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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
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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:
https://ws1.dtn.com/IQ/Guide/news_08011D35.html

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: http://www.iqfeed.net/dev/api/docs/OptionChainsviaTCPIP.cfm 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.
CEO,CSCO,pc,FGHJKMNQUVXZ,,,,,4,1

Response...
6,CSCO2302F30,CSCO2302F35,CSCO2302F36,CSCO2302F37,CSCO2302F38,...

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):
01:18
02:36
03:54
05:12
06:30
07:48
09:06
10:24
11:42
13:00
14:18
15:36
16:54

18:12
19:30

However, I need bar data aligned with the 09:30 market open whose end-of-bar times are:
10:48:00
12:06:00
13:24:00
14:42:00
16:00:00

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)

Thanks.

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)

Update:
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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