategy would have performed during some historical event when you weren't collecting data on that particular symbol, too bad.

> I believe DTN's choice of quote at trade storage is a reasonable trade-off.

It may work for @ES and SPY but for a product that rarely trades it's mostly useless. The data storage requirements for snapshotting the BBO would be minimal since snapshots would only need to include changed quotes. Even if the symbol's quote changed every second, 23 hours a day and 100 byte records were stored that's only 8MB/day/symbol. Actual sizes would be far smaller.


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