tarasov has contributed to 12 posts out of 20984 total posts
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Ok, thank you!
Hi, thank you for your answer.
Yes, I'm not subscribed to CBOT and CME. So, does a standard delay equal 10 minutes for all instruments?
I'm trying to request historical 1-minute candles for continuous futures (@YM#, @ES#, @NQ#, @RTY#) for a time range that included the last full minute. It looks like I can get only data that is older than 10 minutes.
Is it kind of standard delay? Is it always 15 minutes?
I didn't find information about delay time in documentation.
Do I understand correctly, that if I need candles data for the last 10 minutes, I have to pay for additional services (CBOT and CME in my case)? And after that, I will be able to request historical candles including last full minute or just subscribe to streaming candles (http://www.iqfeed.net/dev/api/docs/Derivatives_StreamingIntervalBars_TCPIP.cfm), right?
I'm requesting historical 1 minute candles since the very beginning, so I'm using requests like this:
HIT,WIN#,60,20010101 000000,20211206 235959,,,,1,H_0000000000,100,s,0
For three instruments (WIN#, EB#, RDX#) in column 'Period Volume' I'm getting 0 for the some first rows. Here are numbers of zero volume rows and date range for this data:
EB#, 24952, 2006-06-05 17:03:00, 2006-08-16 18:30:00
WIN#, 165668, 2008-08-04 12:03:00, 2009-12-11 20:16:00
RDX#, 442, 2016-07-28 06:49:00, 2016-09-16 13:28:00
I don't have old files now, but I remember that I loaded the same data a few months ago and the data was full, without any zero volume rows.
Is it the correct situation?
I'm loading historical trades data with request 'HTT,PHYS,20210505 000000,20210505 120000,,,,1,H_0000000000,100'.
In trades, I see a strange situation, for all trades in range 2021-05-05 11:12:04.932000-04:00 -- 2021-05-05 11:26:35.608000-04:00 columns tick_id, tot_vlm, bid and ask are zero.
It looks like a problem with the data, can you check it?
It was helpful, thank you very much!
Can you explain one more thing? In the phrase "Send Failed to Client", does "client" mean my application? Not IQFeed client (IQConnect.exe)?
And where can I find a detailed description of IQConnectLog file?
Thank you, for your explanation. I'm already using some of these tips and I will think about others.
I'm working with QIFeed client on the remote host. When I run a few requests (HIT type) simultaneously, I get in IQConnectLog errors that look like this:
STATUS LookupError 292 7 2021-08-29 17:03:35 Queuing HistoryData to Client: Bytes To Send 7243 : Bytes Sent 872 : Bytes Queued 6371
STATUS LookupError 292 7 2021-08-29 17:03:35 Send Failed to Client: Bytes To Send 13690 : Error 10035 : First 256 bytes of data H_0000000000,2021-06-14 04:09:00,16.300,16.250,16.250,16.250,3015,97,0,
But eventually, I get the same data as with one request without errors (I saved it in files and compared). I suppose that after an error in data sending IQFeed sends it again unless I get all the necessary data, but I'm not sure. Can someone confirm that I will get all data I need when I do parallel requests and see errors like this? Or give me some advice where can I read about it, may be some documentation?
Can you explain me how calculates daily data for assets from CME, which traded since 6:00 p.m. to 5:00 p.m. ET next day. I suggest that daily data in this case includes all data for trading session and labled as second day (I mean 2021-03-08 includes 2021-03-07 18:00 ET - 2021-03-08 17:00 ET). Is it correct?
I'm sure that both queries were HIT type, so it means that both of them were "Interval history" type, right?
Thank you, I will wait for results of your investigation.
I worked with API for the last week and I faced a situation I can't understand, I hope you can help me.
In the beginning of the last week (19.10.2020) I loaded 1-minutes bars for AAPL for period 2013-01-01 - 2020-10-16 with request HIT. I saved this data and after a couple of days (21.10.2020) I loaded the same data again, with the same request. I compared this data using pandas (datetime column in index, merge and calculating differences between corresponding columns) and saw that there are differences between old and new files.
I'm attaching a file with differences to the post, I hope you can look at this. Differences mostly in volume, but there are a few differences for prices too. Can you explain to me what data are correct, old one or new one and how is it possible, that so old data (2016 and 2018 years) was changed?
I tried to get a specific request from the package I use and I think it is
HIT,AAPL,60,20130101 000000,20201016 235959,"","","",True,1,100,s,True<CR><LF>
Time in file in GMT.