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»Forums Index »IQFeed Developer »IQFeed Developer Support »ESZ16 is missing intraday back fill for 11/7
Author Topic: ESZ16 is missing intraday back fill for 11/7 (13 messages, Page 1 of 1)

mattgundersen
-Interested User-
Posts: 13
Joined: Jun 23, 2015


Posted: Nov 7, 2016 05:51 PM          Msg. 1 of 13
Hi,

If I make a request for @ESZ16 or @ES# today's historical data is missing. Is there something wrong with the EMini history? Everything was fine until today.

If I request SPX.XO, or Forex Pairs such as: @EU#, @JY#, @BP#, ... today's data is present.

The command I'm sending is:
Command: HID,@ESZ16,600,30,,000000,235959,1,@ESZ16-10

Data is returned (
@ESZ16-10,2016-10-09 18:10:00,2153.25,2150.75,2152.00,2152.50,8496,8493,0,
@ESZ16-10,2016-10-09 18:20:00,2153.25,2152.00,2152.50,2152.25,9609,1113,0,
@ESZ16-10,2016-10-09 18:30:00,2152.75,2151.75,2152.25,2152.25,10164,554,0,
@ESZ16-10,2016-10-09 18:40:00,2153.75,2152.00,2152.50,2153.00,11840,1676,0,
... many other rows.

these are the last rows received

@ESZ16-10,2016-11-06 23:40:00,2106.75,2106.00,2106.75,2106.50,112577,872,0,
@ESZ16-10,2016-11-06 23:50:00,2106.75,2106.00,2106.25,2106.50,112866,289,0,
@ESZ16-10,2016-11-07 00:00:00,2107.00,2106.00,2106.75,2106.00,113506,640,0,
@ESZ16-10,!ENDMSG!,

mattgundersen
-Interested User-
Posts: 13
Joined: Jun 23, 2015


Posted: Nov 7, 2016 05:56 PM          Msg. 2 of 13
Btw, If I restrict the BeginFilterTime and EndFilterTime todays bars (within the time restriction) appear.
Command: HID,@ESZ16,600,30,,080000,160000,1,@ESZ16-10

But I've been using 000000 - 235959 for months. Was there a change I missed that I need to apply?

mattgundersen
-Interested User-
Posts: 13
Joined: Jun 23, 2015


Posted: Nov 7, 2016 06:09 PM          Msg. 3 of 13
Did some debugging. With EndFilterTime = 235959.

As long as BeginFilterTime >= 013920 today's data shows up from that point forward.
If < 013920 today's data does not fill in.

quickTick
-Interested User-
Posts: 31
Joined: Nov 17, 2013


Posted: Nov 7, 2016 06:43 PM          Msg. 4 of 13
Maybe just the 600 data points limit you specified?

mattgundersen
-Interested User-
Posts: 13
Joined: Jun 23, 2015


Posted: Nov 7, 2016 06:51 PM          Msg. 5 of 13
I believe the 600 is the interval in seconds (10 minute chart = 10 * 60 = 600)

HID,[Symbol],[Interval],[Days],[MaxDatapoints],[BeginFilterTime],[EndFilterTime],[DataDirection],[RequestID],[DatapointsPerSend],[IntervalType]

[Symbol] - Required - Max Length 30 characters.
[Interval] - Required - The interval in seconds.
[Days] - Required - The number of calendar days ("1" equals current day) of history to be retrieved
[MaxDatapoints] - Optional - the maximum number of datapoints to be retrieved.
[BeginFilterTime] - Optional - Format HHmmSS - Allows you to specify the earliest time of day (Eastern) for which to receive data.
[EndFilterTime] - Optional - Format HHmmSS - Allows you to specify the latest time of day (Eastern) for which to receive data.
[DataDirection] - Optional - '0' (default) for "newest to oldest" or '1' for "oldest to newest".
[RequestID] - Optional - Will be sent back at the start of each line of data returned for this request.
[DatapointsPerSend] - Optional - Specifies the number of datapoints that IQConnect.exe will queue before attempting to send across the socket to your app.
[IntervalType] - Optional - 's' (default) for time intervals in seconds, 'v' for volume intervals, 't' for tick intervals

mattgundersen
-Interested User-
Posts: 13
Joined: Jun 23, 2015


Posted: Nov 7, 2016 06:53 PM          Msg. 6 of 13
I changed the data direction to 0 (which means newest to oldest).

This is what the first few data points are - only one 10 minute bar @ 00:00:00
@ESZ16-10,2016-11-07 00:00:00,2107.00,2106.00,2106.75,2106.00,113506,640,0,
@ESZ16-10,2016-11-06 23:50:00,2106.75,2106.00,2106.25,2106.50,112866,289,0,
@ESZ16-10,2016-11-06 23:40:00,2106.75,2106.00,2106.75,2106.50,112577,872,0,

DTN_Steve_S
-DTN Guru-
Posts: 2029
Joined: Nov 21, 2005


Posted: Nov 7, 2016 07:56 PM          Msg. 7 of 13
I can confirm this appears to be an issue in the servers. I haven't been able to identify exactly what is happening but I can duplicate the issue. I'll report this over to our server team for investigation.

For the current time, the workaround that seems to work consistently is to request the current day's data with a separate request.

DTN_Tim Walter
-DTN Guru-
Posts: 1064
Joined: Apr 25, 2006


Posted: Nov 8, 2016 07:11 AM          Msg. 8 of 13
This appears related to the DST rollover. We'll take a look at the bug and get it resolved before the next
one.

Tim

mattgundersen
-Interested User-
Posts: 13
Joined: Jun 23, 2015


Posted: Nov 8, 2016 08:29 AM          Msg. 9 of 13
Thanks for the quick responses Steve and Tim. I've got a workaround for now so I'm good :)

mattgundersen
-Interested User-
Posts: 13
Joined: Jun 23, 2015


Posted: Nov 10, 2016 01:21 PM          Msg. 10 of 13
Hi Steve and Tim,

My workaround is to request 020000 -> 235959. At some point I'd like to revert to original behavior of 000000 -> 235959 for my historical requests.

I just tried requesting 30 days of intraday data with begin/end time of 000000 -> 235959 and today's data is missing. Perhaps the behavior is today's data will always be missing with this DST bug? And only on emini? Any ETA on a fix?

Thanks, Matt

DTN_Tim Walter
-DTN Guru-
Posts: 1064
Joined: Apr 25, 2006


Posted: Nov 10, 2016 01:38 PM          Msg. 11 of 13
Hi Matt,

Since your filter is 000000 - 235959 anyhow, could you just remove the filter times? That should work fine in the interim if so.

I don't have any official ETA yet for you, but I know the fix has been passed over to QA to test, hopefully before the end of the year. But, I'll update you when I learn more.

Tim

mattgundersen
-Interested User-
Posts: 13
Joined: Jun 23, 2015


Posted: Nov 10, 2016 02:40 PM          Msg. 12 of 13
Hi Tim,

Thanks. I removed the filter times - works great.

m.

DTN_Tim Walter
-DTN Guru-
Posts: 1064
Joined: Apr 25, 2006


Posted: Nov 10, 2016 02:42 PM          Msg. 13 of 13
Good deal. I'll let you know when you can revert, should you choose to.

Tim
 

 

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