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Viewing User Profile for: lastakademik
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Joined: May 30, 2014 01:47 AM
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lastakademik has contributed to 11 posts out of 18232 total posts (0.06%) in 1,269 days (0.01 posts per day).

20 Most recent posts:

There are strange differences in open interest values between two daily data responses. Everyday at 9 am gmt+4 I request daily historical data by last day and the open interest value = 0 in the response. But when I request the same data on the next day at 9 am gmt+4, I receive not 0 open interest.

For example, I've sent a HDT request by @EUZ14 on 13.11.2014 at 9:02:02 am (gmt+4):
HDT,@EUZ14,20141111,20141113,0,1,HDT_@EUZ14,500\r\n
And after 300 ms have received the following response:
...
HDT_@EUZ14,2014-11-12,1.2501,1.2422,1.2477,1.2435,234058,0,\r\n
...

The open interest is 0.

But when I've requested the same data on the next day at 10:01:58 am (gmt+4):
HDT,@EUZ14,20141112,20141114,0,1,HDT_@EUZ14,500\r\n
I've received:
...
HDT_@EUZ14,2014-11-12,1.2501,1.2422,1.2477,1.2435,234136,455567,\r\n
...

As you can see, the open interest values are very different - 0 and 455567.
This behavior is relevant for all CME futures and options.

Could you please provide me some information about this behavior. Maybe I need to request this data at another time or this is a bug.

IQFeed Datafeed Wish List » History request by set of symbols Nov 16, 2014 09:23 PM (Total replies: 0)

It would be great to have possibility to request data from history by several symbols together.
IQFeed API has a limit for count of symbols to real-time subscription. So I need to get tick data from history by all symbols which are not included in subscription.
For example, if I want to upload tick data by CME options I should send HTT command by one symbol, wait for the response and then send the request by the next symbol from the set of CME futures. This process is very slow.
Historical request by set of symbols can have request ID parameter by each of symbol to identify the symbol in the response. This feature should increase performance of such tasks.

IQFeed Developer Support » Market depth history Sep 18, 2014 07:32 AM (Total replies: 2)

Hello!

Could you please inform me, does IQFeed provide history of market depth data? There are no such information in the documentation.

Thank you.

IQFeed Developer Support » Extended COT reports Sep 2, 2014 08:00 AM (Total replies: 0)

Does the IQFeed news lookup provide all the COT (commitments of traders) reports, originally presented by http://www.cftc.gov/marketreports/commitmentsoftraders/index.htm ?

I'm interested to receive following types of COT reports:
1)Futures only positions;
2)Futures and Options combined Positions (includes dealer positions);
3)Futures only positions
4)Futures and Options combined Positions

By following list of instruments for each type of the reports:
1)'EURO FX - CHICAGO MERCANTILE EXCHANGE';
2)'NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE';
3)'AUSTRALIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE';
4)'POUND STERLING - CHICAGO MERCANTILE EXCHANGE';
5)'CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE';
6)'SWISS FRANC - CHICAGO MERCANTILE EXCHANGE';
7)'JAPANESE YEN - CHICAGO MERCANTILE EXCHANGE';
8)'SILVER - COMMODITY';
9)'GOLD - COMMODITY';
10)'10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE';
11)'3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE';
12) 'U.S. DOLLAR INDEX - ICE FUTURES U.S.';

If it is possible to get such data from IQFeed API, could you. please, describe the format of reports. Understanding the format of this reports allows me to parse them.

Thank you.


Thanks, Tim.

Today I've reproduced this situation and got the same situation which I've described in my first post.

Btw, this behavior could be reproduced only with different launces of iqconnect.exe. For example, if I connect to IQFeed server and do 100 requests of news headlines by RTI source, I'll get 100 responses that will be the same.
But, if I'll do 2 cycles of following steps:
1. connect to IQFeed;
2. send one request of news headlines by RTI source;
3. save the response;
4. disconnect from IQFeed.
In this case will be high probability that this 2 responses will be different.


Hi!

I have noticed today that the headlines lookup response messages could be different when requesting almost at the same time.

The following logs has been saved on 1 September 2014 (GMT +7).

1 part of logs:
21:31:04.026 DEBUG >>> NHL,RTI,,x,,,news_nhl@@
21:31:04.636 DEBUG <<< news_nhl,<?xml version='1.0'?>@@news_nhl,<news_headlines>@@news_nhl, <news_headline>@@news_nhl, <id>10134529069</id>@@news_nhl, <source>RTI</source>@@news_nhl, <timestamp>20140901100025</timestamp>@@news_nhl, <text>Quarterly Corporate Earnings (09/01/14)</text>@@news_nhl, </news_headline>@@news_nhl, <news_headline>@@news_nhl, <id>10134529039</id>@@news_nhl, <source>RTI</source>@@news_nhl, <timestamp>20140829165621</timestamp>@@news_nhl, <text>Calendars and Reports Update</text>@@news_nhl, </news_headline>@@news_nhl, <news_headline>@@news_nhl, <id>10134529063</id>@@news_nhl, <source>RTI</source>@@news_nhl, <timestamp>20140829153740</timestamp>@@news_nhl, <text>Commitment of Traders Report </text>@@news_nhl, </news_headline>@@news_nhl, <news_headline>@@news_nhl, <id>10134529054</id>@@news_nhl, <source>RTI</source>@@news_nhl, <timestamp>20140827104510</timestamp>@@news_nhl, <text>Calendars and Reports Update</text>@@news_nhl, </news_headline>@@news_nhl,</news_headlines>@@news_nhl,!ENDMSG!,@@

2 part of logs (response is differs):
21:33:11.925 DEBUG >>> NHL,RTI,,x,,,news_nhl@@
21:33:12.476 DEBUG <<< news_nhl,<?xml version='1.0'?>@@news_nhl,<news_headlines>@@news_nhl, <news_headline>@@news_nhl, <id>10134529069</id>@@news_nhl, <source>RTI</source>@@news_nhl, <timestamp>20140901100025</timestamp>@@news_nhl, <text>Quarterly Corporate Earnings (09/01/14)</text>@@news_nhl, </news_headline>@@news_nhl,</news_headlines>@@news_nhl,!ENDMSG!,@@

3 part of logs (response the same as 1 part):
21:34:03.575 DEBUG >>> NHL,RTI,,x,,,news_nhl@@
21:34:04.215 DEBUG <<< news_nhl,<?xml version='1.0'?>@@news_nhl,<news_headlines>@@news_nhl, <news_headline>@@news_nhl, <id>10134529069</id>@@news_nhl, <source>RTI</source>@@news_nhl, <timestamp>20140901100025</timestamp>@@news_nhl, <text>Quarterly Corporate Earnings (09/01/14)</text>@@news_nhl, </news_headline>@@news_nhl, <news_headline>@@news_nhl, <id>10134529039</id>@@news_nhl, <source>RTI</source>@@news_nhl, <timestamp>20140829165621</timestamp>@@news_nhl, <text>Calendars and Reports Update</text>@@news_nhl, </news_headline>@@news_nhl, <news_headline>@@news_nhl, <id>10134529063</id>@@news_nhl, <source>RTI</source>@@news_nhl, <timestamp>20140829153740</timestamp>@@news_nhl, <text>Commitment of Traders Report </text>@@news_nhl, </news_headline>@@news_nhl, <news_headline>@@news_nhl, <id>10134529054</id>@@news_nhl, <source>RTI</source>@@news_nhl, <timestamp>20140827104510</timestamp>@@news_nhl, <text>Calendars and Reports Update</text>@@news_nhl, </news_headline>@@news_nhl,</news_headlines>@@news_nhl,!ENDMSG!,@@


Hello, guys.

Is there a way to get open/close price by many strike options (>100 symbols) quickly at that moment as market is closing?

I cannot use the Level1 subscription because of limitations on count of watched symbols. On the other hand, the end-of-day history request by each symbol are very slowly. Moreover, if I understood properly, the daily historical data has some time delay since the market is closed.

Does IQFeed API another method to get such of data by many symbols quickly?


Seems like IQFeed doesn't provide CAB trades. Last 3 months I have saved all the Update/Summary messages (Level 1) and the tick history data by the following symbols:
- AD
- BP
- SF
- JY
- CD
- EU
and all its futures and options.
In the current trade conditions list CAB conditions are 4A (decimal 74, "Cabinet") and 57 (decimal 87, "Nominal Cabinet"). But there was no data with trade conditions (for tick history data) or most recent trade conditions (for Update/Summary data) that could be a CAB trade.

Am I understand correctly that IQFeed doesn't provide CAB data?


Thank you, you've helped me a lot!


Thank you, Tim, for very quick answer.

In addition, could you explain me, how could I indentify a cabinet trade from end-of-day history? If IQFeed stores such information of course.


Is there a way to check that a received end-of-day history message or level1 message is a cabinet trade?


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