This is less of a problem question than an education question. I am a user of IQFeed using Ninja Trader and Neuroshell Trader. Obviouly they have hidden all of the complexity from their end user.

We have an in-house Risk System that we are trying to add functionality to i.e. real-time position valuation etc. We currently are pulling yahoo quotes, which are delayed, so we have some understanding of pulling data in and consuming it.

I started this week and thanks to some examples c# examples sent on Wednessday, we are already getting some results.

I have a few questions making history and fundamental requests:
1) using the sample apps I am trying to construct a request that gives me for a specific security
a) yesterdays close b) the current high, low, accumulated volume for today and c) it would be nice to have the symbol description/company name.

I can't seem to put together an HXX request that will give it to me. It also seems like I have to make a fundamental request just to get a symbol title. Getting a quick real time quote is easy with HTX for example.

Can someone offer some suggestions how to piece together a request or two that can give me what I want... realtime last price, open high low for the day and yesterdays close and maybe the symbol title.

There is no request you can make to the history data that will include the symbol description. You could use a Symbol Lookup request to get that information or we also publish this in our symbol file that is updated daily (http://www.dtniq.com/product/mktsymbols_v2.zip).

There is also no History request that you can make during the trading day which will give you current "official" OHLC information for that day (you can get previous days but not the current day until after market close).

It sounds to me like what you really want to be using to get the information you want is realtime streaming quotes with dynamic fieldsets turned on to only get updates for the Open, High, Low, Close, and Volume. This will give you the Fundamental data snapshot (which will include the symbol description) when you initially watch the symbol and you will also get the current OHLCV information as it updates from the feed.
-edit- corrected mktsymbols link
Edited by DTN_Steve_S on May 7, 2010 at 11:42 AM

Yes, I beleive you are right. I have been looking at the C++ sample apps and running them. Right now my app is not ready to receive streaming quotes, but I could just watch a symbol and pull off the first two messages the F and P to get everything I need for now, then just remove it.

This will give me on demand real-time. I have several adaptations to make to my app to listen and respond to Q messages coming in.

Thank you