||May 17, 2012 09:00 AM
||Aug 10, 2016 11:00 PM
||Aug 10, 2016 11:43 PM
Ryan has contributed to 14 posts out of 19450 total posts
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20 Most recent posts:
1. In protocol 5.2, 'S,REQUEST WATCHES\r\n' no longer returns symbols under a "trades-only" watch. Please confirm.
2. If this is the case, what should my solution be to obtain the previous functionality?
I will answer my own question. Port 9400.
I'm not sure why my local copy of IQFeed Developer Docs for 5.1 does not have this port listed but has the documentation for the Derivative / Streaming Interval bars. Frustrating.
As it is after hours now, it seems that I will need to test tomorrow.
If you really want to re-construct buyers v sellers at the tick level, start here:
and then search for "Lee and Ready (1991) Algorithm" for more recent follow-up studies.
Before I struggle with this any longer, I figured that I would solicit your feedback.
I am unable to receive streaming interval bars with my current code. I am able to connect and receive Level 1 streaming data with--in part--with the following message:
message = 'tSPY\r\n'
It is my understanding that I should be able to receive 1-minute streaming interval bars with:
message = 'BW,SPY,60\r\n'
To this message, I receive no response from the server. Is there a different port that I need to connect to? Or a different initialization message?
I'm still not sure as to the precise answer to my issue, but it appears to involve the use of socket.ReceiveAsync method. I've switched to a synchronous method and the historical retrieval is working well. But I'm not sure if it was the async method in general, or the logic within.
Thanks for your response, Steve.
I have been able to accomplish the majority of the functionality that I stated above. However, I seem to have received data out of order or duplicated. I've attached my log file.
"Add to hold" messages are from Level 1 connection. "Adding history" messages are from historical socket.
In summary, I find the following:
!ENDMSG! | Line 25
"data.segment.1" (14:31:23.285 - 14:31:23.288) | Ending Line 44
"data.segment.2" (14:31:23.289 - 14:31:47.099) | Ending Line 460
!ENDMSG! | Line 461
"data.segment.1" (14:31:23.285 - 14:31:23.288) | Ending Line 478
!ENDMSG! | Line 479
Nothing related to the historical socket after Line 479. I've requested the messages in descending order, so I assume the "data.segment.1" ending on Line 44 is the duplicate. Any idea about the 17 duplicated transactions in "data.segment.1"?
I'm looking to implement a "retrieve missing data on loss of connection" functionality. Before I went any further with debugging, I wanted to know if it was possible to simultaneously watch a Level1 stream and retrieve historical data (same account, same computer).
Have you updated your methodology on how you record Bid / Ask? I download Historical TICK data for SPY on a daily basis and I've never seen the bid / ask not rounded to two decimal places until today.
I'm using HTD to request tick data on SPY. I've copied a continuous portion below:
1. TickID on line 2 is 4306 and on line 3 in 4318. However, the Last Size on line 3 equals the change in the Total Volume between lines 2 & 3. So is this an aggregation of trades? If so, how is it determined that those trades should be aggregated.
2. Between lines 7 & 8 TickID 4325 is missing and the volume is not accounted for. The Total Volume increased by 129 between lines 7 & 8, but the Last Size in line 8 is 100. TickID 4325 is not in the rest of that day's data.
a. I've seen terms "implied trade" / "non-last-qualifying" used elsewhere in this forum, but I'm not sure how/if "implied trade" applies to equities and I really can't find the term "non-last-qualifying" outside of iqfeed. If this is the reason for the unaccounted for volume above, can you direct to a more substantial definition of "non-last-qualifying" (an exchange generated document perhaps)?
b. If I was watching / recording SPY in real-time, would I find these 29 shares with a TickID of 4325?
As of 1:22 PM ET, using formula "=IQLink|SPY!VWAP" I receive a reading of ~162.84. This appears to be off. I download tick data and manually calculated VWAP and it comes out closer 163.62.
I manually calculated using all trades made on 6/11/2013. Am I missing something? I haven't been using this function, but it appeared to be unrealistically low yesterday as well. Just glancing at some other securities, they appear to be fine.
I was trying to access the data during market hours. I will try again after 4pm.
Is this a new-ish policy?
I can't seem to download historical tick data for SPY for the following dates: 3/20/13, 3/21/13, 3/22/13 (via NinjaTrader). I was able to download tick data for subsequent dates and I've previously downloaded 3/19/13 and prior (so I'm not sure if the problem extends further back in time at this point).
However, I was able to download minute data for 3/20/13 - 3/22/13. I've never come across this situation before. Any help is appreciated.
Chrome was the issue.
Excel freezes everytime I enter a DDE formula. Let me correct that, it has worked on several occasions, but the significant majority of the time it freezes.