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Joined: May 7, 2007 12:40 PM
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andrejk has contributed to 8 posts out of 19111 total posts (0.04%) in 4,427 days (0.00 posts per day).

20 Most recent posts:
IQFeed Developer Support » Option download: latest EOD not available Jul 11, 2007 11:49 PM (Total replies: 0)

Tonight latest end-of-day data for options started with '2007-07-06' instead of '2007-07-11', e.g.

Symbol: AA HH
Days: 3
2007-07-06 00:36:35,3.7,3.2,3.7,3.4,33,0
2007-07-02 00:36:35,3.40,2.55,2.80,3.20,153,0
2007-06-29 00:36:35,2.70,2.15,2.15,2.70,80,0

whereas EOD for stocks are correct:

Symbol: AA
Days: 3
2007-07-11 00:44:20,42.49,41.79,41.79,42.43,11751400,0
2007-07-10 00:44:20,42.70,41.56,42.58,41.66,16271477,0
2007-07-09 00:44:20,42.54,41.51,41.53,42.36,17419220,0


Hi,

there seems to be a problem with historical end-of-day data for options as well.

Using the LookupClient and issuing

Symbol: GM GU
Days: 3

yields to:

2007-07-06 15:32:07,0.75,0.45,0.55,0.55,166,0
2007-07-02 15:32:07,1.55,1.15,1.45,1.45,20,0
2007-06-29 15:32:07,1.80,1.20,1.55,1.35,394,0

The result set seems to be shifted one day backwards - whereas a lookup of the underlying stock provides the correct data set:

Symbol: GM
Days: 3

yields

2007-07-09 15:30:14,37.56,36.60,36.60,36.77,15267818,0
2007-07-06 15:30:14,36.89,36.30,36.64,36.49,9091800,0
2007-07-05 15:30:14,36.81,35.98,36.12,36.76,17818338,0


As downloading historical data is pretty slow - at least here in Europe -
it would be great to provide end-of-day data of the latest trading day before
00:00am EST, say 6:00pm EST or so.

This would leave more time for analysis and preparation before the next trading day starts.


thanks for checking this, Steve!

>I am showing that quite of few of these simply didnt trade immediately at open.

I know. this is normal behaviour of options. but it is unlikely that none of these are being traded
after more than 60 minutes. moreover, should there not be a summary message at least ?

unfortunately all this is not reproducible at every time. sometimes it happens, sometimes not.

any advice how to tackle with this ?

I will check the timestamps in a next run (I do not record realtime data - only realtime analysis)

regards,

Andrej


calls:

"EK FE", "BBY FJ", "RQO FV", "NSI FN", "NSI FM",
"MHS FP", "FRO FI", "TQA FD", "OAQ FJ", "CUY FG",
"SUN FQ", "BUD FK", "UPY FW", "BOW FE", "KBH FI",
"KBH FJ", "AV FC", "EDS FF", "MAR FJ", "FRO FH",
"AEM FH", "BP FN", "CQJ FP", "CQJ FQ", "GES FW"

puts:

"CRQ RU", "MRK RX", "BHQ RH", "VZ RH", "KSS RN",
"BNI RR", "ABC RJ", "CAL RG", "UPA RJ", "CCJ RJ"
"SWQ RV", "OIQ RF", "QDX RD", "CRQ RH", "URQ RE", "LQH RL"

stocks: any stock of S&P500, NASDAQ100 or DJI


I mean the delivering (the beginning of the streaming) of option data is delayed - yesterday around 60 minutes.

today I needed a second request of symbols. now they are being delivered correctly. once they stream everything is fine.

I never had this delay with stock-symbols.

when I request symbols for streaming, I devide my set of symbols in parts of 50 and let some seconds lapse between these parts. option-symbols and stock-symbols are mixed in each part.

so far I never had problems with this. but meanwhile I have observed on several occasions that the streaming of option-data starts delayed (or not at all) while the streaming of stock-data is always correct.

do you see any problems with my procedure ?
thanks.


yesterday streaming of realtime option data started delayed,
today there are no option data at all - while stocks seem to be ok.
I run DTN.IQ 2.4.8.8. Any advice ? Thanks.


I upgraded to DTN.IQ 2.4.8.8

In the fundamental message I miss the Strike Price in field 54 (Expiration Date seems to be there).
Here is what I get for the Options

GE ES, GE EH, GE QF, GE QZ, GE QG:

F,GE EH,C,,,.05,.01,,,,,,,,,,,,,,,,,,GE MAY 2007 C 40.0,,,,,,,,,,,,,,c,12,2,,,2,14,04/27/2007,04/03/2007,,,,,,05/19/2007,,
F,GE ES,C,,,.51,.01,,,,,,,,,,,,,,,,,,GE MAY 2007 C 37.5,,,,,,,,,,,,,,c,12,2,,,2,14,05/02/2007,04/24/2007,,,,,,05/19/2007,,
F,GE QF,C,,,.06,.01,,,,,,,,,,,,,,,,,,GE MAY 2007 P 30.0,,,,,,,,,,,,,,c,12,2,,,2,14,03/19/2007,04/12/2007,,,,,,05/19/2007,,
F,GE QZ,C,,,.22,.01,,,,,,,,,,,,,,,,,,GE MAY 2007 P 32.5,,,,,,,,,,,,,,c,12,2,,,2,14,03/19/2007,04/26/2007,,,,,,05/19/2007,,


Thanks.


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