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Viewing User Profile for: altmany
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Joined: Jul 30, 2018 05:38 AM
Last Post: Feb 21, 2021 02:48 AM
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Website: https://UndocumentedMatlab.com/IQML
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IQML - IQFeed-MATLAB connector
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altmany has contributed to 56 posts out of 20020 total posts (0.28%) in 952 days (0.06 posts per day).

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For the volatility value you can use the Historical_Volatility field from the underlying asset's fundamental data. DTN's official description of this field is: “30-trading day volatility, calculated using Black-Scholes”. Apparently, the actual calculation (which is updated once a day, after midnight) for options computes the volatility of day-to-day price change values of the last 30 trading days, using the last 31 daily close prices, as follows:
100*sqrt(252)*std(ln(close(i+1)/close(i)))
, rounded to the nearest 0.01. For futures, the calculation is similar but apparently based on 90 (not 30) values. When a contract is newly-listed, fewer values are used, with a minimum of 4 values.

You can also calculate the historic volatility yourself, using historic prices of the underlying asset (use IQFeed's historic bars query for this). In this case, you can use a different number of historic prices for the calculation, ignore outlier values etc., without relying on DTN's built-in opaque calculation.

As an alternative to using the historic volatility, you can also calculate the implied volatility using Black-Scholes. This will typically be easier for European derivatives than for American/Asian/exotic ones.

In my IQML connector I enable the user to choose whether to use IQFeed's built-in Historical_Volatility field, or a calculated Implied Volatility, or a fixed value.

For the risk-free rate, you can either set a fixed rate (in the current financial situation, a simple value of 0 may be close enough for practical purposes), or use the current value of assets such as LIBOR/IRX.XO.

See http://forums.iqfeed.net/index.cfm?page=topic&topicID=4387 for some detailed discussion of these matters.


Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

Edited by altmany on Feb 21, 2021 at 02:58 AM


I do not believe that IQFeed has a dedicated query for requesting greeks, nor are the greeks reported by IQFeed in the standard market-data query.

Some of the software that connects to IQFeed (for example, my IQML connector for Matlab) calculate the greeks internally and report them to the user. If you are developing your own program, you can calculate the greeks using the information reported for the options and their underlying asset, and the standard Mathematical definitions: https://en.wikipedia.org/wiki/Greeks_(finance).

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion


IQFeed Developer Support » Questions about api Dec 28, 2020 10:09 AM (Total replies: 4)

For the benefit of anyone who happens across this thread, note that on Dec. 22, 2020 DTN has changed the throttling mechanism for historical data queries: instead of the old limit on the number of concurrent connections, the new limit is on the number of queries within a rolling 1-second window (50 queries/sec).

References:

There is currently no known throttling limitation on other types of IQFeed queries (non-historical).

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion


IQFeed 3rd Party Software Support » Bar Watch Help Dec 1, 2020 03:04 PM (Total replies: 7)

Set a non-default UpdateInterval parameter in your BW command to get interim bars.
See http://forums.iqfeed.net/index.cfm?page=topic&topicID=4341 and http://www.iqfeed.net/dev/api/docs/Derivatives_StreamingIntervalBars_TCPIP.cfm

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion


Data and Content Support » Download Futures Data with delivery month Nov 30, 2020 06:33 AM (Total replies: 12)

The delivery date for futures and future options is included in the "First Delivery Date" field of the Fundamental Data Message in IQFeed (towards the end of the message).
See http://www.iqfeed.net/dev/api/docs/Level1FundamentalMessage.cfm and http://www.iqfeed.net/dev/api/docs/Level1viaTCPIP.cfm

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion


Data and Content Support » Roll rule change for @3N# Nov 12, 2020 03:50 PM (Total replies: 2)

I think that many users would welcome the ability to have a roll rule based on the trading volume rather than a fixed date. For example, @3N# would continue to be date-based, whereas @3N@ would roll on the first day following a daily volume crossover between the near/next contracts.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion


IQFeed Developer Support » HIT: Missing data or data compression? Jul 16, 2020 04:52 PM (Total replies: 3)

Interval bars during which no trading occurred are not reported. For this reason you often see many such gaps in non-trading hours, but sometimes also during the trading day. Naturally, the wider that your requested interval bar size is, the less likely this is to happen.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion


IQFeed Developer Support » HTT command: bug in parsing EndTime? Jun 9, 2020 02:47 PM (Total replies: 1)

When I run the following HTT command:

 HTT,SPY,20200608 200000,20200609 000000,1000000,,,1,HTT-SPY,

I receive the expected last few ticks from 2020-06-08, but also hundreds of thousands of unexpected ticks from 2020-06-09. I expected no ticks after midnight 2020-06-09. No matter which EndTime value I enter, the latest reported tick is always from the current time.

Perhaps EndTime is not parsed correctly on the server?

I'm using IQFeed client 6.2.0.1, in case that's relevant.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion


Data and Content Support » Same Timestamp with different TickID Jun 2, 2020 06:47 AM (Total replies: 12)

I think that it would be useful to include a unique sequence ID with each tick that *would indeed* be unique (an incremental long integer if possible) across the board.

I'd be surprised if you don't already have such an ID in your databases, since all databases have such IDs which are often used as index keys. I assume that adding it to the reported tick fields should not be too difficult.

A unique sequence ID will help end-users differentiate between different ticks in their programs. It will also help users when they report a potential data problem to refer to a unique sequence id that you could immediately find in your database.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion



  • CummlativeVolume – total trade volume since start of the current trading day.
  • IntervalVolume – trade volume during this specific interval bar only.
  • NumberOfTrades – number of trades during this specific interval bar. Relevant only when the IntervalType in your request is ticks/trades.

    Yair Altman
    IQML - IQFeed-MATLAB connector
    https://UndocumentedMatlab.com/IQML

    I am not a DTN employee; my post reflects my personal opinion


    Data and Content Support » Streaming nterval bar with H type Apr 21, 2020 10:06 AM (Total replies: 1)

    The intervalbars query is special in the sense that it returns both historic and live (streaming) bars, depending on the parameters in the request. In most case, you will receive a bunch of historic bars (H) immediately, followed by live streaming bars (C/H), one at a time, as they become available (depending on your interval duration).

    Yair Altman
    IQML - IQFeed-MATLAB connector
    https://UndocumentedMatlab.com/IQML

    I am not a DTN employee; my post reflects my personal opinion


    IQFeed Developer Support » Undocumented limit of 4000 headlines? Mar 11, 2020 02:08 PM (Total replies: 3)

    Thank you for the clarification Gary.

    You may wish to consider updating the official API doc page accordingly: http://www.iqfeed.net/dev/api/docs/NewsLookupviaTCPIP.cfm

    Yair Altman
    IQML - IQFeed-MATLAB connector
    https://UndocumentedMatlab.com/IQML

    I am not a DTN employee; my post reflects my personal opinion


    IQFeed Developer Support » Undocumented limit of 4000 headlines? Mar 6, 2020 05:01 AM (Total replies: 3)

    In the following headlines query, I consistently get only 4000 headlines although I requested 5000. Is 4000 an undocumented limit?
    NHL,,:,t,5000,,


    Yair Altman
    IQML - IQFeed-MATLAB connector
    https://UndocumentedMatlab.com/IQML

    I am not a DTN employee; my post reflects my personal opinion



    I don't want to answer in DTN's stead, but I think you are underestimating the required effort to have HIT support for non-trading ticks. Remember that HIT enables specifying an interval of not just 60 secs but even a couple of secs, as well as any number of ticks (i.e., not a fixed-duration interval) and volume. To support all of these combinations with a custom interval size by the users, IQFeed would be required to store and process every single tick. This may not seem much for out-of-the-money options, but it would be an enormous amount of data for Forex options or S&P 500 equities (for example). In short, except for certain asset classes, it is an unrealistic expectation to support. And if IQFeed were to support non-trading ticks with only these certain asset types, users would naturally complain that all other asset types are not similarly supported.

    Note that I am not a DTN employee and this is just my own personal opinion.

    Yair Altman
    IQML - IQFeed-MATLAB connector
    https://UndocumentedMatlab.com/IQML

    I am not a DTN employee; my post reflects my personal opinion



    It is my understanding that only historic trades are stored/reported by IQFeed. The amount of data that would be required to store non-trading ticks would be simply enormous and so AFAIK IQFeed does not offer it.

    You can create your own database of bid/ask OHLC bars by streaming all quotes using the w[symbol] (don't use t[symbol] because this streams only trades).

    Yair Altman
    IQML - IQFeed-MATLAB connector
    https://UndocumentedMatlab.com/IQML

    I am not a DTN employee; my post reflects my personal opinion


    IQFeed Developer Support » Market snapshot error on EDS / 5MS command Dec 21, 2019 10:00 AM (Total replies: 10)

    Another report of this problem: http://forums.dtn.com/index.cfm?page=topic&topicID=5678

    I have also gotten an unrelated independent report on this exact same problem for NASDAQ summary data.

    It seems to be a problem that multiple people who use multiple different platforms have experienced. Please look into this matter.

    Yair Altman
    IQML - IQFeed-MATLAB connector
    https://UndocumentedMatlab.com/IQML

    I am not a DTN employee; my post reflects my personal opinion


    IQFeed Developer Support » Market Summary Files incomplete Dec 21, 2019 09:56 AM (Total replies: 4)

    Cross-reference: http://forums.dtn.com/index.cfm?page=topic&topicID=5649

    Yair Altman
    IQML - IQFeed-MATLAB connector
    https://UndocumentedMatlab.com/IQML

    I am not a DTN employee; my post reflects my personal opinion


    IQFeed Developer Support » NHL Request Documentation. Oct 6, 2019 07:01 PM (Total replies: 4)

    Craig - I agree with you that the description could probably be made clearer. I believe the meaning is simply that the optional Date parameter can be either a single date (YYYYMMDD) or a date range (YYYYMMDD-YYYYMMDD) or any combination of dates and date-ranges, separated by colons. For example, "20190620:20190701-20190731:20190908" means "the single date 2019-06-20, plus the date range 2019-07-01 to 2019-07-31, plus the single date 2019-09-08".

    p.s. - in the description, the comma just before the final date is most probably a typo - it should be a colon (:). In IQFeed's API commas are used to separate between parameters and are not allowed within the parameter values. The colon character is used to separate values within a parameter (hence "colon delimited").

    Yair Altman
    IQML - IQFeed-MATLAB connector
    https://UndocumentedMatlab.com/IQML

    I am not a DTN employee; my post reflects my personal opinion


    IQFeed Developer Support » Bugs in SBS (Symbols by SIC lookup) query Sep 29, 2019 05:06 AM (Total replies: 4)

    Followup problem #3: SIC groups 00-09 (Agriculture sector) return no symbols at all. For example:
    => SBS,07,x
    <= x,E,!NO_DATA!,
    <= x,!ENDMSG!

    It seems that only SIC groups 10+ are properly processed.

    You *do* have information about the Agriculture stocks. For example, you report valid market and fundamental data for AGRO (SIC=0139, i.e. SIC group 01), CVGW (SIC=0179) and FDP (SIC=0179) - It's just that you don't return these symbols in the SBS query since their SIC group < 10.

    Yair Altman
    IQML - IQFeed-MATLAB connector
    https://UndocumentedMatlab.com/IQML

    I am not a DTN employee; my post reflects my personal opinion


    IQFeed Developer Support » Bugs in SBS (Symbols by SIC lookup) query Sep 28, 2019 01:46 PM (Total replies: 4)

    When I search for symbols by SIC code (SBS query), I can see the following:

    => SBS,28,x 

    <= x,2813,AIQUY,3,1,L'AIR LIQUIDE ADR
    <= x,2813,FLRE,3,1,FLAMERET INC
    <= x,2816,TORM,3,1,TOR MINERALS
    ...
    <= x,2819,ZGSI,3,1,ZERO GRAVITY SOL INC
    <= x,2820,CDSAF,3,1,CYDSA SA SER A ORD
    <= x,2820,FUPEF,3,1,FUCHS PETROLUB AG
    <= x,2820,LNXSF,3,1,LANXESS AG
    <= x,2821,ACGJ,3,1,ACI GLOBAL CORP
    ...
    <= x,2834,AIHLF,3,1,
    ...
    <= x,2836,XLRN,1,1,ACCELERON PHARMA INC. COMMON S
    <= x,2839,LMDCF,3,1,LINGO MEDIA CORP NEW
    <= x,2839,YLWDF,3,1,YELLOW PAGES LTD COMMON SHARE
    <= x,2840,DUNIY,3,1,DUNI AB
    <= x,2840,HEGIF,3,1,HENGAN INTL
    <= x,2841,BTTR,3,1,BETTER CHOICE COMPANY INC. COMMON STOCK
    ...
    <= x,2869,WLKP,7,1,WESTLAKE CHEMICAL PARTNERS
    <= x,2870,NHYDY,3,1,NORSK HYDRO ADR
    <= x,2870,NHYKF,3,1,NORSK HYDRO ASA ORD
    <= x,2873,AGGL,3,1,AGTECH GLOBAL INTERNATIONAL INC. COMMON STOCK
    ...
    <= x,!ENDMSG!

    There are 2 problems with these results:

    1. SIC group codes 2820,2839,2840,2870 are not listed in the response to a SSC query. I detected 154 such SIC codes that were reported by SBS but not listed by SSC (I can email you this list of 154 if you wish).

    2. Some symbols are reported without a company name. I found 4 cases of this problem: AIHLF (SIC code 2834), ELIAF (4911), UTBPP (6798) and FWDE (1311).

    I have not tested to check whether similar problems occur with the corresponding NAICS queries (SBN and SNC), but it would not surprise me to discover this.

    Please advise...

    Yair Altman
    IQML - IQFeed-MATLAB connector
    https://UndocumentedMatlab.com/IQML

    I am not a DTN employee; my post reflects my personal opinion



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