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»Forums Index »IQFeed Developer »IQFeed Developer Support »Realtime vs Historical tick resolution
Author Topic: Realtime vs Historical tick resolution (5 messages, Page 1 of 1)

lgwaustralia
-Interested User-
Posts: 8
Joined: Apr 11, 2016

Trade on


Posted: Apr 5, 2018 06:34 AM          Msg. 1 of 5
Hi there,

We have a system where we use Realtime tick data from IQFeed and then we download all the data for the day at the end of the day as Historical data from IQFeed.

We are seeing that they do not match. For example:

Here is data from a time period we got in realtime: (using command: wXG#)
Q,XG#,04/04/2018,07:57:20.072000,11838.50,11839.50,11838.50,
Q,XG#,04/04/2018,07:57:20.072000,11838.00,11839.50,11838.50,
Q,XG#,04/04/2018,07:57:20.072000,11838.00,11839.00,11838.50,
Q,XG#,04/04/2018,07:57:20.072000,11838.00,11839.50,11838.50,
Q,XG#,04/04/2018,07:57:20.072000,11838.00,11839.00,11838.50,
Q,XG#,04/04/2018,07:57:20.072000,11838.00,11839.50,11838.50,
Q,XG#,04/04/2018,07:57:20.072000,11838.00,11839.00,11838.50,
Q,XG#,04/04/2018,07:57:20.072000,11838.00,11839.50,11838.50,
Q,XG#,04/04/2018,07:57:20.072000,11838.50,11839.50,11838.50,

Here is the data from the same time period we got as historical data: (using command: HTT,XG#,20180404 000000,20180409 170500,,,,0,,)
2018-04-04 07:57:20.072000,11838.50,1,57349,11838.50,11839.50,3106867,C,68,01,

It seems that the historical data is consolidated some how.
Is it possible to get the same resolution as realtime when downloading historical data?

Regards.

Lance

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


Posted: Apr 5, 2018 06:39 AM          Msg. 2 of 5
Good morning,

We do not have bid and ask history available, so I believe that is the discrepancy you are seeing here. You could add the message contents field to your request to validate that.

Tim

lgwaustralia
-Interested User-
Posts: 8
Joined: Apr 11, 2016

Trade on


Posted: Apr 5, 2018 07:57 AM          Msg. 3 of 5
Hello.

Thanks for the reply. I see now that we can match realtime with historical by not processing realtime data that has Message Content that's not C.

Is there a way in realtime to just get Message Contents that are C so we don't have to filter on our end?

Thanks.

Lance

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


Posted: Apr 5, 2018 08:00 AM          Msg. 4 of 5
You can do a tSYM watch and that will give you all of the trades and that should match our history.

Note: Trades can also be of type O or of type E, in addition to C as you noted above.

Tim

lgwaustralia
-Interested User-
Posts: 8
Joined: Apr 11, 2016

Trade on


Posted: Apr 5, 2018 08:07 AM          Msg. 5 of 5
Thanks for the quick reply. Will try out tSymbol.

Lance
 

 

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