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Viewing User Profile for: Roberts
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Joined: Mar 26, 2008 09:40 AM
Last Post: May 21, 2024 10:48 AM
Last Visit: May 23, 2024 04:06 AM
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Roberts has contributed to 54 posts out of 21199 total posts (0.25%) in 5,905 days (0.01 posts per day).

20 Most recent posts:
Data Questions » Spinoff Adjustments May 21, 2024 10:48 AM (Total replies: 7)

Great! Thank you.

Data Questions » Spinoff Adjustments Apr 30, 2024 02:04 PM (Total replies: 7)

Roger that.

Data Questions » Spinoff Adjustments Apr 17, 2024 12:53 PM (Total replies: 7)

Great. I'll wait for the good news!

Data Questions » Spinoff Adjustments Apr 11, 2024 10:21 AM (Total replies: 7)

To be clear, I'm only talking about adjustments for Daily data. (Just forget that I even mentioned Intraday.)

It's been a few days. Can someone reply?

Data Questions » Spinoff Adjustments Apr 9, 2024 11:11 AM (Total replies: 7)

We all know that Daily data is split-adjusted but Intraday is not. Following a couple recent large spinoffs (GE > GEV and MMM > SOLV), I noticed that IQFeed had applied a split-type adjustment for these that matched my adjustment that I apply for intraday data. I continued investigating S&P 500 and Nasdaq 100 stock histories and found that adjustments for Spinoffs have been applied in about 30 cases.

I attached a spreadsheet with my spinoff findings. This isn't an exhaustive study but I've been following the S&P 100, 500, and Nasdaq 100 stocks. With a few exceptions that I can't quite reconcile the workbook has 3 spreadsheets:

1. The first are the spinoffs for which IQFeed has already applied the adjustment. Nothing needs to be done here, it's just for reference.
2. The next sheet is a list of about 65 other spinoff that I request to be applied to the Daily data. If its not possible to apply these corrections, then I want to know that, and I'll just do it myself for all of our customers.
3. The last sheet of "Errors" is a short list of spinoff that IQFeed may have applied an adjustment for, but they don't match my calculation. More investigation required.

Mainly, I'm looking for action on #2.

New IQFeed Forum » FLT Symbol Change to CPY is wrong Mar 26, 2024 02:55 PM (Total replies: 3)

FLT changed to CPAY, not CPY as shown here:

Data Questions » ABNB Intraday for 2023-02-14 Offset by 1 Hour Feb 12, 2024 11:22 AM (Total replies: 4)

After refreshing my data cache, everything appears to be correct now.
Thanks for checking on it.

Data Questions » ABNB Intraday for 2023-02-14 Offset by 1 Hour Feb 8, 2024 07:55 AM (Total replies: 4)

The EST timestamps for ABNB 1-min and 5-min interval data for 2023-02-14 is advanced by 1 hour. In other words the data showing at 0830 ET is the market opening and the close is at 1500.

The offset appears in 1-minute and 5-minute intervals, but not using 15 or 30-minute intervals. There's your proof.

Note that there's a large run up on high volume in the after market session that day.

This makes a big difference for that day. Can you correct it please?

IQFeed API Questions » Option Chain Response missing "LC" Jul 20, 2023 03:29 AM (Total replies: 2)

Thanks for the clarification. Indeed, I'm using 6.1 so I'll have to keep this in mind for the next upgrade. Thanks again.

Data Questions » Heads Up Daily bars on 5 June 2023 Jun 12, 2023 10:01 AM (Total replies: 4)

Thanks for taking care of that!

Data Questions » Heads Up Daily bars on 5 June 2023 Jun 5, 2023 05:40 PM (Total replies: 4)

Daily data is incorrect for stocks whose High or Low price for the day was hit in the first few minutes of the session.

Examples (just 2 of hundreds) -

RCL - Low was 85.86, but the Daily bar Low is 86.00
RE - High was 346.58, but the Daily bar High is 346.26

IQFeed API Questions » Option Chain Response missing "LC" May 23, 2023 06:17 AM (Total replies: 2)

The doc here: indicates that the response to any of the requests for option chains will have "a field containing the letters LC". We expect to see LC as the first field unless a RequestID is specified, and in that case LC would be the second token.

Nonetheless in response to the request, LC is nowhere to be found in the response.


I don't care if LC is there or not, but I just want to know that it will never be there. Will it?

New IQFeed Forum » 78-Minute Bar alignment Dec 16, 2022 08:02 AM (Total replies: 5)

Any chance that these issues will be fixed?
Edited by Roberts on Dec 16, 2022 at 08:02 AM

New IQFeed Forum » 78-Minute Bar alignment Dec 14, 2022 02:41 AM (Total replies: 5)

Finally, another image attached highlighting that the first 1048 bar occasionally is wrong, completely missing the first 78 minutes of data and instead appears to insert data for the 1-min of premarket trading prior to 0930. The data shown were part of the response to this request:

HIT,ABBV,4680,20211003 000000,20221216 000000,,093000,160000,1,7,,s,0

New IQFeed Forum » 78-Minute Bar alignment Dec 14, 2022 01:07 AM (Total replies: 5)

ABBV 78 Minute bars returned yesterday (12/13/2022) OHLCV
12/13/2022 10:48 166.92 167.16 165.62 166.06 417761
12/13/2022 12:06 166.05 166.06 164.71 164.985 394991
12/13/2022 13:24 164.985 165.55 164.69 165.085 253186
12/13/2022 14:42 165.09 165.94 164.83 164.86 323191
12/13/2022 16:00 164.89 165.65 164.67 164.92 644521

ABBV 78 Minute bars returned today (12/14/2022) OHLCV
12/13/2022 10:48 166.95 167.5 165.76 166.41 542785
12/13/2022 12:06 166.39 166.39 164.75 165.31 445391
12/13/2022 13:24 165.29 165.37 164.69 165.365 281420
12/13/2022 14:42 165.39 165.62 164.9 165.54 275937
12/13/2022 16:00 165.5491 165.94 164.67 164.92 786909

It's only 2AM EST, but the data returned for the same request has changed (and is now correct).

New IQFeed Forum » 78-Minute Bar alignment Dec 13, 2022 03:47 PM (Total replies: 5)

For that request, is it misleading that IQFeed timestamps the bars in the way that [appears to] use a 0930 start? If the (ending) timestamp of the 78-minute bar is 10:48, then that implies that it's the 78-minutes of data from 0930 to 1048 - yet that is not the case (today).

I had a hunch that paid off. I rescaled IQFeed 1-minute data and compared the result to the 78-minute bars returned from IQFeed. As it turns out, using the request above, IQFeed uses the 0930 filter time as a start reference. The problem is that it doesn't do that for the current day!

See the attached image that makes this comparison. Except for occasional - but significant - differences on [usually] the 1048 bar, the bars are identical prior to "today". My guess is that when I request the ABBV 78 minute bars tomorrow, they'll be different than they are today. That's not good.

New IQFeed Forum » 78-Minute Bar alignment Dec 13, 2022 01:01 PM (Total replies: 5)

When requesting odd-intervals, like 13 or 78 minute bars (both of which divide evenly into a 390-minute day), what is the correct way to identify the starting time for the data compression?

For example, if you start at midnight, 78 minute bar end-of-bar timestamps for bars that contain data for the U.S. market regular session would be (in bold):


However, I need bar data aligned with the 09:30 market open whose end-of-bar times are:

Specifying 0930 and 1600 for the HIT filter times returns bars with the correct timestamps. e.g.,
HIT,ABBV,4680,20221213 000000,20221215 000000,,093000,160000,1,3,,s,0
20221213 10:48 166.92 167.16 165.62 166.06 417,761
20221213 12:06 166.05 166.06 164.71 164.99 394,991

HOWEVER, inspecting the 1-minute data (always referring to end-of-bar timestamps), the OPEN for ABBV today's 09:31 bar was 166.95 - not 166.92 as indicated in the 78-minute bar data.

More strikingly, the 1-min bar close at 10:48 is 166.41 - not 166.06. Note that the bar ending at 10:17 closed at 166.06 - the only 1 minute bar to close at that price before 10:48.

What's going on with this data compression?
What's IQFeed's guidance on how to do this correctly?

New IQFeed Forum » missing split event? Apr 23, 2021 01:37 PM (Total replies: 24)


Unfortunately, the data guys got the ex-date wrong. It's today 04/23/2021, not 04/22/2021. Can you get them to adjust that, please?

F,VXX,12,,58583000,45.0300,9.7300,21.7600,9.7300,0.0000,,,,,,,,,IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN,VXX1,,1.00,,11570.0,,,,101585,4.00 04/22/2021,,14,4,,52.88,1,18,06/12/2020,04/16/2021,01/29/2021,04/16/2021,16.7900,,,,,0,,,,,,USD,,,,,BBG00JQ5JWB5,3,

New IQFeed Forum » missing split event? Apr 23, 2021 12:48 PM (Total replies: 24)

Disregard the split in 2017. That one was for the previous VXX series, which was delisted.

New IQFeed Forum » missing split event? Apr 23, 2021 12:46 PM (Total replies: 24)

I'm looking at both! You should know me by now ;)

I understand that only Daily is adjusted by IQFeed. We use the Fundamental message to adjust our intraday data too.

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