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Viewing User Profile for: DTN_Tim Walter
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Joined: Apr 25, 2006 12:17 PM
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DTN_Tim Walter has contributed to 1146 posts out of 18449 total posts (6.21%) in 4,382 days (0.26 posts per day).

20 Most recent posts:

Hello,

There are daily requests that can be made that are documented at the link below that will meet your requirement without having to do any time filtering. But, intraday requests are always based on the unadjusted data.

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

Just make sure you are logged in to the developer site when you click the link or you will not get the anticipated page.

Tim

IQFeed Developer Support » chronological order of ticks received? Apr 19, 2018 04:41 AM (Total replies: 1)

Good morning,

Yes, trades per symbol, should be chronological.

Tim


Good morning,

I have seen this happen, but have not been able to track down the specifics to recreate it and resolve it. It is something we have discussed, but at this time, the best answer I have is to simply re-request when a socket error comes up. We are working on solutions currently that will improve this process I think and hopefully we will be able to discuss those enhancements soon.

Tim

IQFeed Developer Wish List » Interval L1 Update data Apr 12, 2018 12:05 PM (Total replies: 1)

Hello Rich,

There is not currently, but I believe some sort of snapshot would make a lot of sense and bring some solid value to the table for you and others. I will make sure your request gets logged so that we can consider it in a future build.

Thanks for the idea.

Tim


Good morning,

Just a point of clarification, we are not going to have historical chains even when the currently planned changes are done. We do plan on providing an expired symbols list that you can parse, most likely as a download from our website, but that work is not complete yet.

I will try to get an update on the status for you and let you know.

Tim

IQFeed Developer Wish List » Ignore OddLot/SoldOutOfSequence ticks Apr 9, 2018 08:20 AM (Total replies: 25)

Sorry, this was a correction sent to us by the exchange and it is processed completely different than the live stream. I'll get this on the books for us to fix this as well. Sorry that we didn't catch this on the initial work.

Tim

IQFeed Developer Support » Mystery number Apr 6, 2018 01:56 AM (Total replies: 3)

No problem, just let me know if anything else comes up.

Tim

IQFeed Developer Support » C# sample program for Leve1Socket Apr 5, 2018 08:06 AM (Total replies: 2)

You would want to do something that doesn't involve creating additional strings whenever possible. Anything that does a string copy like this can be costly. I did some looking and substring and split both have this kind of behavior, so I would probably look into MemoryStreams or a StringReader as possible alternatives, but I have not done any testing of those options to confirm their performance.

https://msdn.microsoft.com/en-us/library/system.io.stringreader(v=vs.110).aspx
https://msdn.microsoft.com/en-us/library/system.io.memorystream(v=vs.110).aspx

Tim

IQFeed Developer Support » Realtime vs Historical tick resolution Apr 5, 2018 08:00 AM (Total replies: 4)

You can do a tSYM watch and that will give you all of the trades and that should match our history.

Note: Trades can also be of type O or of type E, in addition to C as you noted above.

Tim

IQFeed Developer Support » Realtime vs Historical tick resolution Apr 5, 2018 06:39 AM (Total replies: 4)

Good morning,

We do not have bid and ask history available, so I believe that is the discrepancy you are seeing here. You could add the message contents field to your request to validate that.

Tim

IQFeed Developer Support » Mystery number Apr 4, 2018 07:25 PM (Total replies: 3)

With the information given, I think it means you are not subscribed to realtime data for the CBOT exchange, so you have a 10 minute delay.

Tim

IQFeed Developer Support » Not getting historical Tick data Apr 3, 2018 03:02 PM (Total replies: 2)

Hello,

I sent you an email with some issues I noticed on the request itself that you can look at. Enabling logging in the diagnostics app and comparing what you think you are sending to what we are actually receiving would be a good way to catch some of these.

This page defines the HTT request and its results.

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

Let us know if the issues persist.

Tim

IQFeed Developer Support » sample code Apr 2, 2018 04:04 PM (Total replies: 6)

Good afternoon,

Sample code is available at http://www.iqfeed.net/dev/api.cfm

Note: You need to be logged into the developer site before clicking the link or it will just take you to the login page.

Tim

IQFeed Developer Support » Error on admin port Apr 2, 2018 06:48 AM (Total replies: 4)

Good morning,

Glad it is working now, but just to confirm you were just on the 5.2 client and trying to use the 6.0 protocol before?

Tim


Good morning,

I replied to an email earlier, but I think the issue here is that your protocol is not getting set correctly. The fields you are reporting are the default fieldsets for protocol 4.9, not 5.0. My email contained some ideas on how to troubleshoot this by using the L1 logging available in our diagnostics app.

The 5.2.7.0 version has been out for awhile and I am not aware of any open issues or changes, but if this continues to be an issue, just get us a copy of the log with the L1 logging enabled, and we can certainly take a look and track down whatever the source of the problem is.

Tim


Good morning,

Just remove the space between the comma and Message Contents and I think you will be ok.

Tim

IQFeed Developer Wish List » Ignore OddLot/SoldOutOfSequence ticks Mar 20, 2018 10:29 AM (Total replies: 25)

Sorry, I thought you meant on historical bars going forward. Unfortunately, since we do not have the underlying tick data in our system for the vast majority of the minute data that we provide, I cannot see what trades were used in the creation of a given minute. I also can't tell what to replace the filtered OHLC values with. I will escalate this to discuss further, but with what I have currently available I can't fix this for all of the minute data.

Tim

IQFeed Developer Wish List » Ignore OddLot/SoldOutOfSequence ticks Mar 20, 2018 09:59 AM (Total replies: 25)

Good morning,

The historical bars you mentioned, what time frame and symbol? The update will only fix the data for yesterday and all data going forward. It will not repair or change any previously received historical data.

Tim

IQFeed Developer Support » How are derivative bars built? Mar 15, 2018 10:29 AM (Total replies: 1)

1. Streaming bars and history all currently use the time from the end of the interval. If 12:00:00 started a new 1 minute interval, the interval would end at 12:00:59.999999 and the bar received would have a timestamp of 12:01:00.

2. You are correct, any method based on time to create a BC bar fails, so the only way you can guarantee that a bar has closed is to wait for a message to be received that is not part of the current interval for that symbol. That does certainly provide an opportunity for delays. So what you want to do is set the update interval to some value greater than 0.

The update interval is a time based catch to be sure you do not have to wait any longer than necessary to receive the current data. The update interval is used to trigger the sending of a BU bar when we have data on a symbol, but have not received data for [update interval] seconds.

Here is an example, with 60 second bars, and no update interval

We'll say trades occur at the following times:
12:00:00
12:00:14
12:00:48
12:00:59
12:01:00
12:01:01
12:01:02
12:02:15
12:02:16
01:04:17

This would be your expected outputs, notice the time delays in data return, but all bars are official and complete.

BC bar for 12:00 to 12:00:59 will be received at 12:01:00
BC bar for 12:01 to 12:01:59 will be received at 12:02:15
BC bar for 12:02 to 12:02:59 will be received at 01:04:17

Now with an update intervals of 1 second., you get more data to potentially process, but you always have current data, but since the BC bar is still sent you still know when a bar is officially complete.

BU bar for 12:00 to 12:00:59 will be received at 12:00:01
BU bar for 12:00 to 12:00:59 will be received at 12:00:15
BU bar for 12:00 to 12:00:59 will be received at 12:00:49
BC bar for 12:00 to 12:00:59 will be received at 12:01:00
BU bar for 12:01 to 12:01:59 will be received at 12:01:03
BC bar for 12:01 to 12:01:59 will be received at 12:02:15
BU bar for 12:02 to 12:02:59 will be received at 12:02:17
BC bar for 12:02 to 12:02:59 will be received at 01:04:17
BU bar for 1:04 to 1:04:59 will be received at 01:04:18

Let us know if you have any questions on this though and we would be happy to help further.

Tim

IQFeed Developer Wish List » Ignore OddLot/SoldOutOfSequence ticks Mar 15, 2018 09:56 AM (Total replies: 25)

Good morning,

The hope is that the fix will be pushed out to live this weekend. To my knowledge this is all still on track. But, I'll check with QA and ask that they keep me in the loop for if anything changes.

Tim


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