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Viewing User Profile for: altmany
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Joined: Jul 30, 2018 05:38 AM
Last Post: Jun 9, 2020 02:47 PM
Last Visit: Jun 9, 2020 02:49 PM
Website: https://UndocumentedMatlab.com/IQML
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IQML - IQFeed-MATLAB connector
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altmany has contributed to 49 posts out of 19650 total posts (0.25%) in 715 days (0.07 posts per day).

20 Most recent posts:
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


    IQFeed Developer Support » Average Volume field in fundamental data Sep 27, 2019 07:55 AM (Total replies: 1)

    What is the units of the Average Volume field in the Fundamental data message (http://www.iqfeed.net/dev/api/docs/Level1FundamentalMessage.cfm)? is it shares or USD? is it the nominal value or specified in thousands/millions?

    This question chimes with a similar recent query on this forum (http://forums.iqfeed.net/index.cfm?page=topic&topicID=5615), where it was not clear whether the Common Shares Outstanding field is the nominal value or specified in thousands (the latter, in this case).

    I therefore suggest adding a <Units> column to the table in the documentation webpage, to make things clearer to users, for these data fields as well as all the others.

    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 » protocol 6.1 problem Sep 8, 2019 01:58 AM (Total replies: 5)

    Most likely you are still using the 6.0 client - download and install the 6.1 client from http://www.iqfeed.net/index.cfm?displayaction=support§ion=download

    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 » S,SERVER DISCONNECTED Aug 12, 2019 03:07 PM (Total replies: 1)

    Regarding your 2nd question (Is there a way to get what symbols are currently watched?), you can try a S,REQUEST WATCHES request in the Level1 port - this returns a comma-separated list of all currently-watched symbols.

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

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



    You can use the Exchange_Root field together with the Expiration_Date field (to get the year and month), convert the month into the corresponding letter based on the standard symbology, and concatenate everything together.

    For example, @ES# currently reports Exchange_Root='ES' and Expiration_Date='09/20/2019', so the current underlying contract is @ESU19 (U=September). If you compare the data fields of the fundamental report (after placing a simple watch) for @ES# and @ESU19, you'll see that they are identical except for 4 fields that naturally contain different values: Symbol, Historical_Volatility, 52_Week_High, and 52_Week_High_Date.

    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 » Silent login (no popup window) Jul 10, 2019 04:50 AM (Total replies: 1)

    Is there any way to login to IQFeed without the login window appearing? Today, even if we run IQConnect with -login, -password and/or -autoconnect, the login window still appears for a few seconds until the authentication process completes.

    If having a silent login option is not currently possible, then please add it to your next release.



    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 Jul 10, 2019 at 04:52 AM

    Data and Content Support » Timestamp Resolution for Tick Data Jun 20, 2019 03:31 PM (Total replies: 2)

    My hunch is that you are not setting the protocol when you first connect to IQFeed, which then defaults to IQFeed 4.9 behavior. When I run your query using protocol 5.0 I see millisecond timestamp resolution, and with protocol 6.0 or 6.1 I see microsecs resolution.
    http://www.iqfeed.net/dev/api/docs/IQFeedProtocols.cfm


    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 Jun 20, 2019 at 03:33 PM
    Edited by altmany on Jun 20, 2019 at 03:33 PM

    Data and Content Support » XGU19 data Jun 13, 2019 06:48 AM (Total replies: 3)

    These may be trades done outside regular trading hours (RTH), not via the regular electronic market. The low volume (quantity/size) highlights the difference between such trades (which are infrequent) and trades during normal trading hours.

    If you run a streaming query and check the reported MessageContents and TradeCondition fields, you'll probably see that they contain codes that correspond to "Extended/Form-T Trade" (https://www.investopedia.com/terms/f/formt.asp) i.e., traded outside RTH.

    Some IQFeed queries have the ability to set a filter (BeginFilterTime, EndFilterTime) that limit the reported results to a specific daily time range (for example, 9:30am to 4pm) - you can set it up so that extended trades are not reported.

    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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