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» Historical download and Level 1 Update/Summary order in 5.0
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| Author | Topic: Historical download and Level 1 Update/Summary order in 5.0 (5 messages, Page 1 of 1) |
 wpleasant -Interested User- Posts: 3 Joined: Apr 16, 2012 |
Posted: Jan 21, 2013 12:40 PM
Msg. 1 of 5
While working with protocol 5.0 I’ve noticed that the earliest available equity data (“IBM”,”SPY”,”AAPL”) I’ve been able to download using “HTT” starts on 2013-01-14. Is this something on my end or has the historical data not been backfilled?
Also, with level 1 update/ summary messages is it safe to assume that the “Current Update Field Names” will remain in the same order for the foreseeable future and that if any additional fields are added they would be appended on the end of the message? Example messages from iqfeed after setting protocol to 5.0: S,CURRENT PROTOCOL,5.0, S,CURRENT UPDATE FIELDNAMES,Symbol,Most Recent Trade,Most Recent Trade Size,Most Recent Trade TimeMS,Most Recent Trade Market Center,Total Volume,Bid,Bid Size,Ask,Ask Size,Open,High,Low,Close,Message Contents,Most Recent Trade Conditions Best regards, William |
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DTN_Nathan_Bartsch -IQ Developer- Posts: 33 Joined: May 3, 2004 
Telvent DTN |
Posted: Jan 21, 2013 01:22 PM
Msg. 2 of 5
During the market day, tick data is limited to the last 8 calendar days, including today. You should be able to retrieve additional tick data outside of these hours (before 9:30 EST or after 16:30 EST).
Current default update field names should remain in the same order for protocol 5.0. Please be aware that you can change the fields used and the order that they are returned; refer to the documentation (search for S,SELECT UPDATE FIELDS) for more details. Nathan W. Bartsch - Senior Software Engineer - Telvent DTN |
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wpleasant -Interested User- Posts: 3 Joined: Apr 16, 2012 |
Posted: Jan 22, 2013 07:55 PM
Msg. 3 of 5
Thanks for the reply,
I'm just now revisiting this and have noticed that millisecond time stamps start on 2012-12-24 for IBM and AAPL. Before the 24th the data appears to revert back to version <= 4.9. Is this consistent for all US equities and will the millisecond time stamps be back-filled to the full 120 days? |
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aQuant -Interested User- Posts: 49 Joined: Jul 20, 2012 |
Posted: Jan 23, 2013 08:10 AM
Msg. 4 of 5
I would also be interested in knowing whether tick-history for futures contracts has millisecond timestamps going 120 days back (using 5.0 protocol) or whether there is a more recent date before which it is only a second precision.
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005
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Posted: Jan 23, 2013 09:03 AM
Msg. 5 of 5
December 24th is when the servers went online to support the milliseconds in the feed. We will not be backfilling any data prior to that time for milliseconds.
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