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)




"IQ feed works very well, does not have all of the normal interruptions I have grown used to on *******" - Comment from Mark
"If you want customer service that answers the phone, your best bet is IQFeed. I cannot stop praising them or their technical support. They are always there for you, and they are quick. I have used ****** too but the best value is IQFeed." - Comment from Public Forum
"For anyone considering using DTN.IQ for a data feed, my experience with the quality of data and the tech support has been very positive." - Comment from Public Forum
"And by the way, have to say this. I love the IQFeed software. It's rock solid and it has a really nice API." - Comment from Thomas via RT Chat
"You are either overstaffed or people just don't have problems with your feed because customer support always answers the phone quickly." - Comment from Jay via Email
"I cannot believe what a difference it makes trading with ProphetX!" - Comment from Bruce in Los Angeles
"I have been using IQFeed now for a few years in MultiCharts and I have zero complaints. Very, very rare to have any data hiccups or anything at all go wrong." - Comment from Public Forum
"I just wanted to let you know how fast and easy I found it to integrate IQFeed into our existing Java code using your JNI client. In my experience, such things almost never go so smoothly - great job!" - Comment from Nate
"I used to have *******, but they are way more money for the same thing. I have had no probs with data from DTN since switching over." - Comment from Public Forum Post
"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.
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 »Archive (2017 and earlier) »IQFeed Developer Support »Price change updates after market close
Author Topic: Price change updates after market close (3 messages, Page 1 of 1)

sgill
-Interested User-
Posts: 3
Joined: Jun 21, 2013
Posted: May 1, 2018 03:28 PM          Msg. 1 of 3
I'm a new developer working with iQFeed and DTN and the commodity markets in general. We have an application that uses the iQFeed 'Q' Update Format messages to update data in our system. We need the most recent Futures prices to be stored in our application. When the "Message Contents" field contains a 'C' or an 's' we know to update the price, so we will change the price in our application to reflect this trade update. I'm expecting that when we get the 's' this would be the last update we receive for the trading session. The issue we are experiencing though is after we receive a settle price from iQFeed, we are also getting additional 'C' update messages which changes the price in our application away from the actual settle price. Some of our users are using other realtime tools such as DTN ProphetX and notice the last trade price doesn't match.

Here is the FIELDS we request from iQFeed:
Symbol,Last Trade Date,Last TimeMS,Tick,Last,Last Market Center,Settle,Settlement Date,Message Contents

Here is an example logs from our application that shows the iQFeed data:
(notice we are still receiving the 'C' trade update messages after the 's' update which occurred at 13:19:18.159)

2018-04-03 13:16:33.046 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:16:33.139,183,526.2,54,524.8,04/02/2018,C,
2018-04-03 13:17:21.844 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:17:21.919,183,526.2,54,524.8,04/02/2018,C,
2018-04-03 13:17:24.434 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:17:24.527,173,526.4,54,524.8,04/02/2018,C,
2018-04-03 13:17:46.586 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:17:46.687,175,526.2,54,524.8,04/02/2018,C,
2018-04-03 13:17:46.586 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:17:46.687,183,526.2,54,524.8,04/02/2018,C,
2018-04-03 13:19:14.009 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:14.107,173,526.5,54,524.8,04/02/2018,C,
2018-04-03 13:19:16.927 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:17.029,173,526.6,54,524.8,04/02/2018,C,
2018-04-03 13:19:16.927 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:17.029,183,526.6,54,524.8,04/02/2018,C,
2018-04-03 13:19:17.379 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:17.479,183,526.6,54,524.8,04/02/2018,C,
2018-04-03 13:19:18.159 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:17.479,,526.6,54,526.5,04/03/2018,s,
2018-04-03 13:19:18.159 INFO QuoteFeed:140 - P,@RSK18,04/03/2018,14:19:17.479,,526.6,54,526.5,04/03/2018,Cbasohlc,
2018-04-03 13:19:18.159 INFO QuoteFeed:184 - Summary recieved: P,@RSK18,04/03/2018,14:19:17.479,,526.6,54,526.5,04/03/2018,Cbasohlc,
2018-04-03 13:19:18.159 INFO QuoteFeed:140 - F,@RSK18,36,,,537.9,488.0,,,,,,,,,,,,,,,,,,CANOLA MAY 2018,,,,,,,,,,, , ,,0,11,1,,8.72,8,54,07/11/2017,06/23/2017,,,,,,05/14/2018,,,RS,
2018-04-03 13:19:18.159 INFO QuoteFeed:177 - Added symbol metadata for @RSK18
2018-04-03 13:19:43.182 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:43.249,183,526.6,54,526.5,04/03/2018,C,
2018-04-03 13:19:43.182 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:43.249,173,526.7,54,526.5,04/03/2018,C,
2018-04-03 13:19:43.182 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:43.249,183,526.7,54,526.5,04/03/2018,C,
2018-04-03 13:19:43.197 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:43.249,183,526.7,54,526.5,04/03/2018,C,
2018-04-03 13:19:51.107 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:51.223,175,526.3,54,526.5,04/03/2018,C,
2018-04-03 13:19:51.122 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:51.223,175,526.2,54,526.5,04/03/2018,C,
2018-04-03 13:19:51.138 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:51.223,183,526.2,54,526.5,04/03/2018,C,
2018-04-03 13:19:51.138 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:51.223,183,526.2,54,526.5,04/03/2018,C,
2018-04-03 13:19:51.138 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:51.223,183,526.2,54,526.5,04/03/2018,C,
2018-04-03 13:19:51.138 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:51.223,183,526.2,54,526.5,04/03/2018,C,
2018-04-03 13:19:51.138 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:51.223,183,526.2,54,526.5,04/03/2018,C,
2018-04-03 13:19:51.138 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:51.223,183,526.2,54,526.5,04/03/2018,C,
2018-04-03 13:19:51.138 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:51.223,183,526.2,54,526.5,04/03/2018,C,
2018-04-03 13:19:51.138 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:51.223,183,526.2,54,526.5,04/03/2018,C,
2018-04-03 13:19:51.138 INFO QuoteFeed:140 - Q,@RSK18,04/03/2018,14:19:51.223,183,526.2,54,526.5,04/03/2018,C,

My understanding of this is that it's normal to get additional trades enterred for that Future after the market has settled. I see there is a field called Market Open that you can request from iQFeed, but I don't know if this would help since these updates appear to come in prior to this Future market sessions closing time of 13:20 CT.

Is it possible to somehow trigger on this settle price update and ignore the additional trade updates?

Is there some kind of logic that I can apply to my application so that these additional trades don't change my settle price?

Has anyone else run into this and how did you address it?

Thanks, any help you can provide would be great.

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006
Posted: May 2, 2018 06:59 AM          Msg. 2 of 3
Good morning,

I think you have the fields that you need for this already. I would probably just have some code that says

if TradeDate != SettleDate
use LastPrice
else
use SettlePrice

This way as soon as the current day's settle comes in, your code will just toggle over to the fields that you want and inherently ignore the additional regular trades.

But, many things do trade overnight as well, and if you want to start reading in C trades again later the same day, the logic above will miss that. So alternatively,

if (TradeDate != SettleDate) || (DateTimeOfCurrentDay > DateTimeOfNextOpen)
use LastPrice
else
use SettlePrice

We do not have the market hours in our API feed, so you would want to get the market hours from the contract specs or from these pages where we have compiled some of that info for you.

CME: http://www.iqfeed.net/symbolguide/display.cfm?eight=0800A96A.cfm&six=06000429&title=DTN%20-%20CME%20GROUP%20TRADING%20HOURS
NYMEX/COMEX: http://www.iqfeed.net/symbolguide/display.cfm?eight=0800A970.cfm&six=06000429&title=DTN%20-%20NYMEX%2FCOMEX%20TRADING%20HOURS

Hopefully, one of those scenarios will match your need, but let me know if you have any questions.

Tim

sgill
-Interested User-
Posts: 3
Joined: Jun 21, 2013
Posted: May 2, 2018 10:28 AM          Msg. 3 of 3
Hi Tim,

Thanks for your prompt reply. Your first logic example as you said doesn't apply since many of the symbols we look at do have over night trading. As an alternative to your second example, would we be able to only process update messages where the "Market Open" field = 1? This would greatly simplify our logic if it works.

Here is a Futures commodity where I noticed we get a Q Update Message with a second 's' when the market is closed.

2018-04-30 13:30:10.654 INFO QuoteFeed:140 - Q,@RSK18,04/30/2018,09:59:23.224,,527.0,54,530.1,04/30/2018,s,1,
2018-04-30 13:30:10.657 INFO QuoteFeed:140 - P,@RSK18,04/30/2018,09:59:23.224,,527.0,54,530.1,04/30/2018,,0,
2018-04-30 13:30:10.657 INFO QuoteFeed:184 - Summary recieved: P,@RSK18,04/30/2018,09:59:23.224,,527.0,54,530.1,04/30/2018,,0,
2018-04-30 13:30:10.657 INFO QuoteFeed:140 - P,@RSK18,04/30/2018,09:59:23.224,,527.0,54,530.1,04/30/2018,Cbasohlc,0,
2018-04-30 13:30:10.657 INFO QuoteFeed:184 - Summary recieved: P,@RSK18,04/30/2018,09:59:23.224,,527.0,54,530.1,04/30/2018,Cbasohlc,0,
2018-04-30 13:30:10.657 INFO QuoteFeed:140 - F,@RSK18,36,,,541.7,488.0,,,,,,,,,,,,,,,,,,CANOLA MAY 2018,,,,,,,,,,, , ,,0,11,1,,9.28,8,54,04/25/2018,06/23/2017,,,,,,05/14/2018,,,RS,
2018-04-30 13:30:10.657 INFO QuoteFeed:177 - Added symbol metadata for @RSK18
2018-04-30 13:42:48.708 INFO QuoteFeed:140 - Q,@RSK18,04/30/2018,09:59:23.224,,527.0,54,531.3,04/30/2018,s,0,
2018-04-30 13:42:48.708 INFO QuoteFeed:140 - P,@RSK18,04/30/2018,09:59:23.224,,527.0,54,531.3,04/30/2018,,0,
2018-04-30 13:42:48.708 INFO QuoteFeed:184 - Summary recieved: P,@RSK18,04/30/2018,09:59:23.224,,527.0,54,531.3,04/30/2018,,0,

When I looked on the ICE exchange it shows that the settle price on 4/30/2018 was 530.1 which matches the first 's' when the market is open, not the second 's' which has the settle as 531.3

So this logic would be roughly this:

if MarketOpen = 1
if MessageContents contains 's'
use SettlePrice
else
use LastPrice
end if
else
don't update price
end if

Thanks.
 

 

Time: Fri April 26, 2024 6:30 AM CFBB v1.2.0 46 ms.
© AderSoftware 2002-2003