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Viewing User Profile for: DTN_Tim Walter
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Joined: Apr 25, 2006 12:17 PM
Last Post: Oct 12, 2018 06:52 AM
Last Visit: Oct 16, 2018 02:10 PM
Website: http://www.dtniq.com
Location: Omaha, NE
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DTN_Tim Walter has contributed to 1238 posts out of 18822 total posts (6.58%) in 4,591 days (0.27 posts per day).

20 Most recent posts:

Good morning,

I apologize that this continues to happen and for my poor communication of our concern over it. We are very concerned with the quality of our data. To that end, here we have added the CME trade aggressor flag to our level one data. This flag tells if the trade occurred at the bid or the ask, so not only will you save on the processing, but you will have a definite answer on every trade of where it occurred. We hope to have this available to our developers later this month as a beta, but 4th quarter for sure. We have also developed better ways to identify when these situations occur, so that we can ensure quality and strive towards a continuous improvement to our data.

I know that the people that are needed to insure the continued priority of this work actively watch the forums and I know that your concerns will only help to keep the focus where it needs to be. I will try to keep you more in the loop in the future when related updates occur.

Tim

IQFeed Developer Support » Delayed Data On CLM Oct 11, 2018 02:43 PM (Total replies: 10)

Yeah, sorry I missed it earlier. There is a delay field that is sent that can be seen in IQSnapQuote. If that field is anything other than 0 there is an exchange permission delay in effect.

Tim

IQFeed Developer Support » Delayed Data On CLM Oct 11, 2018 02:39 PM (Total replies: 10)

Craig,

That is listed as a NYSE_AMERICAN (formerly NYSE_AMEX) symbol and I don't see that as something that you are subscribed to currently for real time data. It looks like you just have the real time data on Nasdaq and NYSE only. I don't see any recent changes on your account, but if something sounds amiss with that just let me know and we can try to figure it out. Is this a new symbol that you recently started watching?

Tim

IQFeed Developer Support » Delayed Data On CLM Oct 11, 2018 01:03 PM (Total replies: 10)

Sorry Craig, I read it and got side tracked and lost track of it. We don't have any way for only some of the symbols to become delayed. All outgoing data is placed on the same stack for broadcast to your client and is sent in a single thread. Did you happen to check the clientstats for this at the time or do you have your IQFeed log from when it happened?

Tim


Absolutely, and there are a couple places that I put in research tasks towards that end as well based upon your notes. I just didn't want someone new to the thread coming in and misunderstanding what these files contain. But, at this time the plan is to have symbols be in the file if they have a minute, or daily data available. I did find that I cannot find any data on the AAPL symbol you reported, so I will add that to the task for additional research.

I say files, because eventually we plan to have this for all exchanges and security types, not just IEOPTION, but that is the primary one requested so we are starting with that.


The ones I checked did, but I need to clarify something with regards to this file. It is not an official offering for us. The file and it's creation are not finalized. It has known bugs and we still have work to do on them, work that does not have a current ETA for completion.

We certainly want to be able to help and provide information for everyone to use. That is why we are here and Mathieu does a fantastic job with his project, staying up to date and in this case, ahead of our release schedule. But, I need to be clear that this is a process that in an alpha phase, not production, so please take everything in them with a few grains of salt.

Tim


Daily data does exist for the ones I checked. They were likely an implied trade or something along those lines, since we did not create a minute bar, but that is why these are in the files.

I will check into how this is filtered with regards to symbols that receive no trading at all. But, I believe they are filtered.

Tim
Edited by DTN_Tim Walter on Oct 8, 2018 at 10:10 AM

Data and Content Support » historical data files containing large gaps Oct 1, 2018 09:48 AM (Total replies: 4)

The issue with these is that the expiration date was sent by the exchange and was correctly being used, but Eurex has contracts that will settle, but not have intra-day activity on the date of expiration (daily charts had no gap).

In some cases, especially on very thinly traded contracts, we would not want to change this default behavior so we have to look at each individually when someone asks. We are more than happy to discuss though and will evaluate these if you see any others that you feel are configured incorrectly.

Tim

Data and Content Support » historical data files containing large gaps Oct 1, 2018 04:56 AM (Total replies: 4)

Good morning,

All of the underlying data does appear to be here on our servers, but there appears to be some issues with the roll dates for these continuous contracts. You can see this on SMMU18 and SMMZ18. We will try and get those things addressed for you so the data will show on the # and #C contracts later today.

Tim

DTN.IQ Client Software Support » IQFeed trial: unable to log in Oct 1, 2018 03:39 AM (Total replies: 4)

Glad you got things worked out, let us know if anything else comes up we can help with.

Tim


FYI a new file was posted today if anyone wanted to update their lists.

Tim

IQFeed Developer Support » Historical requests - speed of retrieval Sep 21, 2018 07:19 AM (Total replies: 4)

Happy to.

Butm yes that is normal, the requests happen in line, they are not sent in as a batch. So you have a lot of extra transfer latency dragging things down on top of the sequential processing.

Tim

IQFeed Developer Support » Historical requests - speed of retrieval Sep 21, 2018 03:32 AM (Total replies: 4)

Hi Frederic,

If you create 15 sockets, then you can do 15 requests at any 1 time which should get you down to just a few seconds.15 is the maximum number of history requests we allow at any 1 time.

Tim

IQFeed Developer Support » Livefeed symb Sep 20, 2018 12:00 PM (Total replies: 5)

Anytime! If you have any doubt or question, feel free to reach out at anytime and we'll be sure to do whatever we can to help.

Tim

IQFeed Developer Support » Livefeed symb Sep 19, 2018 12:12 PM (Total replies: 5)

Just one more note on this, you can upgrade your service to be able to receive up to 2500 symbols. It really just depends on what you need out of our data as to what would be best in your case. Feel free to email the developer support group though with any details of what you are trying to do and I would be happy to help advise on what approaches might work.

Tim

IQFeed Developer Support » Livefeed symb Sep 19, 2018 10:49 AM (Total replies: 5)

Good morning,

I would just say that in regards to the symbol limit, we don't actively police this behavior, but just be sensible about it, obviously if we see a million requests in a minute that is something that might raise some eyebrows, but even then I would contact you first before to discuss before taking any action on our end, unless your usage began impacted other users. There are times where accidents happen and loops go crazy, but for the most part you should be fine.

As to history, tick data is available immediately, as is minute, but daily or greater data is written upon market close, so you may have to wait on daily/weekly/monthly depending upon your needs.

Tim

IQFeed Developer Support » Historical Tick Data Request Hours Sep 11, 2018 12:27 PM (Total replies: 12)

You could also turn on the lookup logging in the diagnostics app (via start menu) and you should be able to confirm what we sent to your socket vs what you received.

Also, if you can send the request to me that you tested with, I should be able to confirm if the connection to the server completed successfully.

Tim

IQFeed Developer Support » Historical Tick Data Request Hours Sep 11, 2018 12:03 PM (Total replies: 12)

There is nothing there on our end to stop a download from going for however long it needs. Are you getting a socket error or anything when it closes?

Tim

IQFeed Developer Support » Historical Data question Sep 11, 2018 11:00 AM (Total replies: 10)

Sorry, not sure what my unfinished thought was there. :)

Just let me know if there is anything else I can help with.

Tim

IQFeed Developer Support » Brent ICE problem Sep 11, 2018 10:36 AM (Total replies: 8)

I show about 2000 of 12000 trades in the last half hour are Other trades. That 1/6 ratio matches what we saw on previous checks as well.

Tim


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