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Viewing User Profile for: jayflatland
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Joined: Jun 20, 2019 03:09 PM
Last Post: Oct 11, 2019 03:38 PM
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jayflatland has contributed to 13 posts out of 21185 total posts (0.06%) in 1,775 days (0.01 posts per day).

20 Most recent posts:
Data and Content Support » Unusual Quote Delays from QGC# Oct 11, 2019 03:38 PM (Total replies: 3)

Okay cool, glad you're on it.
Jay

Data and Content Support » Unusual Quote Delays from QGC# Oct 11, 2019 12:59 PM (Total replies: 3)

To clarify, the latencies I'm seeing are around 2 seconds when this is happening. When it's not 60ms or so is normal.
Jay

Data and Content Support » Unusual Quote Delays from QGC# Oct 11, 2019 12:57 PM (Total replies: 3)

I've been noticing sporadic delays in getting live quote data from symbol QGC#. I see it for several minutes relatively sustained, and then it stops. Some days are entirely clean, some are not. I've attached a chart showing the latencies I've seen from today. This seems different to me than normal bursts of activity - the regularity makes it seem like your server handling QGC# has some unexpected loading on it. I don't see this pattern on other symbols (as far as I've looked).
Jay

Data and Content Support » Basis for Last Trade - Qualified Trade vs Other? Aug 5, 2019 02:21 PM (Total replies: 5)

Interesting, thanks again. By mapping to exchange, I mean can I go to the ICE market data spec somewhere and see a message flag that says "Implied trade"? Just wondering if it's possible for me to try to walk through exchange docs to figure these things out, or do I just need to post questions here?
Jay

Data and Content Support » Basis for Last Trade - Qualified Trade vs Other? Aug 5, 2019 11:02 AM (Total replies: 5)

Ah, interesting, thanks! Is the non-qual from spread volume ICE specific, or more general? Is there a way to map this onto ICE market data documentation?

Thanks again, that's super helpful and interesting to know!
Jay

Data and Content Support » Basis for Last Trade - Qualified Trade vs Other? Aug 3, 2019 06:35 AM (Total replies: 5)

With respect to the "Basis for Last Trade" field in tick data, what is the difference between a qualified trade (C or E) and not qualified (O)? It appears "O" is not included in interval data, but is in tick data. For CRD# at ICEEC, this happens to be a quite large amount of volume, around 75% of the volume is marked "O" and thus excluded from intervals.

Jay
Jay

New IQFeed Forum » Is Historical Level 1 Tick Data Available? Jun 21, 2019 01:54 PM (Total replies: 4)

Okay thanks, just wanted to be sure I wasn't just missing the option somewhere. Quotes will be nice when it comes!

Thank you!
Jay
Jay

New IQFeed Forum » Is Historical Level 1 Tick Data Available? Jun 21, 2019 01:43 PM (Total replies: 4)

Does that work for historical data? What you sent seems to be just for streaming real-time.

Jay
Jay

New IQFeed Forum » Is Historical Level 1 Tick Data Available? Jun 21, 2019 11:35 AM (Total replies: 4)

For historical tick data, I see just trades, with bid/ask included. Is level 1 data available? By that I mean bid size/ask size, and ticks whenever they change?

Jay
Edited by jayflatland on Jun 21, 2019 at 11:36 AM

New IQFeed Forum » Historical Tick Data Beyond 8 Days Jun 21, 2019 11:27 AM (Total replies: 2)

Oh I see...I just have to pull the data outside of regular market hours. Got it. Thanks!
Jay

New IQFeed Forum » Historical Tick Data Beyond 8 Days Jun 21, 2019 09:27 AM (Total replies: 2)

I'm only able to get 8 days back of tick data. I believe there should be 180?

HTT,SPY,20190612 100000,20190612 101000,,,,1,,
E,!NO_DATA!,,
!ENDMSG!,

One day later produces data as expected:

HTT,SPY,20190613 100000,20190613 101000,,,,1,,
2019-06-13 10:09:57.563401,289.0100,100,8020385,289.0000,289.0100,808545101,C,26,01,
2019-06-13 10:09:57.563410,289.0100,100,8020485,289.0000,289.0100,808597071,C,18,01,
2019-06-13 10:09:57.563511,289.0100,200,8020685,289.0000,289.0100,809842247,C,11,01,
2019-06-13 10:09:57.563546,289.0100,100,8020785,289.0000,289.0100,809842248,C,11,01,
2019-06-13 10:09:57.736460,289.0100,200,8020985,289.0100,289.0200,959797303,C,19,01,
2019-06-13 10:09:58.003046,289.0200,200,8021185,289.0100,289.0200,808597072,C,18,3D,
2019-06-13 10:09:58.532882,289.0150,176,8021361,289.0100,289.0200,959852609,C,19,01,
2019-06-13 10:09:58.581828,289.0197,500,8021861,289.0100,289.0200,842151993,C,24,01,
2019-06-13 10:09:58.631686,289.0150,58,8021919,289.0100,289.0200,878195037,O,5,87,
2019-06-13 10:09:58.668081,289.0137,7,8021926,289.0100,289.0200,959852627,O,19,87,
2019-06-13 10:09:58.749871,289.0150,400,8022326,289.0100,289.0200,959852853,C,19,01,
2019-06-13 10:09:58.794137,289.0110,50,8022376,289.0100,289.0200,808481883,O,28,87,
2019-06-13 10:09:59.053357,289.0100,100,8022476,289.0100,289.0200,809842250,C,11,01,
Jay

New IQFeed Forum » Timestamp Resolution for Tick Data Jun 20, 2019 03:39 PM (Total replies: 2)

BINGO! My mistake was I just connected and sent my command. I needed to send the "S,SET PROTOCOL,6.0" command immediately after connection. Works now!

Thanks!
Jay
Jay

New IQFeed Forum » Timestamp Resolution for Tick Data Jun 20, 2019 03:11 PM (Total replies: 2)

Is it possible to get fractions of a second timestamps for tick data? I do this:

HTT,@NQU19,20190620 000000,20190620 170500,,,,1,,

And I see:

2019-06-20 16:05:38,7766.50,1,492761,7766.50,7766.75,232575516,0,0,C,
2019-06-20 16:05:38,7766.50,1,492762,7766.50,7766.75,232575518,0,0,C,
2019-06-20 16:05:38,7766.50,1,492763,7766.50,7766.75,232575518,0,0,C,
2019-06-20 16:05:38,7766.50,1,492764,7766.50,7766.75,232575521,0,0,C,
2019-06-20 16:05:38,7766.50,1,492765,7766.50,7766.75,232575522,0,0,C,
2019-06-20 16:05:38,7766.50,3,492768,7766.25,7766.50,232575523,0,0,C,
2019-06-20 16:05:38,7766.50,1,492769,7766.25,7766.50,232575523,0,0,C,
2019-06-20 16:05:38,7766.50,1,492770,7766.25,7766.50,232575523,0,0,C,

I was under the impression timestamps went down to microseconds...
Jay


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