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Ariloum has contributed to 17 posts out of 18071 total posts
(0.09%) in 1,068 days (0.02 posts per day).
20 Most recent posts:
I know about bid and ask PRICE, but you told about bid and ask SIZE and that confused me because it's different things.
So, on just shares like nyse/nasdaq there is no way to know the true trade side?
That way you descrbed not working for SPY and others because SPY, for example, do have 30% of trades in the middle (prices like 202.515 like in example I told earlier).
But then how did Multicharts could know the trade side with such precision?
What protocol version should I use to obtain previous trade size and how did you call the names of fields for that?
Is it still possible to deal with trades which comes exactly at the middle between ask/bid?
For example, lets say SPY bid = 202.51 and ask=202.52 and there are many trades with price = 202.515.
Hello, is there any possibility to get the tick trade side - I mean how to know it was buy or sell?
Because Multicharts could detect this side pretty well when it's used with iqfeed, how is it possible?
I see, thanx for the info.
I'm receiving only last few 1minute candles to update my current stock snapshot.
Did this limit is hardcoded or it's dynamic?
Sometimes I'm going pretty well with 30 connections with only a few errors, but sometimes I receive a horde of errors..
Sometimes I've too many errors with simultaneous history requests while I'm using 30 connections to historical service port:
E,Too many simultaneous history requests.,
Sometimes it's ok and errors are rare, but sometimes I'm getting it very often. Do you have some load balancer on your serverside which dynamically limit connections to historical service?
Hi Tim, thanx for your input,
I tried this patched version and looks like it works fine, need to test it for a few days.
Edited by Ariloum on Oct 26, 2015 at 10:32 AM
I've written a screener which download and update last day candles by downloading historical data, I'm using a few threads connecting to iqfeed client historical data port and if I set it's amount to 100 threads(connections) iqfeed client crushes. It works well with 40 connections thread, but I need more threads to get higher rate for updating speed. I'm using iqfeed client v.18.104.22.168.
Hi, Jay, thank you for the information.
Maybe there's not that much requests similar to mine becouse there's a few other datafeeds who already have it.
I know that it's not easy to implement, and the priority is low, but I will hope :)
Edited by Ariloum on Mar 13, 2015 at 06:52 PM
that's right, but I need bid and ask size for another thing - I need it for icebergs detection (darkpool orders).
I see, thank you for the help.
Hi, Tim, thanx for the answer.
I thought that I didn't understood your answer right (about best bid/offer sizes).
Then this question comes: why don't you have such basic parameters in historical data? Your protocol have many other much useless (imo) fields but miss one of the main.
Edited by Ariloum on Mar 10, 2015 at 09:35 AM
Thanx, Tim, I'm almost done.. the only problem I have with approach like that is trades at the middle of the spread (like on SPY there's a lot of trades with 0.005 cents step).
And I've another question :
is it possible to get not only best bid/offer price for trades, but it's size also?
Hello again, I've got another question coming : is there some way to get each trade type/direction - is it was a buy or a sell?
I need to know what side that trade hits - bid or offer for both historical data and realtime. I guess there could be some protocol syntax differences for that, please let me know if any.
I see, thank you for the help.
Edited by Ariloum on Oct 22, 2014 at 10:57 AM
thanx for the reply.
I've tried setting up protocol 5.1 and there comes millis.
I though "-VERSION" parameter is the one I'm launching the iqconnector with was the protocol version, is there a way to set the protocol like this or I must set it manually for each sockets (re)connections?
Hello, I've done implementing basic iqfeed service with using java and there's only a few things is left to make this stage cleared, so some help would be very appreciated.
I didnt find the answers yet for those questions:
1. How could I receive historical date with millis? This request doesn't works with history data:
"S,SELECT UPDATE FIELDS," +
"Ask,Bid,Ask Size,Bid Size," +
"Most Recent Trade,Most Recent Trade Size,Last Trade Date,Most Recent Trade TimeMS,Most Recent Trade Conditions,Open Interest,Delay,\r\n"
2. How could I receive each trade initiator for historical data?
If I get it right, it's the symbol at the end of the time graph and looks like this "12:33:44o".
3. What does mean each symbol at the end of time for question2 : o b t c (I guess o&b is bid and offer, but what is t&c)?
I think this is all I need to know to put my anchor there.