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»Forums Index »IQFeed Developer »IQFeed Developer Support »Historical OHLC bars for quotes (bid/ask)?
Author Topic: Historical OHLC bars for quotes (bid/ask)? (6 messages, Page 1 of 1)

vmitec
-Interested User-
Posts: 3
Joined: Mar 15, 2017


Posted: Mar 15, 2017 08:06 AM          Msg. 1 of 6
I am just getting started with IQFeed. In order to backtest some strategies, I need to retrieve 1-minute OHLC bars over extended periods of time (years)
So far, I only managed to get 1-minute OHLC bars for trades, but not quotes (bid and ask).
Is there a way to retrieve 1-minute OHLC bars for quotes?

Quotes are interesting too because they provide knowledge of the time-varying bid/ask spread and allow to simulate more accurately fills during backtesting.
I am familiar with Interactive Broker historical data. With Interactive Brokers, I can request OHLC bars for either the bid, the ask, the midpoint or for trades. Is there anything similar with IQFeed?

Thanks.

DTN_Tim Walter
-DTN Guru-
Posts: 1093
Joined: Apr 25, 2006


Posted: Mar 15, 2017 08:35 AM          Msg. 2 of 6
Good morning,

Unfortunately, IQFeed does not store any historical bid or ask data within it's systems, but we do have other products with this type of data available for a one time purchase to supplement your usage, if you would like to talk about purchasing this kind of data just let me know and I can have someone is sales reach out to you.

Tim

vmitec
-Interested User-
Posts: 3
Joined: Mar 15, 2017


Posted: Mar 21, 2017 02:17 AM          Msg. 3 of 6
Thanks Tim for your reply. I will try to see what I can do with the data available through the API first and come back to you if I need additional data.

Vincent

jonnyb
-DTN Evangelist-
Posts: 103
Joined: Aug 15, 2012


Posted: May 1, 2017 10:04 AM          Msg. 4 of 6
Tim- Is that NxCore?

DTN_Tim Walter
-DTN Guru-
Posts: 1093
Joined: Apr 25, 2006


Posted: May 1, 2017 10:10 AM          Msg. 5 of 6
NxCore is a streaming service that would have this. But, I believe sales can provide data on a one time basis aside from that. If you contact sales and ask for Jerry, I am sure he can explain the options better than I.

Tim

jonnyb
-DTN Evangelist-
Posts: 103
Joined: Aug 15, 2012


Posted: May 1, 2017 10:13 AM          Msg. 6 of 6
That's great...didn't realize this was available. Thanks Tim
 

 

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