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» Downloading Historical Intraday Future Ticks
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| Author | Topic: Downloading Historical Intraday Future Ticks (4 messages, Page 1 of 1) |
 madman -Interested User- Posts: 2 Joined: Jul 16, 2020 |
Posted: Jul 16, 2020 11:37 PM
Msg. 1 of 4
Hey everyone,
I'm trying to download historical intraday CME futures tick data, but I'm running into issues when downloading the ticks. I issue a request to download 1 day of data (July 1st), like so: "HTT,@ESU20,20200701 000000,20200702 000000,,,,1\r\n" Then I receive streaming tick data -- the data streams for a while, but hangs after I receive about 18,000 messages (or until about 02:17:00 on July 1st in the data stream). Some questions: 1- is my request format correct? 2- should I be issuing smaller requests? (e.g: 15 minute chunks?) 3- any other tips or best practices when doing these downloads? Cheers, madman |
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DTN_Gary_Stephen -DTN Guru- Posts: 394 Joined: Jul 3, 2019 
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Posted: Jul 17, 2020 10:58 AM
Msg. 2 of 4
Hello, this is Gary with IQFeed API Support.
Your request is fine. You can request as much data as you want. It sounds like the data is queueing, which happens when IQFeed cannot send data that has been requested. In other words, IQFeed is sending data faster than your code is processing it, and the receive buffer is filling up. To monitor this, open Diagnostics/Client Stats tab, and observe the "KB Queued" column for the Lookup port during a request. You'll probably find that it starts low and slowly increases as data comes in. How do you avoid this? Generally, DTN recommends using three different threads in your app: one to retrieve the data from the API, one to convert the information into the form you want, and a third thread to act on it (draw a chart, put it in a database, whatever your app does). Also: having multiple connections to the IQFeed, and having each connection retrieve part of the desired data, can improve performance. I hope this helps! Let me know if you have any other questions or issues getting data from the API. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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madman -Interested User- Posts: 2 Joined: Jul 16, 2020 |
Posted: Jul 19, 2020 03:10 PM
Msg. 3 of 4
Hi Gary,
Thanks for the prompt and thorough response! Good call: I checked the KB Queued column and saw the exact behavior you described. After tweaking my application with your tips, I can know maintain a KB Queued of 0 bytes. Regards, Greg |
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DTN_Gary_Stephen -DTN Guru- Posts: 394 Joined: Jul 3, 2019
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Posted: Jul 20, 2020 07:58 AM
Msg. 4 of 4
Greg,
Excellent! I'm glad I could help. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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