Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"I would just like to say that IQFeed version 4 is running very well and I am very happy with its performance. I would also like to extend a big thanks for the fast and efficient help that I always receive. My questions and concerns are always addressed promptly. Way to go!" - Comment from Josh in CO.
"This beats the pants off CQG, I am definitely switching to the ProphetX 3.0!" - Comment from Stephen
"If you are serious about your trading I would not rely on IB data for serious daytrading. Took me a while to justify the cost of IQ Feed and in the end, it's just a 2 point stop on ES. Better safe than sorry" - Comment from Public Forum
"I ran your IQFeed DDE vs. my broker vs. a level II window for some slow-moving options. I would see the level II quote change, then your feed update instantaneously. My broker's DDE, however, would take as much as 30 seconds to update. I am not chasing milliseconds, but half a minute is unacceptable." - Comment from Rob
"Thanks for the great product and support. During this week of high volume trading, my QuoteTracker + IQ Feed setup never missed a beat. Also, thanks for your swiftness in responding to data issues. I was on ******* for a few years before I made the switch over early this year, and wish I had done it a long time ago." - Comment from Ken
"Everything is working amazing now. I'm already impressed with the true-tick feed of IQFeed and it's ability to support my 480 symbol layout." - Comment from Tyler via Email
"I "bracket trade" all major news releases and I have not found one lag or glitch with DTN.IQ feed. I am very comfortable with their feed under all typical news conditions (Fed releases, employment numbers, etc)." - Comment from Public Forum
"Everything is working great ! Very impressive client. The news refreshes better and is more pertinent than the ******* feed I paid $ 100/month for. I Also like the charts a lot." - Comment from Leon
"Interactive Brokers tick data was inconsistent, so I have switched to using DTN exclusively. It is great to no longer have to worry about my datafeed all day long." - Comment from Philippe
"This is an excellent value, the system is generous (allowing for 500 stocks) and stable (and really is tick-by-tick), and the support is fantastic." - Comment from Shirin via Email
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »IQFeed Developer »IQFeed Developer Support »How are derivative bars built?
Author Topic: How are derivative bars built? (2 messages, Page 1 of 1)

Lav2018
-Interested User-
Posts: 10
Joined: Mar 15, 2018


Posted: Mar 15, 2018 04:57 AM          Msg. 1 of 2
I have a few technical questions regarding derivative bars in IQfeed. Apologies if I missed this information in the documentation, but I could not find it.

1. Lets say I have requested streaming bars with an interval of 60 seconds. In the messages my client receive, what will [DateTime] represent? Will it be the start time of the interval or the end time of the interval? E.g. Would 12:00:00 be for interval 2:00:00 to 12:00:59, or interval 11:59:01 to 12:00:00?

2. Within IQFeed, what determines when a bar is "finished" being built and sent out to my client? Is it my internal computer clock, IQfeed's server clock, or timestamps on ticks? If it is timestamps of ticks, then I suppose the bar won't be sent to the client until a tick with timestamp OUTSIDE that interval has arrived. That could cause delays in instruments with low volume.

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Mar 15, 2018 10:29 AM          Msg. 2 of 2
1. Streaming bars and history all currently use the time from the end of the interval. If 12:00:00 started a new 1 minute interval, the interval would end at 12:00:59.999999 and the bar received would have a timestamp of 12:01:00.

2. You are correct, any method based on time to create a BC bar fails, so the only way you can guarantee that a bar has closed is to wait for a message to be received that is not part of the current interval for that symbol. That does certainly provide an opportunity for delays. So what you want to do is set the update interval to some value greater than 0.

The update interval is a time based catch to be sure you do not have to wait any longer than necessary to receive the current data. The update interval is used to trigger the sending of a BU bar when we have data on a symbol, but have not received data for [update interval] seconds.

Here is an example, with 60 second bars, and no update interval

We'll say trades occur at the following times:
12:00:00
12:00:14
12:00:48
12:00:59
12:01:00
12:01:01
12:01:02
12:02:15
12:02:16
01:04:17

This would be your expected outputs, notice the time delays in data return, but all bars are official and complete.

BC bar for 12:00 to 12:00:59 will be received at 12:01:00
BC bar for 12:01 to 12:01:59 will be received at 12:02:15
BC bar for 12:02 to 12:02:59 will be received at 01:04:17

Now with an update intervals of 1 second., you get more data to potentially process, but you always have current data, but since the BC bar is still sent you still know when a bar is officially complete.

BU bar for 12:00 to 12:00:59 will be received at 12:00:01
BU bar for 12:00 to 12:00:59 will be received at 12:00:15
BU bar for 12:00 to 12:00:59 will be received at 12:00:49
BC bar for 12:00 to 12:00:59 will be received at 12:01:00
BU bar for 12:01 to 12:01:59 will be received at 12:01:03
BC bar for 12:01 to 12:01:59 will be received at 12:02:15
BU bar for 12:02 to 12:02:59 will be received at 12:02:17
BC bar for 12:02 to 12:02:59 will be received at 01:04:17
BU bar for 1:04 to 1:04:59 will be received at 01:04:18

Let us know if you have any questions on this though and we would be happy to help further.

Tim
 

 

Time: Mon March 30, 2020 12:10 PM CFBB v1.2.0 15 ms.
© AderSoftware 2002-2003