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Joined: Jan 31, 2008 01:37 AM
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shortorlong has contributed to 16 posts out of 21191 total posts (0.08%) in 5,939 days (0.00 posts per day).

20 Most recent posts:
Data and Content Support » Korean Stock Exchange / KOSPI? Mar 3, 2008 06:27 PM (Total replies: 2)

Is there any way to get data for the korean stock exchange? The KOSPI index or K200 futures for example?

IQFeed Developer Support » Watch only returning 't' messages, not 'p' Feb 16, 2008 04:50 PM (Total replies: 1)

Sometimes I'll set a watch on a particular option symbol eg: FIQ QD

I'll read the lines that I get back from IQFeed and I only see 'T' messages ex: 'T,20080216 17:47:00'

I am trying to get a 'P' message so that I can get Open Interest. But all I get are these 'T' messages, even when I send a force request to IQFeed ex: 'fFIQ QD'

Do you know what may be happening here?

IQFeed Developer Support » Open Interest - One More Time Feb 12, 2008 09:16 PM (Total replies: 5)

I've just finished testing grabbing open interest from the streaming feed instead of the historical feed and it works great. I've never look at the streaming feed until now, but it seems to provide all I'll need.

Thanks Jay, I'm good to go for now.

IQFeed Developer Support » Open Interest - One More Time Feb 12, 2008 04:21 PM (Total replies: 5)

Ah, if I understand correctly then, open interest is included with the streaming real-time quote, but not included in the history database, is that correct?

IQFeed Developer Support » Open Interest - One More Time Feb 12, 2008 01:40 AM (Total replies: 5)

My application is successfully computing implied volatility and the greeks - very cool..

I do not yet have a plan for calculating Open Interest for options.

Open interest is defined as 'The amount of outstanding contracts on a specific underlying security.'

It is not the same as Volume because it only counts the sum of (BuyToOpen + SellToOpen orders) - (BuyToClose + SellToClose orders).

I may be able to tally this value by looking at tick-data, but for 50 000 option symbols just for the Nasdaq, that is a LOT of tick data. It's prohibitively too much (I only pull minute-based data because I look at all 50 000 symbols).


So - How can I calculate open interest for options? How are other IQFeeders doing this? Does it exist somehow in historic or streaming pulls and I just haven't found it? If not, can IQFeed provide guidance on if/when they can add this to their data?

Extremely grateful for any help..

IQFeed Developer Support » Open Interest and The Greeks Feb 6, 2008 11:21 AM (Total replies: 8)

Does anyone have suggestions on how we can calculate open interest? It seems that knowing this figure is pretty important.

Thanks again,

IQFeed Developer Support » Open Interest and The Greeks Feb 4, 2008 08:46 PM (Total replies: 8)

Thanks for all of the help Steve!


I haven't been able to find open interest for any of the Nasdaq option symbols. All of the google options for example, GOO IT, GOO NT, etc have 0 open interest.

IQFeed Developer Support » Open Interest and The Greeks Feb 3, 2008 10:08 PM (Total replies: 8)

Bizarre - When doing an 'HD' query for an option, I get the proper OHLC values, and the volume looks okay, but Open Interest is set to 0 for every option.

Anyone else getting open interest all 0s?

IQFeed Developer Support » Open Interest and The Greeks Feb 3, 2008 07:30 PM (Total replies: 8)

I see that HD queries return open interest. Does that mean I can only see open interest on a daily basis? Is yesteday's open interest the best I can get or can I get more recent open interest by doing the query for today?

IQFeed Developer Support » Trade vs Tick Feb 3, 2008 07:20 PM (Total replies: 2)

One other question that I had was how to get Trade data. The goal is to compute the average tradesize for a particular symbol. So I need to be able to get a list of all trades on that symbol.

Is the tickdata equivalent? So when I get a tick, I can assume that that tick resulted in a trade?

If not, then how can I go about computing the average trade size for a symbol?

IQFeed Developer Support » Open Interest and The Greeks Feb 3, 2008 11:27 AM (Total replies: 8)

a) How can we determine open interest for a given option? Does IQFeed provide this data somehow?


b) I also want to compute the greeks, I know that I will ned to compute this myself. I have a few formulas I found that show how to do it, not too bad. Curious though, does anyone have code/pseudo-code on how to calculate the greeks they could post?


Cheers,

IQFeed Developer Support » How up-to-date is history? Feb 2, 2008 08:21 PM (Total replies: 1)

If a real-time tick happens at 2pm, at what time will a history tick pull get that tick?

Does it take 20 minutes for the tick to get into the history db,does it take a full day?

Thanks for the info!

IQFeed Developer Support » ERROR - unknown error? Feb 2, 2008 08:17 PM (Total replies: 3)

Well, I've start DTN.IQ with some watchlists again (just like I had setup while the error was occuring).

The error does not occur anymore, even with DTN.IQ going.

I think the error has magically fixed itself, not sure how.. Perhaps a server-side thing?

IQFeed Developer Support » ERROR - unknown error? Feb 2, 2008 08:14 PM (Total replies: 3)

Hmm. It seems to be okay now. I just finished shutting down DTN.IQ which was on while my program was running. Perhaps the problem was a conflict between my own app, and DTNIQ

IQFeed Developer Support » ERROR - unknown error? Feb 2, 2008 07:59 PM (Total replies: 3)

Hi, It's 5pm on Saturday and suddenly I am getting errors on queries that worked fine yesterday (And overnight).

The commands I am sending in Java are:
HM,GOOG,1,1;
HM,GOOG,5,1;
HX,GOOG,1;

None of these work. The line I get back from the socket stream is:

!ERROR! Unknown Error.


This command works though:
SN:YHOO::1::;


What could be going on?

IQFeed Developer Support » Charting Price Jan 31, 2008 01:44 AM (Total replies: 1)

Hi all,

I want to chart a standard price chart, similar to what we see at finance.google.com or biz.yahoo.com etc.

I am wondering the following:

1) Is it recommended to get minute-frequency OHLC data for each data point or is it better to get every tick and find unique ticks per second and use each second as data points?

2) When looking at either of these datasets, I sometimes see large spikes, what techniques do you guys have to drop these spikes (or are they natural, valid data?)

3) Sometimes when getting the minute-based OHLC data I see price flat for 10 or 15 minutes at a time, for graphs like YHOO and ETFC - during regular-trading hours. What might cause this to occur?

4) Does anyone have algorithms, psuedo-code, or code samples of how they are drawing a price chart. The rendering/visuals aren't as important as: a) what data are you pulling from IQFeed and b) what portion of this data is going into the graph itself?


Thanks a lot for discussion around any of these questions..
Edited by shortorlong on Jan 31, 2008 at 01:44 AM


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