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»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: 8
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
 

 

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