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kytmanov has contributed to 13 posts out of 18238 total posts (0.07%) in 891 days (0.01 posts per day).

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Hi!

When I subscribe to some stocks (AAPL for example) I receive trades in realtime.
But sometimes I receive trades very far from current market levels.
This causes too large shadows in "my" realtime bars.

Worst of all, I do not observe these spikes later when I load history data from your servers.

Do you filter any ECN to create your own bars in history?
For example, I've heard that ECN named "ADF" (Finra Alternative Display Facility) should be filtered out to produce a good bar series.

Do you also filter ADF trades for your bars?
Are there any other "bad boys" among ECN?

Thank you in advance,
Anton.

IQFeed Developer Support » how to merge Market Places to unique one? Oct 22, 2015 06:26 AM (Total replies: 6)

Just to make things much more weird, I'd like to mention futures @ES# and @ESZ15 from section CMEMINI (ID:43) of exchange CME (ID:34).

After subscribing to these tickets with commands 't@ES#' and 't@ESZ15' I'm receiving the following Update Messages:
Q,@ES#,22,43,1993.00,1,05:55:58.765,1992.75,62,1993.00,55,1991.50,1996.50,1989.25,1994.00,-1,-0.000501505,104279,7538601,,2883659,10/14/2015,05:56:16.958,05:56:16.958,Cbasohlc,01,

and

Q,@ESZ15,22,43,1993.25,1,06:03:22.936,1993.00,79,1993.25,101,1991.50,1996.50,1989.25,1994.00,-0.75,-0.000376128,105215,7545235,,2883659,10/14/2015,06:03:22.207,06:03:21.956,C,01,

field #3 is ExchangeID (it is 22:CANTOR )
field #4 is MarketID ( it is 43:CMEMINI )

So I receive updates for futures @ES# and @ESZ15 of market CMEMINI of exchange CANTOR! This makes me a little bit crazy.

Is it possible this is some kind of a bug in data translation?..

I have verified the situation with your utility IQMarketDepth.exe.

IQFeed Developer Support » how to merge Market Places to unique one? Oct 13, 2015 12:09 PM (Total replies: 6)

I'm affraid I did not make my situation clear.

I have hardcoded this market tree, but this didn't affect the problem.
For ticker MSFT I still receive trades from EDGA, EDGX, BATS, NYSE_ARCA, BX, etc.

Despite these markets were not marked as 'NASDAQ sections'.

So I must throw away all market structure and use only security types instead of 'markets' or to add even more heuristics to merge all trades of MSFT to a single data stream.

IQFeed Developer Support » how to merge Market Places to unique one? Oct 12, 2015 05:11 AM (Total replies: 6)

Thanks for the list.

Since I can not set protocol to 5.2, I have to hardcode this info, have I?



Also I see some inconsistency in this sample. I.e. lines
5,NASDAQ,Nasdaq,5,NASDAQ,
14,OPRA,OPRA System,14,OPRA,
34,CME,Chicago Mercantile Exchange,34,CME,
etc.
have circular reference to itself.

But other lines like
8,CHX,Chicago Stock Exchange,0,NONE,
12,BX,Boston Stock Exchange,0,NONE,
etc.
have the mark 'NONE ' which clearly states it is the top-most section.


I feel it is better to use one convention for all cases (I'd prefer with 'NONE' marker)...

IQFeed Developer Support » how to merge Market Places to unique one? Oct 7, 2015 10:47 AM (Total replies: 6)

When I request a list of all available Market Places, I receive a huge list. There a few records for NASDAQ, for NYSE, etc. And it looks like not all of those sections are actually required.

How can I merge them to unique one?

For example, at your site
http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=lookup&displayaction=support§ion=guide&web=iqfeed&alpha=1&start=1

the list of exchanges is much shorter.

Is there some 'standard' way to do this?

IQFeed Developer Support » incomplete response to Level1 SBF request? Jun 19, 2015 10:06 AM (Total replies: 1)

Hi

I'm trying to understand what market is able to provide data for given stock ticker (i.e. MSFT). So I send SBF request for all sections available:

SBF,s,MSFT,e,11 43 14 32 21 110 3 4 5 52 1 2 6 7 8 9 10 12 13 15 16 17 18 19 20 22 23 24 25 26 27 28 29 30 31 33 34 35 36 37 38 39 40 42 44 45 46 47 48 50 51 53 54 55 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138,TickerListRequest


I receive the only Market Place NGSM (id:21 -- Nasdaq Global Select Market):
TickerListRequest,MSFT,21,1,MICROSOFT,

But when I subscribe to MSFT trades with request tMSFT, I do not receive any data from NGSM. Actually I receive data from other sections (NASDAQ and NYSE_ARCA for example).

Q,MSFT,5,5,45.4400,100,12:55:42.086,45.4300,7200,45.4400,2000,45.7300,45.9900,45.4100,45.8300,-0.39,-0.00850971,11836308,738747,45.7645,,06/17/2015,12:55:41.339,12:55:41.339,C,3D,

(id 5 corresponds to NASDAQ)

Since the server don't inform me about these sections, I'm not ready to receive these trades.
The situation looks a little bit confusing. Is it possible that server configuration is broken in some way?
Could you please fix the issue and send me full list of markets where I can expect market data for SBF-requested ticker?

With the best wishes,
Anton.

Edited by kytmanov on Jun 19, 2015 at 10:35 AM

IQFeed Datafeed Wish List » Moscow Exchange futures and options? Jun 18, 2015 06:30 AM (Total replies: 1)

As stated here
http://www.statista.com/statistics/272832/largest-international-futures-exchanges-by-number-of-contracts-traded/

It is the 6-th derivatives exchange in the world (in 2014) by number of contracts traded.

IQFeed Developer Support » more data in Fundamental Message? Jun 18, 2015 01:34 AM (Total replies: 5)

Quote: On your @ESN15 example, the July contract expired yesterday hence why that does not exist in our system


Sorry, I don't agree. There is no @ESN15 future. E-mini SP500 future contracts have only 4 main series for March, June, September and December.

http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500.html

and following your logic July 15 options should disappear also.

Anton.


Quote: For the lookup, just use the root symbol, @ES.


Wow! I think you should clearly explain this in your documentation OptionChainsviaTCPIP.html at least. Maybe a few examples specifically for futures.

It is stated there that I have to specify Symbol.

But ideally your server should understand exact request and return options only for requested future as it is stated in your documentation. Do you plan to improve it to this level?



OK, what if I need July 15 options on @ESU15 futures exactly?
How many chances there are several July 15 option series for different futures? I.e. July 15 series for @ESU15 and July 15 series for @ESZ15 for example?

What is my algorithm of reasoning to link @ESN15C200000 to @ESU15 futures? I do not see a clear way to link them... So it is hard to understand what future should I use for delta-hedge.

Anton.
Edited by kytmanov on Jun 18, 2015 at 01:26 AM


Hello,

I'm trying to send CFO request as it was recommended in previous discussion here:
http://forums.dtn.com/index.cfm?page=topic&topicID=4022

But no luck.

I send exactly this command:
CFO,@ESU15,pc,FGHJKMNQUVXZ,56789,0,r17

and expect to get all options for future @ESU15.

IQConnect sends me back NO_DATA error:
r17,E,!NO_DATA!,,

What's wrong?

Thank you in advance,
Anton.

PS Here is a few lines from IQConnect log file:

FROM CLIENT LookupRequest 15384 2015-06-17 19:48:13 CFO,@ESU15,pc,FGHJKMNQUVXZ,56789,0,r17

TO CLIENT LookupError 15384 2015-06-17 19:48:13 r17,E,!NO_DATA!,,

r17,!ENDMSG!,


TO CLIENT LookupData 15384 2015-06-17 19:48:13 r17,E,!NO_DATA!,,

r17,!ENDMSG!,



IQFeed Developer Support » more data in Fundamental Message? Jun 17, 2015 09:47 AM (Total replies: 5)

1. OptionType - Checking some magic char in ticker is just my heuristics. I will make mistakes. Future options works this way and index options work that way. Potentially, I could extract Strike Price from ticker too. But it is much much easier just to get it once from Fundamental Message.

Compare ticker SPY1518U200 with @ESU15C200000.
In first case last digits are strike. In second -- it is strike multiplied by 100.
Last letter in ticker is Month together with option type VS just option type.

Completely different ticker formats!

It is always easier just to have a clear answer.


2. Currently I feel it is almost impossible to get underlying from options ticker correcltly.
I.e. ticker SPYJ1519X170. I guess it is option for underlying SPYJ, but this is wrong. Its underlying is SPY.

Ticker @ESN15C207000. I guess it is option for underlying @ESN15, but it's not the case. There is no future @ESN15. In fact, this is July 2015 option series for @ESU15, isn't it?


3. Min Step -- this info should exist somewhere. For stocks and ETF it is almost always 0.01. But futures and future options have their own price steps very often.


4. HasOptions -- I will try this algo right now. But I don't think it is a good idea to issue CFO and CEO requests each time I have feeling there should exist some options for the ticker...

With the best wishes,
Anton.

IQFeed Datafeed Wish List » more data in Fundamental Message? (copy) Jun 17, 2015 05:39 AM (Total replies: 0)

I'd like to work with options and it is very hard to manage all these beasts correctly.
The Fundamental Message has information about Strike Price (field 54), but there is no info about Option Type (put or call). The only way to get this info is to do some language heuristics to extract it from Name and Market Center.

Also it is almost impossible to understand from this message what is underlying for a given option.

So could you please add a few more columns to Fundamental Message:
- Option Type (put or call)
- Underlying Asset (just ticker)
- Underlying Asset Market ID (similar to field 45 'Listed Market')
- Min Price Step (minimal price difference)



It is not clear from documentation do you fill Strike Price (field 54) with correct strike information for options on futures (like @ESU15C200000) or not?
I think you should ;-) .

Thank you in advance,
Anton.

PS Also it would be a great help if you provide info Has Options for every security. It will save me a lot of chain requests for tickers that do not have options (in your feed) at all.

IQFeed Developer Support » more data in Fundamental Message? Jun 16, 2015 10:03 AM (Total replies: 5)

I'd like to work with options and it is very hard to manage all these beasts correctly.
The Fundamental Message has information about Strike Price (field 54), but there is no info about Option Type (put or call). The only way to get this info is to do some language heuristics to extract it from Name and Market Center.

Also it is almost impossible to understand from this message what is underlying for a given option.

So could you please add a few more columns to Fundamental Message:
- Option Type (put or call)
- Underlying Asset (just ticker)
- Underlying Asset Market ID (similar to field 45 'Listed Market')
- Min Price Step (minimal price difference)



It is not clear from documentation do you fill Strike Price (field 54) with correct strike information for options on futures (like @ESU15C200000) or not?
I think you should ;-) .

Thank you in advance,
Anton.

PS Also it would be a great help if you provide info Has Options for every security. It will save me a lot of chain requests for tickers that do not have options (in your feed) at all.
Edited by kytmanov on Jun 16, 2015 at 10:14 AM


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