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» Streaming / Derivative data not working
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| Author | Topic: Streaming / Derivative data not working (6 messages, Page 1 of 1) |
 opttrade -Interested User- Posts: 25 Joined: Nov 7, 2016 |
Posted: Oct 21, 2018 09:45 AM
Msg. 1 of 6
Hi,
I try to build realtime charts for stocks, but the derivative data are not working as expected. Sample: BW,AAPL,3600,,5,100,,,,s,,0 this gives back hourly bars as expected. But I try to get daily bars showing the last bar in realtime. I use 86400 seconds for a day (as written in documentation) BW,AAPL,86400,,5,100,,,,s,,0 result: E,INVALID PARAMETERS FOR BW REQUEST It seems, that the largest possible interval is 2 hours (7200 seconds). It's also not possible to create a derivative request for 3 (10800) or 4 hours (14400). Is there a bug in documentation, a bug in the client (6.0.0.5), a limit for interval or do I completly missunderstand something? The requests can easily be reproduced with the sample client. br Erich |
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altmany -Interested User- Posts: 73 Joined: Jul 30, 2018 
IQML - IQFeed-MATLAB connector |
Posted: Oct 21, 2018 01:09 PM
Msg. 2 of 6
I see the same buggy behavior as you do. This query used to work well until recently. In fact, it was just a month ago that the documentation was modified to reflect that "Second interval values must be 1 or greater and less than 1 day (86400)".
Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's - Yair IQML - IQFeed-Matlab connector https://UndocumentedMatlab.com/IQML |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005 
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Posted: Oct 22, 2018 02:20 PM
Msg. 3 of 6
I have confirmed that these extra limits are on the streaming bars implementation.
The limits that were updated recently apply to Historical data requests but streaming bars adds the extra limitation on time series bars where the only valid interval values are: All valid values < 300 (5min). All values between 300 and 3600 must be divisible by 60 (so only multiples of 1-minute bars). Only 3600 (1hr) or two hour (7200) bars. I'll get the documentation updated to reflect this for now and discuss with our server/product people about the necessity of these extra limits for the future. |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005
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Posted: Oct 23, 2018 02:09 PM
Msg. 4 of 6
Hello, I have updated the documentation to correctly note the limitations in the code (as detailed in my above post).
Unfortunately, the Streaming Bars functionality cannot be used to create daily bars. The custom Interval bar historical data (even without streaming bars) is limited to less than 1 day as the maximum interval. We have a daily historical bar lookup to service that purpose (just not available on the streaming bar port). altmany, you mentioned in your post that a request used to work better until recently. Can you clarify what specific change you are referring to? As far as I can tell, this code hasn't changed since it was introduced. The documentation update that you noticed recently did not change behavior but was simply an (failed) attempt to document the existing behavior. |
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altmany -Interested User- Posts: 73 Joined: Jul 30, 2018
IQML - IQFeed-MATLAB connector |
Posted: Oct 24, 2018 01:07 AM
Msg. 5 of 6
Steve - I believe that I got confused with the historic interval bars mechanism, i.e. apparently I used larger interval sizes only with historic bars, but smaller sizes with live bars. Since the documentation of historic and streaming bars was exactly the same, I naturally assumed that they use the same back-end processing mechanism, and so they got merged in my mind into a single mechanism.
I understand the limitation on a streaming daily bar, but I suggest that you remove the restrictions on smaller interval sizes, so that (for example) it would be possible to request streaming bars of 1.5, 3, 4 or 5 hours. Separately, it would be very useful if you could improve the reported error message, which currently simply states "INVALID PARAMETERS FOR BW REQUEST". It is sometimes hard to understand which parameter caused a query rejection. It would be helpful to know which parameter is at fault ("Invalid parameter IntervalSize for BW request"), and even better to know the reason ("Invalid parameter IntervalSize for BW request: must be <300, or 300-3600 in multiples of 60, or 7200"). This suggestion applies to many other query types as well, which return a generic rejection error message. Note: I am not a DTN employee; my post reflects my personal opinion and not necessarily DTN's - Yair IQML - IQFeed-Matlab connector https://UndocumentedMatlab.com/IQML |
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opttrade -Interested User- Posts: 25 Joined: Nov 7, 2016 |
Posted: Oct 24, 2018 01:49 AM
Msg. 6 of 6
Steve,
many thanks for clarifying and updateing the documentation. No good news to hear that daily streaming bars are not available "out of the box". I've to build daily charts reflecting the RTH (0930-16:00) only. So building the volume of the latest bar is a little bit tricky and will result in additional work on my side. I have to aggregate eg hourly derivative bars to the latest daily "streaming" bar by myself... Many thanks for your support! Erich |
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