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Viewing User Profile for: JDonovan
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Joined: Feb 11, 2007 05:46 PM
Last Post: Sep 10, 2008 07:58 AM
Last Visit: Sep 22, 2009 11:28 AM
Website: http://exx.com
Location: Santa Barbara
Occupation: Code Slinger
Interests: Creating things
Email: jeffd@exx.com
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Post Statistics
JDonovan has contributed to 24 posts out of 21240 total posts (0.11%) in 6,365 days (0.00 posts per day).

20 Most recent posts:

10049 error indicates that either the IP address (an attempt to bind to an address that is not valid for the local machine) or the Port number is bad (port is not valid for a remote machine). Try modifying the IP/Port settings on the bad machine to match those on the good machine.

- Jeff

IQFeed Developer Support » I need an Vb.net example Urgent May 21, 2008 08:03 PM (Total replies: 15)

Pete, IQFeed delivers every update received from the exchange to your app

FOR the data that IQ provides, which does not include regional quotes only BBO.

- Jeff

Edited by JDonovan on May 21, 2008 at 08:05 PM

IQFeed Developer Support » basic socket question Feb 5, 2008 07:40 AM (Total replies: 1)

Windows sockets block by default....it's waiting for data to arrive. You can easilly set the sockets to non-blocking, suggest digging into some socket documentation/reading if you want to go much further.

- Jeff

IQFeed Developer Support » Erros in mktsymbols.txt Jan 28, 2008 07:20 AM (Total replies: 10)

The invalid strikes had to do with OPRA itself. The new encryption for OPRA Fast broke, forcing them (OPRA) to restart everything at 9:45 AM on that date. It was not just IQ Feed but every provider who takes OPRA Fast (SPRY for instance is another provider who's option databases became completely corrupted on that day).

- Jeff

IQFeed Developer Support » Intraday History Bars Jul 19, 2007 06:49 AM (Total replies: 9)

Just sounds like the bar's timestamp is for the *end* of the bar period and not the beginning, not really that it would be a bad bar.

- Jeff


Yes. Launch two of them.

- Jeff


Generally speaking it's so "official" net change prices can be matched. The pre-post market trades are tagged as "Form-T" when they are recieved. This indicates a new last sale, but not a sale that occured during "normal market hours" and should not effect the official last sale price.

So in effect, if you want to report the "official" net change, you need to know the closing price and the "official" last sale price. Official net-changes are always reported only for normal market hours. If you wanted to ignore the "official" price or also post a pre-post market net change then you can simply do it yourself with the extended trade information. I personally could not accept it any other way, our clients want the official close and net change during the pre-market along with an "un-official" net change based on the pre-market pricing.

If you recieve a Form-T trade message, the size is reported with that message so I'm not sure what you mean by matching the size to that price?

- Jeff
Edited by JDonovan on Apr 20, 2007 at 03:19 PM


The "Last Sale" indicator is only for trades that occur during regular market hours. To get the extended session (pre and post market) you must check the timestamp of the trade. The format of the time string is HH:MMc where "c" is the trade indicator. If the trade indicator character is a "t" then the trade is normal, if an uppercase "T" then it's a Form T trade (extended trading pre and post market).

If the trade is from the extended session then the data will be in the "Extended trading last", "Extended trading change" and "Extended trading difference" fields (fields 33, 37 and 38 in the update message data) and you can determine all the current pricing from these fields.

NOTE that on the new pre-server the timestamp is HH:MM:SS:c as IQFeed has now added a seconds field to the timestamp.

Hope that helps....

- Jeff

IQ....should probably be a FAQ on this...seems to come up very frequently.
Edited by JDonovan on Apr 20, 2007 at 08:57 AM

IQFeed Developer Support » To summarize last question... Apr 18, 2007 03:05 PM (Total replies: 3)

Oh yea of course....and don't forget the redundant NASDAQ regional-BBO quotes....

- Jeff

IQFeed Developer Support » To summarize last question... Apr 18, 2007 11:27 AM (Total replies: 3)

"HH:MMt" would always be a trade and you should only update the trade fields, not the quote fields.

"HH:MMb" would be for quotes and you should update the bid, ask bidsize and asksize and not the trade fields.

Steve mentioned in his email that since these are the BEST quotes only (IQ feed only sends the best quotes), so if there is a bid then there will also be an ask, so you update all quote fields. The BEST is from the BBO appendages and are sent from the exchanges (at the current time) in unison. This is not to say that both sides have *changed*, only that you will receive both sides for every best quote.

My only request for IQFeed is that at some point in time I would like to see the individual exchanges for both sides (IE were the best bid is from and where the best ask is from).

- Jeff

IQFeed Developer Support » Time stamp in Quote Messages on Pre-Server Apr 18, 2007 08:12 AM (Total replies: 1)

Just hooking into the pre-server this morning to check the new formats. All looks good except:

I am not seeing timestamps update on quote messages. Instead they are always reflecting the time of the Last Trade (in this case the extended trade as it's pre-market at the current time of testing).

The Time field is retrived and parsed fine, just does not seem to be updated. I don't know if the problem exists during normal market hours....will update in about 1/2 hour.

AND yes, I am parsing the new seconds field (thank you for that btw) which is updating correctly for trades.

- Jeff

EDIT: Yea after the open same thing. The timestamp on quotes seems to reflect the timestamp of the last trade, with the exception of the trade indicator character, which is correct.

Edited by JDonovan on Apr 18, 2007 at 08:40 AM

IQFeed Developer Support » After hours Apr 17, 2007 08:15 AM (Total replies: 4)

QQQQ

IQFeed Developer Support » Request N intraday bars Apr 17, 2007 08:07 AM (Total replies: 2)

Try this:

int NumDays=NumberOfBars /(int)(((double)MinutesInTradingDay/(double)Periodicity));
NumDays+=1;

Where MinutesInTradingDay = 390 (normal trading hours) and NumberOfBars is the max (or total) number of bars you want returned.

I think that's what you're looking for but not 100% certain based on the way the question was worded....

- Jeff
Edited by JDonovan on Apr 17, 2007 at 08:18 AM

IQFeed Developer Support » AFTERHOURS data Apr 4, 2007 06:17 AM (Total replies: 5)

I'm not sure on the historical data but for the real time data absolutely. Check the timestamp of the trade. The format of the time string is HH:MMc where "c" is the trade indicator. If the trade indicator character is a "t" then the trade is normal, if an uppercase "T" then it's a Form T trade (extended trading pre and post market).

If the trade is from the extended session then the data will be in the "Extended trading last", "Extended trading change" and "Extended trading difference" fields (fields 33, 37 and 38 in the update message data).

Hope that helps....

- Jeff
Edited by JDonovan on Apr 4, 2007 at 06:18 AM

IQFeed Developer Support » Questions about the fundamental fields? Feb 15, 2007 01:12 PM (Total replies: 6)

PE matching almost dead on to Spry now.....excellent.

One last question. In the funamental record, is the "Beta" the SPBeta or something calculated by DTN? It's matching the SP Beta about 30% of the time and the remainder can be close or very far off.

Thanks in advance,

- Jeff

IQFeed Developer Support » Multiple Summary Messages for Options Feb 15, 2007 10:28 AM (Total replies: 4)

Great and thanks for the follow up. That makes perfect sense as I have the problems with the options, it's the one area I have set to delayed feed (i'm just a developer).

I actually did run across a situation in on of our apps that the dup message does cause problems. The solution was to properly identify the summary as invalid. The one field I found consistently missing for options is the Strike Price. If the summary is invalid (for an option quote) the Strike will be missing, otherwise it will be present. While yea, there are many other fields missing, that was the one I could see missing each and every time for options, other fields seem to be filled in randomly in the invalid summary.

Anyway thanks for the note!

- Jeff

IQFeed Developer Support » Force Primary Message Feb 12, 2007 01:43 PM (Total replies: 6)

Apologies I was in error.....I didn't realize yesterday when I was testing this the issue had to be being watched in order to get the force message. It does indeed work when being watched.

- Jeff


Ok I understand what you are saying. Thanks for the reply, I'll have to shelve it for some of our client apps but can certainly use it for others which follow those guidelines (or dont use bar data in any regard).

- Jeff


One other thing you mention in your post I would like to ask about. Are you pulling 1 minute bars throughout the day? If so, this is outside the realm of what an IQFeed subscription is for.

Could you clarify this? I'm a little unclear as to the meaning. For instance, if one of my applications is a charting application, and allows the client to say request data in either daily, 30 min, 5 min or 1 min data. They choose the timeframe and then request symbols. Which symbols, I don't know. But I do know they might be requesting a good number of symbols in 1 - 5 min bars throughout the trading day.

All of the literature on the IQFeed main page would suggest that this is exactly within the realm of the subscription, I see nothing regarding request limits on certain types of data? What about Daily Bar Data? What about Option Chains?

Seriously not trying to be flippant, I need to know before I invest manpower into anything that the subscription may not permit.

Thanks in advance,

- Jeff

IQFeed Developer Support » Force Primary Message Feb 12, 2007 11:26 AM (Total replies: 6)

I will concur with this, I have yet to see the current force message deliver any data....I gave up on it.

Additionally, I would agree and would VERY much like to have a force message for both Summary and Fundamental data, without having the requirment of setting interest in the symbol. There are multitude of reasons to do this and they will be app-specific but I think anybody writing trading apps for awhile can tell you there are definately circumstances you want the summaries without having to set a stream interest (IE pre-prepping a system before turning on the stream or app may be technical and need no stream or on and on and on)...

I was actually logging in to request this very thing and saw this message.

- Jeff
Edited by JDonovan on Feb 12, 2007 at 11:28 AM


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