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Joined: Feb 4, 2015 12:15 PM
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Sceptre has contributed to 5 posts out of 18926 total posts (0.03%) in 1,474 days (0.00 posts per day).

20 Most recent posts:
DTN.IQ Client Software Support » No millisecond resolution data Feb 11, 2015 08:49 AM (Total replies: 7)

Hi Tim,

I removed the spaces and still get the following for the contract @ESH15:

S,CURRENT PROTOCOL,5.1,
S,SERVER CONNECTED
S,UPDATE FIELDNAMES,Symbol,Exchange ID,Last,Change,Percent Change,Total Volume,Incremental Volume,High,Low,Bid,Ask,Bid Size,Ask Size,Tick,Bid Tick,Range,Last Trade Time,Open Interest,Open,Close,Spread,Strike,Settle,Delay,Market Center,Restricted Code,Net Asset Value,Average Maturity,7 Day Yield,Last Trade Date,(Reserved),Extended Trading Last,Expiration Date,Regional Volume,Net Asset Value 2,Extended Trading Change,Extended Trading Difference,Price-Earnings Ratio,Percent Off Average Volume,Bid Change,Ask Change,Change From Open,Market Open,Volatility,Market Capitalization,Fraction Display Code,Decimal Precision,Days to Expiration,Previous Day Volume,Regions,Open Range 1,Close Range 1,Open Range 2,Close Range 2,Number of Trades Today,Bid Time,Ask Time,VWAP,TickID,Financial Status Indicator,Settlement Date,Trade Market Center,Bid Market Center,Ask Market Center,Trade Time,Available Regions

Are you able to replicate this your end? Basically the level 1 feed is not providing millisecond data. Many thanks.
Edited by Sceptre on Feb 11, 2015 at 10:03 AM
Edited by Sceptre on Feb 11, 2015 at 10:04 AM

DTN.IQ Client Software Support » No millisecond resolution data Feb 10, 2015 03:43 PM (Total replies: 7)

Hi Steve - no the response I get is the one posted above, for the particular symbol I specified.

What I am doing is no more than asking for data back from IQ Feed like so:

CString csCommand = "S, SET PROTOCOL, 5.1\r\n";

This is immediately followed by a call to SendRequestToIQFeed, passing csCommand.

csCommand.Format("w%s\r\n", m_csRequestedData);

This is also immediately followed by a call to SendRequestToIQFeed, passing csCommand.

csCommand = "S,REQUEST ALL UPDATE FIELDNAMES\r\n";

This is also immediately followed by a call to SendRequestToIQFeed, passing csCommand.

The SendRequestToIQFeed function which contains:

void CDataEngine::SendRequestToIQFeed(CString csCommand)
{
int iSentBytes = m_IQConnectSocket.Send(csCommand, csCommand.GetLength());
m_lstData1.InsertItem(0, "Successfully connected to IQFeed.");
if (iSentBytes != csCommand.GetLength())
{
m_lstData1.InsertItem(1, "Unable to send Request to IQFeed.");
}
}

DTN.IQ Client Software Support » No millisecond resolution data Feb 10, 2015 03:17 PM (Total replies: 7)

Hello Tim,

Can I check if there are differences between MSFT and @ESH15? If I ask the IQ Feed connector what it can give me in terms of fieldsets, after setting the symbol, it reports as below. None of which relate to millisecond precision. Can you test your end and suggest any enlightenment?:

S,SERVER CONNECTED
O
T,20150210 16:11:39
S,CURRENT PROTOCOL,5.1,

F,@ESH15,22,,,2088.75,1713.00,,,,,,,,,,,,,,,,,,E-MINI S&P 500 MARCH 2015,,,,,,,,,,, , ,,0,12,2,,15.36,8,43,12/26/2014,02/03/2014,,,,,,03/20/2015,,,ES,

P,@ESH15,22,2062.25,19.75,0.009669523,1362361,1,2066.50,2040.50,2062.00,2062.25,149,540,,,26,16:11:40a,2762422,2043.75,2042.50,0.25,,2042.50,,0,,,,,02/10/2015,,2062.25,03/20/2015,,,19.75,0,,,0.25,0.25,18.5,1,0.012607589,,12,2,38,1289419,,,,,,475063,16:11:40,16:11:40,,8690806,,02/09/2015,43,43,43,16:11:40,,

S,UPDATE FIELDNAMES,Symbol,Exchange ID,Last,Change,Percent Change,Total Volume,Incremental Volume,High,Low,Bid,Ask,Bid Size,Ask Size,Tick,Bid Tick,Range,Last Trade Time,Open Interest,Open,Close,Spread,Strike,Settle,Delay,Market Center,Restricted Code,Net Asset Value,Average Maturity,7 Day Yield,Last Trade Date,(Reserved),Extended Trading Last,Expiration Date,Regional Volume,Net Asset Value 2,Extended Trading Change,Extended Trading Difference,Price-Earnings Ratio,Percent Off Average Volume,Bid Change,Ask Change,Change From Open,Market Open,Volatility,Market Capitalization,Fraction Display Code,Decimal Precision,Days to Expiration,Previous Day Volume,Regions,Open Range 1,Close Range 1,Open Range 2,Close Range 2,Number of Trades Today,Bid Time,Ask Time,VWAP,TickID,Financial Status Indicator,Settlement Date,Trade Market Center,Bid Market Center,Ask Market Center,Trade Time,Available Regions

E,Last TimeMS is not a valid fieldset field.,

DTN.IQ Client Software Support » No millisecond resolution data Feb 10, 2015 01:30 PM (Total replies: 7)

The marketing material says that millisecond data is available, but when the following request is sent to DTN IQ Feed 5.0 for the symbol @ESH15:

S,SET PROTOCOL,5.0\r\n
S,SELECT UPDATE FIELDS,Symbol,Last,Last Trade Time,Bid TimeMS\r\n

Instead of getting update messages with millisecond accuracy, IQ Feed replies:

"Bid TimeMS is not a valid fieldset field."

The legacy IQ Feed 4.9 field: "Last Trade Time" is only accurate to the nearest second.

Am I missing something? Why are the documented version 5.0 fields not available? Thanks.

DTNIQ Client Software Wish List » Dynamic Fieldsets for Level 2 Data Feb 4, 2015 12:34 PM (Total replies: 0)

Wish it were possible to configure Dynamic Fieldsets for Level 2 data just like you can with Level 1 data.

Reasons:

1. Level 2 data is highly frequent.
2. Level 2 data lines can be somewhat verbose.
3. Can save DTN IQ on bandwidth and processing costs.

Thanks for considering it.


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