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Wilkinson has contributed to 4 posts out of 21164 total posts (0.02%) in 3,310 days (0.00 posts per day).

20 Most recent posts:
IQFeed Datafeed Wish List » LSE Feed? May 2, 2015 03:55 PM (Total replies: 8)

Can I bump this thread please.. I couldn't find any news on this. I would like to get tick or 1-min data from LSE/AIM markets.

Data and Content Support » NAZ futures Apr 9, 2015 10:46 AM (Total replies: 1)

Hello,

I am in the process of adding some futures to my watch list (delayed data).
I was successful adding @ES#C, @YM#C and @DX#C, however I am not getting feed for @QCN#C (E-MINI NASDAQ COMPOSITE). I was successful getting feed for @NQ#C (E-MINI NASDAQ 100) though.

I used the info listed on these sites:
http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support§ion=guide&web=iqfeed&guide=commod&web=IQFeed&symbolguide=guide&displayaction=support§ion=guide&type=cmemini

http://www.iqfeed.net/symbolguide/display.cfm?eight=0800A98E.cfm&six=06000429&title=DTN+-+SYMBOL+GUIDE+-+BY+COMMODITY

Can you please check why feed is not provided for @QCN#C?
Thank you.


Thank you Curtis.

As a workaround, is there an option to retrieved the EOD data even when the feed is to set 1 minute? (with a 'special' ticker name like 'AAPL.EOD' as I asked above?).

Amibroker DB is currently set to a mixed database on 1 minute bars, therefore it constructs the daily data from the minute bars on for the daily chart. The suggested solution (storing the data in an EOD database) would defeat the purpose of working with an exploration on an intraday 5-min chart AND past "completed" EOD data.

There is a way to get a 'foreign' stock from the same database in Amibroker but can't query another (Amibroker) database (i.e would have a 1-min and an EOD DB setup).

Alternatively I was thinking about importing the EOD data to using StaticVarSet for my watch list on a daily basis, but this sounds very painful and feels an unnecessary burden... I can get today's 'full' volume data so far using GetRTData("TotalVolume").


I am using Amibroker with a 1-minute database. I am also using XLQ for Excel.

I noticed that for _any_ ticker the volume info shown on Amibroker's daily chart will be _less_ than the volume retrieved via XLQ (which again connects to IQFeed). The difference is in the 10-15% range, for all days, all tickers. I have cross-checked the information with Yahoo EOD data and the data in Excel/XLQ matches (to the 100, which is fine).

See attached screenshots for AAPL (created 3 days ago) - Excel.png and Yahoo.png.
However, if I look on the Amibroker chart I get the following values, starting from 3 Feb to 21 Jan:
48,527,572
58,504,896
76,975,896
78,355,120
136,403,232
89,923,048
50,280,040
43,102,976
47,692,804
45,262,800

I contacted Amibroker's support who sent me their snapshot created using an end-of-day database (Amibroker-EOD_Setup.png) and gave the following explanation:
"Indeed – 1-minute database is recommended, however in this case the daily prices and volumes are constructed out of individual 1-minute bars captured from the stream. So – the output will depend on your intraday settings in File -> Database Settings -> Intraday Settings.

This article explains the topic in details:
http://www.amibroker.com/kb/2006/03/19/how-does-the-daily-time-compression-work/

Note however that daily values obtained from the data-stream may differ from the ‘official’ prices provided by the exchange."

How is this difference possible? Surely, the sum of volume bars should give out the daily volume? There seem to be constant 10-15% difference which can mislead the chart eye AND the exploration scripts.

As there is an option to plot data from a 'Foreign' stock, was it possible to access the EOD data using a different symbol? (e.g. made up: "AAPL.EOD"). This way I could rely on the EOD data from this ticker and continue using the 5-min chart with live prices.

Thank you.


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