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»Forums Index »Archive (2017 and earlier) »Data and Content Support »historical data in chronological order for active watch list
Author Topic: historical data in chronological order for active watch list (3 messages, Page 1 of 1)

busitech
-Interested User-
Posts: 14
Joined: Apr 16, 2010


Posted: Jul 10, 2010 12:59 PM          Msg. 1 of 3
Is there a way to receive historical tick data from IQFeed which considers your active watch list? I'd like to establish a watch list, and then send a historical tick data request for a date/time range, and receive the tick data in the order it was created during live market hours for the symbols I'm watching...

Thank you.

AMA
-DTN Evangelist-
Posts: 183
Joined: Aug 1, 2007


Posted: Jul 11, 2010 01:15 PM          Msg. 2 of 3
Not exactly sure what you're wanting here, but I'll take a stab at it...

* If done thru DTNIQ, I'd guess you'd have to manually(or through automated workspaces) pop up individual T&S(Time&Sale) windows, select tick data, etc, and fire 'em up for each symbol. If you have a large watchlist, this could be many T&S windows. You may have these windows open 'live' during the day, so that you can track current info through the watchlist, and recent/all tick data through each T&S window. Very handy way to go. You could also save that data to disk(say, in .csv input to be used by Excel or some other app).

* Something that may work better if you want to retrieve lots of data would be QCollector for DTNIQ, which is one of the partner apps listed elsewhere on this site.

http://www.mechtrading.com/qcollector/dtn/index.htm

This app allows you to code up a job that will retrieve historical tick(and other types) of data, using IQFeed(the actual feed used by DTNIQ). Among many things you can set on the job are the symbol, and date range for what you want. More than one format in which to retrieve the data, which can be used in many ways, such as input to Excel. I have some routines that build jobs to retrieve tick data in .csv format. I usually run the job(s) offshift/weekends, as during prime time, DTNIQ limits you to the last 8-10(I think) day's worth of data. Offshift, you can retrieve up to 30 day's data, or any excerpt of that you want. Worth a look...

busitech
-Interested User-
Posts: 14
Joined: Apr 16, 2010


Posted: Jul 19, 2010 01:47 AM          Msg. 3 of 3
I am looking for a way to receive historical tick data for a watch list, in the same way you can download historical tick data for a single symbol.

This would facilitate backtesting of custom indicators against a particular day's data, when utilizing a basket of issues. I could do it manually, but it would be nice to execute a download against an active watch list...
 

 

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