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DTN_Steve_S has contributed to 2028 posts out of 18147 total posts
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Hello, I got your messages via email. Unfortunately I don't have an answer for you however, I will say (mostly for future readers of this post) that the format that should be adhered to for these fields is CCYYMMDD HHmmSS (with a single space between date/time). I understand you're just troubleshooting and it's good information that the space seems to be what is corrupting your requests but I'm not sure how currently. At this point I think we've determined it has to be something in your setup.
Do you have the ability to compile/run any of the supplied example apps we distribute with the feed? If so, do they show the same issues? If not, it looks like your account is authorized for our DTN.IQ client. http://www.dtniq.com/template.cfm?navgroup=supportlist&urlcode=33&view=1
Can you test using this (open the Time & Sales and configure the request to use a date range).
Also, which version of python are you using? and do you have any environment variables set that could be altering the run of the app?https://docs.python.org/2/using/cmdline.html#environment-variables You might try running your app with the -E parameter just to make sure that isn't the issue.
This information is not in the Nasdaq Level 2 feed that we receive. As a result, to get this information, it would require bringing in a new feed from exchange(s) which is not a small task. However, we do track requests for additional data to help us measure demand. If you would like to PM me your IQFeed loginID, I'd be happy to submit a request for this information on your behalf.
Craig, sorry for the delay in responding.
What you are showing here is expected behavior. The bid/ask quotes for these equities come from the exchange on a different feed and we merge them in-house before forwarding them to customers. Any effort to assure they are in chronological order would result in intentionally delaying at least one of the feeds while waiting for data from the other feed. Instead, we opt for the option that gets data to customers as quickly as possible. As a result, you will occasionally see discrepancies between trades timestamps and bid/ask timestamps in this scenario.
Good catch. We do not provide the interest rate within the feed. Our chains display leaves this field up to the user to populate.
Hello, sorry for the late response. We do not provide the greeks themselves within the API but there should be sufficient underlying data within the API that you can do these calculations within your application.
We also provide an option chains display within our DTN.IQ product (your account might already be authorized to use this) that shows greeks but they aren't available programatically.
In that case, the term derivative isn't intended to be industry specific. Instead it is indicating that the data available on that port is derived from other data available in the feed. It should work for all symbols/instruments we carry.
Thanks for the alert. These pages are now updating again. We are looking into why our monitoring for these pages failed to notice the lack of updates.
Thanks for the post. Just for posterity, the IQFeed installer (every version for the last 10+years) should be installing these files by downloading an running the Microsoft installer for runtimes. For Linux users running IQFeed under WINE, this should still work (in our testing it has) as long as you are running the IQFeed Installer under wine as well.
If, for whatever reason it doesn't work on Linux (or windows for that matter), our official recommendation is to download and run the Microsoft installer manually (You can run it under wine if on Linux). We host a copy of the installer that we build against on our website. For the current version (5.2), use the following link: https://www.iqfeed.net/vcredist_x86_2012u4.exe
If that still doesn't work, then the above fix will likely work for you (if on Linux).
Hello, we do not have listings of constituents available. As for your other question about getting a list of all symbols in a specific market, you have two options.
The first option is that we publish a text file of every active symbol in our system daily here:
You can parse that file to pull out whichever market(s) you need.
Alternatively, you can filter the symbol lookup requests in the API by security type or listed market (multiple markets can be sent space delimited) and just use a * wildcard in the search field to get a list from each market.
I can confirm this appears to be an issue in the servers. I haven't been able to identify exactly what is happening but I can duplicate the issue. I'll report this over to our server team for investigation.
For the current time, the workaround that seems to work consistently is to request the current day's data with a separate request.
Unfortunately we don't provide a snapshot data option at this time and if implemented, the likely lower limit would be 1s.
With that said, I took a look at the code you provided and the obvious thing that jumps out at me is the use of String.Split. This function allocates a new array and a new string object for each and every field on each and every message. When dealing with potentially thousands of messages per second (possibly 10s of thousands), this is going to be very inefficient, especially since these are temporary objects and you are immediately converting the fields to binary. In order to efficiently process the feed, you need to eliminate as many of these types of temporary variables as possible in your processing.
Also, make sure you are using the dynamic fieldsets feature of the feed to eliminate any fields that you aren't interested in processing. I can't tell from the code snipit if you are using this or not but make sure you are.
The derivatives history only supports interval requests which returns OHLC data. It's a bit confusing because you can request an interval of X ticks (which you have), where each message represents an interval of data containing X number of trades. However, this is not the same as a historical tick data request where each message represents a single trade with the additional information about that trade supplied. However, this is still a subset of the available fields in level 1 data since not all fields are stored historically.
To get historical tick data, you will need to issue a historical data request on the lookup port (same port your CEO request is made on). You want to issue a Tick data request which is any of the requests that start with HT(HTX/HTD/HTT). These requests documented here: http://www.iqfeed.net/dev/api/docs/HistoricalviaTCPIP.cfm. All of the data returned by these requests are potentially the same but the 3 different requests allow for different types of filters.
For example: HTX,INTC1609I26,10 will give you the last 10 trades on that option symbol (in this case, the symbol has only traded twice):
The format of the messages are documented in the above page of the documentation.
Issuing a watch request on the level 1 port of IQFeed for realtime streaming data will result in the following data being returned:
F,INTC1609I26,E,,,10.25,10.25,,,,,,,,,,,,,,,,,,INTC SEP 2016 C 26.000,,,,,,,,,,,,,,,12,2,,,2,14,09/01/2016,09/01/2016,,,,,,09/09/2016,26.000,,,100.00,0,
Note that this is the default fieldset for IQFeed protocol 5.2. You can add/remove fields from this fieldset with the dynamic fieldsets in IQFeed to your liking. In addition to the above messages, if you keep the subscription active, you will receive quote messages (start with a Q,) anytime any of the data updates.
I don't think that the Streaming bars feature is what you are looking for.
IQFeed provides both realtime tick by tick data (every trade/bid/ask/etc) and Historical data. Our historical data can be retrieved as "tick", "interval", or daily/weekly/monthly bars. The tick history is every trade for the symbol and includes bid/ask price data at the time the trade occurs (no data is stored for bids/asks that occur between trades). The intervalized data provides an OHLC plus interval volume as well as the total daily volume up to that point in the day. We support tick/time/volume interval bars with the most commonly requested being time (1min/5min/15min/etc). The daily/weekly/monthly data is EOD data.
The streaming bars feature merges interval historical data requests with the realtime tick by tick data subscriptions and then streams the new bars as they complete/update. As a result, the data supplied using this feature is limited to the same data that we provide via historical data requests. This is also the reason your interval request of 1tick returned an error. Requesting 1tick isn't an interval, its just tick data which isn't supported by the streaming interval bars feature.
In order to get the type of display that you see on nasdaq.com, you will want to go back to issuing your level 1 watch request and parsing that data for the information you need. You are correct that many of the fields will be empty when you request all fields. This is because our feed is security type agnostic and many of the fields won't apply to options data (just like fields such as strike price wouldn't apply to the underlying equity). You will have to parse the csv string that is returned and only look at the fields you want to see. alternatively, you can just request the specific fields you want (in the order you want) and the feed will deliver a message that is more to your liking. Take a look at this page for more info on selecting fields: http://www.iqfeed.net/dev/api/docs/DynamicFieldsets.cfm
You might also need/want to switch to the most recent protocol (5.2) using the S,SET PROTOCOL,5.2 command prior to setting your fieldset. Some fields are only available in the newer protocols.
Hello, the chains request simply returns a comma delimited list of contracts that are part of the requested chain.
The symbols are in OPRA OSI format as documented here on our website:
To get price information for the contracts, you will have to issue a request to subscribe to updates for the symbols on the Level 1 port of IQFeed (see http://www.iqfeed.net/dev/api/docs/LevelIviaTCPIP.cfm )
RequestIDs are populated as the first field in any complete message returned from the feed for a request. In the case of chains, it will typically be all returned in a single message followed by the end of transmission message (which should also have the request ID attached).
Most of the authorization codes you list are exchanges which you have signed up to receive so those should be self explanatory. The rest are premium authorizations for News sources which you can access via the Lookup port in IQFeed (same port you are getting chains data from, you just need to send news requests instead of chains request)
Hope this helps.
Edited by DTN_Steve_S on Aug 26, 2016 at 07:44 PM
I have confirmed this behavior in the code for the current release of 5.2.
Unfortunately, it is a bug (trades only watches are the only ones affected) and there is not going to be any workaround in the current release since that is the only command that is able to retrieve that information.
IQFeed is intended to have a single instance running on a single instance of the OS. You might be able to get this working with separate installs of wine but that would be way beyond the scope of support that we officially provide.
Keep in mind that you would also potentially be subject to duplicated exchange fees if you need data from the same exchanges on both accounts.
There is nothing in the API to retrieve this.
Any interval that is not a multiple of 60s (1min) will be limited to the same 180days that tick data is limited.
1min interval data goes back to mid 2007 for all but a couple symbols that were backfilled to 2005. We do not delete minute data so this date should never change.
Hello, it is true that all of our datacenters are located in or around Omaha. However, we have dedicated lines from the exchanges into our facilities to reduce latency on the incoming side. Of course IQFeed sends data out to customers over the internet and is subject to whatever routing happens between our datacenters and your machine. What this means is that our Central US location allows us to service our east coast and west coast customers equally (or at least as equally and cost effectively as we can control).
While we don't claim to be an ultra low latency feed, it is possible to collocate a machine pretty close to our datacenters (I've seen as low as about 20-25ms realistically possible). It is best to search for a datacenter in Chicago, Denver, or Dallas (in that order) since most of our internet traffic travels through those 3 cities from my experience.
Keep in mind that you would also want to take into consideration where your order execution servers are located as well since it doesn't do any good to have lightning fast signals that can't be filled before they go stale.
Hello, this is correct. Almost all tick timestamps are generated by the exchanges and/or data provider. We store our tick data in the order it was received and processed so it is possible for the timestamps to be out of order chronologically in our historical data. This applies to settlements as well.
Hello, sorry for the delayed response here. Hopefully you got the information from another support channel but in case you still need it (and for the forum history), for all symbols, our historical data limitations are based on the market hours of the US equity exchanges since these are the times of greatest trading activity across all supported exchanges. As such, the limits are from 09:30 - 16:30 Eastern time.