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DTN_Gary_Stephen has contributed to 281 posts out of 20767 total posts (1.35%) in 1,244 days (0.23 posts per day).

20 Most recent posts:
IQFeed Developer Support » Full options chain command? Nov 22, 2022 10:21 AM (Total replies: 10)

Equity options are listed on the OPRA exchange, not NASDAQ (even if the root equity symbol is NASDAQ). The command you're looking for is:

5MS,2,14

14 being the OPRA exchange group ID. But you must also be subscribed to the OPRA exchange, and have the "RT Options" product, or you will get "E,50007,No file available" reply again.

"E,50007,No file available" can mean either "this combination of symbol type and exchange group don't exist", or "you do not have the necessary subscriptions to view this report." 5MS,2,5 is the former; 5MS,2,14 would be the latter if you are not subscribed to OPRA.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


Forum Suggestions » https:// ???? Nov 18, 2022 08:11 AM (Total replies: 7)

As of today, November 18, forums.dtn.com is now a secured (HTTPS) site.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


General Product Announcements » forums.dtn.com is now HTTPS Nov 18, 2022 08:09 AM (Total replies: 0)

At 5PM Central time last night (Thursday, November 17), we enabled secure login on the forums. Most customers should be automatically redirected to the secure (HTTPS) version of the site as soon as the DNS propagates. This should be complete by now for most users.

You should now be able to see the "secure" designation in your browser when visiting forums.dtn.com.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


Data and Content Support » Real-time, 1-minute, OHLC Data, via FTP Nov 15, 2022 09:56 AM (Total replies: 1)

If you're asking about IQFeed, no. The IQFeed API only works via socket connection. There are things we make available via FTP (the list of old option symbols), but they won't give you any pricing data. DTN has had some legacy products that work via FTP, but they weren't associated with IQFeed, and I don't think they're publicly sold anymore.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


Data and Content Support » Count of DTN Market Statistics Nov 14, 2022 12:38 PM (Total replies: 3)

OK, that makes sense. The lookups should be more or less complete lists of all the symbols you can get.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


Data and Content Support » Count of DTN Market Statistics Nov 14, 2022 11:06 AM (Total replies: 3)

Mark,

When I use the page https://ws1.dtn.com/IQ/Search/# and select exchange DTN and security type Market Statistic, I get "Displaying records 1-250 of 3381." When I send command 5MS,7,27 I get 3442 symbols in the response. I don't know why your search turned up 752.

The discrepancy between 3381 and 3442 I can't explain. Symbols are added and deleted all the time, and I don't know how up-to-the-minute the search is. There shouldn't be any major differences in the number of symbols you can get via different sources. If your account has access to an exchange, it is entitled to all the symbols therein.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


Data and Content Support » Forex Oct 31, 2022 07:17 AM (Total replies: 17)

In general, any index symbol that ends in .XO is a CBOE index, and requires a subscription to that exchange. Indexes that end in .Z are DTN indexes and included in the Core Package.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



Quote: what kinds of factors lead to my code not being able to infer the trade aggressor?


Sometimes the Last price is between the Bid and Ask price. When it doesn't match either, and when the symbol isn't on the ICE or and CME, the trade aggressor can't be inferred.

Quote: Do the CME and ICE exchanges have additional hidden pools of trades (or some other obscured forms of data) which do not come through the IQFeed L1 stream, making the generic strategy ineffective for them? Or is it simply that -- since those two exchanges do provide the explicit aggressor, it's less error prone to use that instead of relying on custom client code?


As far as I know, it's the latter. I'm not aware of any hidden data that would make this method ineffective. I look at it this way: why wouldn't you want to use the data the exchange provides? It's more authoritative, and less processing for your app to do.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


Forum Suggestions » https:// ???? Oct 26, 2022 11:34 AM (Total replies: 7)

There are plans to move this forum to a more modern form, which will address these concerns. I don't have an ETA though.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



I'm not aware of any official recommendations for this, but I'll see what I can find out. What DTN_Steve_S is correct, though: if we need to do maintenance, it's on Saturdays, to be as unintrusive as possible with market activity.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » Error processing news story counts from server Oct 18, 2022 08:55 AM (Total replies: 17)

You are correct - we are actually discussing ways to be more proactive when something like this happens. In the meantime, there is a System Status page that we keep updated whenever there is an issue: https://iqhelp.dtn.com/system-status/

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » IQFeed API documentation source? Oct 18, 2022 08:53 AM (Total replies: 15)

That makes sense. If the date wasn't being built correctly (in the format YYYYMMDD) then an HTT tick history request would fail.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



When you set the update interval to anything above 0, you will get more BU messages. A BU message is an update to the bar, which does not necessarily mean the bar is complete. A BC message tells you that the bar is complete, but as I said, it will only appear once a tick after the bar has occurred (which may not be immediate, especially for less-frequently traded symbols). But you can watch the BU messages, and compare them to the time to know that a bar has passed without having to wait for the BC message.

By the way, BU messages can also appear when a past bar is updated, usually because a tick has been updated and this changes the bar totals in some way.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



Kyle,

DTN does not maintain standards for how long a request "should" take. Transaction time can vary a great deal, depending upon your own internet connection, how much data you're requesting at once, how busy the markets are, and other factors.

Also, when it comes to the streaming interval bars, there is a relevant parameter called Update Interval. If this is set to 0 (or left at default), then a bar will not be closed until a tick after the bar has occurred. If you're doing one minute bars, the BC (bar complete) message for the bar ending at 10:00 o'clock will not be sent until a tick after 10:00:00 occurs. This can make BC messages appear to take longer to arrive. If you set update interval to one second or any amount of time that isn't 0, you will receive a BU (bar update) message anytime a change to the bar happens that has not already been sent. This will ensure that you always have the most recent information, even if a BC message has not been sent yet.

I hope this information is helpful!



Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Edited by DTN_Gary_Stephen on Oct 4, 2022 at 10:45 AM


The "Tick" field explicitly tells you if the current tick is up, down, or no change from the most recent last qualified trade. If you are storing the value of each tick, you can determine this yourself if you want to, but keep in mind the tick field only applies to last-eligible trades. The Message Contents field will tell you which ones these are. (Or you can use Last instead of Most Recent, which will only return last-eligible trades).

As for trade aggressor, this field can contain information you can't simply infer your self. The CME and ICE exchanges will explicitly report who the trade aggressor is in a given trade. For other exchanges, this can usually be inferred by comparing the last price to the bid and ask price. So if you're not using the trade aggressor field, you're not getting the explicit trade aggressor information ICE and CME provide.

So Trade Aggressor does include some information you can't just infer for ICE and CME exchanges.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » How to create bar from tick data Jul 25, 2022 08:13 AM (Total replies: 2)

There's already a command that will build live bars for you: Streaming Intervals Bars (BW). Connect to port 9400 and send BW,Symbol,Interval in Seconds,Begin Date/Begin Time. This will give you history up to the current moment, then new incoming ticks as they happen. http://www.iqfeed.net/dev/api/docs//Derivatives_StreamingIntervalBars_TCPIP.cfm goes into more detail.

If you want to build them yourself, there are a few considerations:

1. IQFeed only uses Last-Eligible and Extended ticks to build bars, ignoring Other. The Message Contents field in each ticks will tell you which it is.
2. Volume willl not consistently match the sum of all ticks. This is because Volume can include transactions that aren't ticks, like stock options and implied trades.
3. Make sure you know the difference between "Last" "Most Recent" and "Extended":
- “Last” includes only last -eligible trades.
- “Most Recent” includes all trades.
- “Extended” includes on extended trades (also call Form T or after hours trades).

You would have to consider both "Last" and "Extended" data to re-create bars as IQFeed builds them.

4. You can get tick data on premarket session, but you must be watching the "Extended" fields. "Last" includes only last-eligible trades, which do not occur outside of regular trading hours. These distinctions apply to the fields listed in http://www.iqfeed.net/dev/api/docs/Level1UpdateSummaryMessage.cfm. You can view the one(s) you need.

I hope this is all helpful!

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » determine is options symbol has "zero bid" Jul 12, 2022 01:18 PM (Total replies: 2)

What exactly do you mean by "zero bid"? A bid with a price of 0, or that no bids exist?

IQfeed level 1 ticks (live or historical) will include the bid and ask price of each tick.

Depending on how much detail you want and what type of symbol it is (CME, ICE, another exchange) you can get Market By Order or Market By Price Level messages from the IQFeed Level 2 data, if you are subscribed to it.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Datafeed Wish List » Sequential Level1 and Level2 updates. Jun 24, 2022 10:12 AM (Total replies: 10)

You are correct that "obviate" was a bad choice of words on my part. I meant to say that the new features would be helpful, but they don't make it 100% possible to pair up bids and trades. This is still not feasible with L1 and L2 data as it is now.

Beyond that, DTN is currently having a discussion about this topic. Integrating the "message sequence Id" field will have some complexities, and we have to make sure it will accomplish what you expect it to. I'll post more on this thread when I have an update.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


IQFeed Developer Support » @ESM22 seems to be missing options Jun 21, 2022 02:14 PM (Total replies: 12)

For the record, the behavior of the Option Chains command has been improved, and users should no longer see situations like this.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist


DTN.IQ Client Software Support » Historical Shares Outstanding Jun 20, 2022 10:50 AM (Total replies: 1)

Yes, this is part of the FDS report, one of the Market Summary Reports:

FDS,1,5,20220128
LM,Symbol,Description,PeRatio,AvgVolume,DivYield,DivAmount,DivRate,PayDate,ExDivDate,CurrentEps,EstEps,SIC,Precision,Display,GrowthPercent,FiscalYearEnd,Volatility,ListedMarket,MaturityDate,OptionRoots,CouponRate,InstitutionalPercent,YearEndClose,Beta,LEAPs,WRAPs,Assets,Liabilities,BalanceSheetDate,LongTermDebt,CommonSharesOutstanding,MarketCap,52WeekHigh,52WeekHighDate,52WeekLow,52WeekLowDate,CalHigh,CalHighDate,CalLow,CalLowDate,Expiration,LastSplit,LastSplitDate,PrevSplit,PrevSplitDate,NAICS,ShortInterest
LM,AAPL,"APPLE",28.1,98835,0.55,0.22,0.88,20211111,20211105,5.67,,3571,4,14,0.22,20210901,24.93,21,,"AAPL",,36.905,177.57,1.24,,,134836,125481,20210930,109106,16334371,2600759,182.94,20220104,116.21,20210308,182.94,20220104,154.7,20220124,,0.25,20200831,0.14,20140609,334220,

If I have counted commas correctly, AAPL had 16,334,371 common shares outstanding at the end of 2022/01/28.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist



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