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Viewing User Profile for: DTN_Tim Walter
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Joined: Apr 25, 2006 12:17 PM
Last Post: Yesterday @ 04:01 AM
Last Visit: Yesterday @ 04:01 AM
Website: http://www.dtniq.com
Location: Omaha, NE
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DTN_Tim Walter has contributed to 1064 posts out of 18147 total posts (5.86%) in 4,195 days (0.25 posts per day).

20 Most recent posts:
Data and Content Support » Trade types Yesterday @ 04:01 AM (Total replies: 1)

Good morning,

The exchange has many trade conditions, many they mark as non-last qualifying. The O designation is the bucket we use for those.

A common example would be an oddlot trade. These are trades of less than 100 shares that, generally, do not show up in most trading apps. The reason being is that it helps to prevent people from manipulating the current market value by buying one share at an unrealistic price.

Each exchange is different in what their requirements are for what is last-qualifying and what is not. But, the C, E, and O designate is how we try to simplify all of that for you, so that you don't have to parse out the trade conditions yourself.

Tim

IQFeed Developer Support » Reading feed into app Oct 15, 2017 04:17 PM (Total replies: 1)

Hello,

I think if you take a look at the ConsoleBenchmark app in the sample code that will help get you to where you can see these messages quickly. Currently, the sample just does a counter based upon message type, but putting the Console.WriteLine commands in the same switch statement should get you to where things are printing out accordingly.

Tim

IQFeed Developer Support » Duplicate records for historical data Oct 12, 2017 04:30 AM (Total replies: 1)

Good morning,

Sorry about this, I will take a look at the configuration and try to get this resolved later today. If you limit your query to 2015 forward it seems to work normally if that helps at all for now.

Tim
Edited by DTN_Tim Walter on Oct 12, 2017 at 04:34 AM

IQFeed Developer Support » Trade Market Center values Oct 11, 2017 10:19 AM (Total replies: 1)

These numbers are available via the lookups. If you login to the developer site, and click the link below, the details for the "listed market" lookup and return are given and that should help get you going. This list does change though, so I would also advise against the temptation to hard code these values.

http://www.iqfeed.net/dev/api/docs/SymbolLookupviaTCPIP.cfm

Tim

DTN.IQ Client Software Support » Minute interval data Oct 11, 2017 05:47 AM (Total replies: 5)

HIT is an interval request so it will always use whatever the current day is. HIT does not have an understanding of what makes up a daily bar. So 20171009 200000 for the first and 20171010 020000 for the latter.

Tim

DTN.IQ Client Software Support » Minute interval data Oct 11, 2017 05:44 AM (Total replies: 5)

Everything is reported in Eastern time for IQFeed.

Tim


We use the 10/10/17 settlement as the final close of the daily bar. If you need the last trade of the day, you would need to make a tick request for that closing timeframe and filter it out accordingly.

HDT will not return partial daily bars, so until the settle for 10/11/17 arrives, the HDT request will continue to show the same 10/10/17 data.

Tim

DTN.IQ Client Software Support » Minute interval data Oct 10, 2017 01:12 PM (Total replies: 5)

Good afternoon,

We do not have market hours as part of our API currently. We are looking to add this functionality, but for now we have some pages with trading hours linked at the bottom of this page.

http://iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support§ion=guide&web=iqfeed

Including this one for Nymex and Comex
http://iqfeed.net/symbolguide/display.cfm?eight=0800A970.cfm&six=06000429&title=DTN%20-%20NYMEX%2FCOMEX%20TRADING%20HOURS

Tim

IQFeed Developer Support » Decoding Timestamps in Update Messages. Oct 10, 2017 11:07 AM (Total replies: 10)

Correct

IQFeed Developer Support » Decoding Timestamps in Update Messages. Oct 9, 2017 09:29 AM (Total replies: 10)

Any bid or ask update received with a 99:99:99 timestamp is the exchange saying there is no valid value currently.

Bid and ask are always sent as pairs though so you can get several invalid updates on the bid while the ask size continues to update as it does here in your example.

Tim

DTN.IQ Client Software Support » HIT API Oct 5, 2017 11:08 AM (Total replies: 4)

It will be the OHLC composite of every Regular and Extended trade for the related minute.

Tim

DTN.IQ Client Software Support » HIT API Oct 5, 2017 09:06 AM (Total replies: 4)

Good morning,

You are doing a one second request which is based off of tick data. During market hours, tick data is limited to 8 calendar days. If you change your interval to 60, or any whole minute interval, then you can access the full history.

Tim

Data and Content Support » Divergences in volume Oct 5, 2017 07:31 AM (Total replies: 9)

One more note:

You pull in Extended Trade, which is the last extended trade price, but you don't pull in extended trade time or extended trade size. Is that intentional? I just want to make sure your not accidentally mixing values which would also throw off your calculations.

Tim

Data and Content Support » Divergences in volume Oct 5, 2017 07:26 AM (Total replies: 9)

Make sure you are setting your protocol to 5.2. You are using the default which is 4.9

This would be the 5.2 version of what you had.

S,SELECT UPDATE FIELDS,Last Time,Last,Last Size,TickID,Exchange ID,Last Market Center,Extended Trade,Message Contents

Docs on setting your protocol are here.
http://www.iqfeed.net/dev/api/docs/IQFeedProtocols.cfm

Tim

Data and Content Support » Divergences in volume Oct 5, 2017 03:06 AM (Total replies: 9)

Good morning,

The field you are looking for is Message Contents. It has a definition on the linked page that may help you get going, but just add that to your fieldset and then take the C and E trades and you should match our intraday bars. (E or Extended trades only happen on equities I believe)

http://www.iqfeed.net/dev/api/docs/Level1UpdateSummaryMessage.cfm

Let me know if anything else comes up.

Tim

IQFeed Developer Support » HDX / HWX Oct 4, 2017 01:27 PM (Total replies: 3)

Makes sense, just let us know if you see anything else along your way that I can help with.

Tim

Data and Content Support » Divergences in volume Oct 4, 2017 10:05 AM (Total replies: 9)

Well it appears to add up on my end, so let me explain what I did and you can tell me where I went wrong.

I copied and pasted your data into Excel and then delimited it on commas.
I summed column E and got 49249
I then filtered all O trades and then
I summed those remaining values and I get 45385, did I miss something? I looked for trades that might hint at an off by one error and I am not seeing it.

Tim

Data and Content Support » New format Oct 4, 2017 09:03 AM (Total replies: 5)

Good morning Junsan,

My apologies for the run around.

Our API documentation that explains this data is available at the link below. (You will need to login to the developer website prior to clicking the link.)

http://www.iqfeed.net/dev/api/docs/DynamicFieldsets.cfm

If you do not have a developer account, please let me know, and we will be happy to make sure that the right person contacts you via the email you used to register here on the forums and we can try to make that happen as quickly as possible.

Tim

IQFeed Developer Support » HDX / HWX Oct 3, 2017 01:28 PM (Total replies: 3)

Good afternoon,

Thank you for posting. This is something we have been looking at for some time. Hopefully we will be able to get this added for you, but it will likely be next year before it could be rolled out. For the time being, the current bar will still have to be pulled from the summary message in conjunction with the history call to get the data you need I am afraid. We will send out announcements to all developers when this functionality is available to test.

Tim

IQFeed Developer Support » NYSE Level 2 Oct 3, 2017 01:20 PM (Total replies: 4)

Good afternoon,

Unfortunately, I am not able to be very helpful here, but the answers are below.

1. We carry the market maker in the message, but not any ECN info.
2. We do not have any order information in the level 2 feed.
3. No, we do save any historical bid or ask data of any kind.

Let me know if you have any questions though.

Tim


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