||Feb 5, 2011 09:35 PM
||Feb 16, 2013 06:48 PM
||Feb 16, 2013 08:20 PM
orbwen has contributed to 12 posts out of 19452 total posts
(0.06%) in 3,352 days (0.00 posts per day).
20 Most recent posts:
I request 30min intervals from any start date prior to 2/11/2013 and only get back intervals starting at 2/11.
It appears the problem BEGAN on 2/11! I run a job daily that checks prices for the prior 2 weeks to look for any adjustments and starting 2/11 data for KFN was incomplete.
send: HIT,KFN,1800,20130201 000000,20130220 000000,,0900,1630,1,GetIntradayData0,10000
receive: GetIntradayData0,2013-02-11 09:30:00,11.1400,11.1400,11.1400,11.1400,400,400,
receive: GetIntradayData0,2013-02-11 10:00:00,11.2900,11.1500,11.1900,11.2550,145115,144715,
receive: GetIntradayData0,2013-02-11 10:30:00,11.2600,11.2200,11.2525,11.2400,256529,111314,
receive: GetIntradayData0,2013-02-15 16:00:00,11.4150,11.3650,11.4000,11.4100,1150057,177517,
receive: GetIntradayData0,2013-02-15 16:30:00,11.6000,11.4050,11.4050,11.6000,1156278,6221,
receive: GetIntradayData0,2013-02-15 17:00:00,11.3700,11.3100,11.3100,11.3200,1198178,4550,
I'm using IQFeed to pass opening prices and values as early as possible. Listening for over 300 symbols, nearly all came through within a couple minutes of market opening. But VIX.XO is delayed by 15minutes. The first tick update was not reported until 9:46 -- it was for the value at 9:31.
I issued well before the market opened: wVIX.XO
And it took 10min to report even the normal status messages with yesterday's value:
F,VIX.XO,D,,,48.000,14.270,,,,,,,,,,,,,,,,,,CBOE VOLATILITY INDEX (S&P 500),BVZ VIX,,,,,,,,,, , ,,c,13,3,,,6,13,08/08/2011,04/28/2011,,,,,,,,,,
No other symbols had issues -- just VIX.XO. Suggestions?
Can anyone please clarify for me...
I thought the daily volume reported from daily historic requests included only trades during market hours 9:30am-4pm EST. But it looks like this is not the case. On 6/24, most stocks of the scores I checked did half or more of their trades after-hours according to the intraday statistics.
So when final volume is reported for a “day” what time period is this supposed to cover? 9:30am to 9:30am the next day? Midnight to midnight? Is there a special cutoff time each evening a few hours after market close?
I understand the numbers will not always agree exactly -- the exchanges report their official numbers based on adjustments we don't have visibility into.
It looks like the historic data I get back from HDT requests is a mix of adjusted and unadjusted values! Please tell me I am making a mistake somewhere and IQFeed isn't doing this!
Take as an example HLF near the 5/18 split. Prices returned are all adjusted, so the split is barely noticeable in HLOC data. But the volume seems to be UNADJUSTED.
5/16 660979 (nasdaq.com shows 1321958)
5/17 760133 (vs 1520266)
5/18 2203055 (equals nasdaq value)
Am I missing something?
Thanks for the reply, Steve.
So this leaves me with a problem -- how to I get unadjusted daily OHLC prices? I was using the 30min interval prices to manually calculate unadjusted daily OHLC, then using the daily query to get the adjusted close. Now I don't see how to get this info for your feed.
Suggestions? Thoughts? Solutions?
While performing some backtesting I'm seeing a lot of instances where the intraday data doesn't seem to agree with the daily historic data. I'm hoping there's just a mistake in my approach and that IQFeed is not giving me corrupt data.
Take for example ZUMZ 1/2/2008 - 1/4/2008. There have been no splits or dividends; adjusted prices should match unadjusted.
I used two requests:
HIT,ZUMZ,1800,20080101 190000,20080104 190000,,0930,1630,1,Intraday,10000
The closing price from 30-min intraday history does not agree with end of day:
And on 1/4 the opening price does not agree:
I tried using the start of the 4:30-5pm interval as the closing price of the day. That worked for 1/2 and 1/3, but on 1/4:
The problems exist for almost any symbol, and throughout the time period I'm looking at. Most are only a few cents off, but some are significantly more. Is this a problem in the data, my interpretation or the feed? Any information is appreciated!
I moved from one PC to another and downloaded the client and developer executables to reinstall. It looks like the documentation is missing several files resulting in broken links from the table of contents page.
It includes all the files if you accept the default location, but if you specify another folder, it is missing lots of files (first example: AdminviaTCPIP.html).
I've re-installed to the default location and moved the files myself, but would suggest fixing the archive for the next person.
I'm submitting a HIT request:
HIT,F,60,20100823 101500,20100823 104500,,0930,1600,1,req0,10000
The results I receive (first and last) are:
... lots more data ...
I'm requesting one-minute quotes from 10:15am to 10:45ambut the response timestamps indicate 10:16am to 10:46am.
Is the timestamp identifying the end of each interval instead of the beginning? Is this expected behavior?
that gets me started -- but i'm interested in as much history as possible. anywhere to go beyond these last two?
please forgive me if i'm missing something obvious in the documentation, but i don't yet see it...
where do i find information about past splits using iqfeed?
feel free to point me to the correct page in the API documentation if i just missed it.
I followed the steps in the documentation. There isn't much to go wrong: run IQConnect.exe with appropriate options.
Turns out there is a library required by the IQFeed applications that is not included. Any windows 7 users will need to get the "x86" version (middle link) of this library from microsoft:
Hopefully this will help the next windows 7 user...
Sorry -- brand new user of the API.
When I try to start iqconnect or the diagnostics tool from a DOS window or windows start menu I get this error message:
"The application has failed to start because its side-by-side configuration is incorrect. Please see the application event log or use the command-line sxstrace.exe tool for more detail."
Looking for the error message online, there are no posts in these forums, but a few on gaming sites. It looks like it could be related to some needed libraries in windows? I followed the steps in the quick-start guide but am kind of stuck here.
Using windows7 and ran the API client installer, agreed when it asked to also download and run the iqfeed installer. No errors reported during installation.