Hello,
I'm new to IQFeed and am developing in Java. My short term goal with IQFeed is to implement 5 second OHLC bars (with VWAP for each 5 second bar). So, to do this, it looks like I must request tick data and build the bars myself. I was able to do all of this last night with historical data. So, kudos to you guys for making such an easy to use API. I'm very pleased.
The question I have is how to build my 5 second bars in real time. So, in a perfect world, this is fairly straightforward. Just sit and watch tick data and build my 5 second bars. But, my question is, when do I know that a bar is finished? In other words, on some more illiquid issues, I may not even receive tick data every 5 seconds. So, how to I know when to disseminate a new 5 second bar? My 2nd question has to do with lag. When (for whatever reason), my data feed is lagging, how do I handle that situation? The reason I ask this second question is because I was contemplating issuing a "T<CR><LF>" command every second and when the time changes to the next 5 second interval, I would spit out my previous 5 second bar. But that's problematic if there is lag in receiving tick data.
Any pointers would be greatly appreciated.

Thanks,

Jason Sapp

You might want to look at a recent thread for a shadow of an idea: http://forums.dtn.com/index.cfm?page=topic&topicID=2556. Sync your computer to NTP. Get 1 second events from the API of your choice. Use the periodic event to close out bars and do other related house-keeping. On illiquid instruments, you may even end up having no bars for certain time periods.