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IQFeed Developer Support » How to create bar from tick data Apr 7, 2023 09:28 AM (Total replies: 22)

Thanks! It was the older protocol tripping me up, and a stupid mistake. I was setting the protocol on the admin port but not the history port.

I actually want LabelAtBeginning=1, the 0 in my command was an error. I initially left this parameter off, because I read the default was LabelAtBeginning=1. But I guess the default changed between protocol versions, which is why I later manually specified it (but then did so incorrectly).

Now to fetch a day's data with 0:00 being the first bar, I'm doing:

HIT,@ES#,60,20221101 000000,20221201 000000,,,,,,,s,1\r\n

Which is giving me what I want.

IQFeed Developer Support » How to create bar from tick data Mar 31, 2023 01:37 PM (Total replies: 22)

I basically see it every day:

HIT,@ES#,60,20221101,20221101,,,,,,,0\r\n

Here's the beginning of the reply, 0:00 is missing...

datetime high low open last volume
11/1/2022 0:01 3898 3897.5 3897.5 3897.75 63
11/1/2022 0:02 3897.75 3896.75 3897.75 3897 66
11/1/2022 0:03 3897.25 3896.5 3897 3896.75 60
11/1/2022 0:04 3896.75 3896.25 3896.75 3896.5 72


And here's the response around the transition to overnight trading. 17:00 has a trade, which it shouldn't if we're labeling beginning of period, and 18:00 is missing.

datetime high low open last volume
11/1/2022 16:59 3862.25 3861.75 3862 3862.25 255
11/1/2022 17:00 3862.25 3861.75 3862.25 3861.75 261
11/1/2022 18:01 3865.75 3862.75 3863 3864.25 539
11/1/2022 18:02 3864.5 3863.25 3864.5 3863.25 116

IQFeed Developer Support » How to create bar from tick data Mar 24, 2023 10:55 AM (Total replies: 22)

I'm having some trouble which I think is related to this topic. I'm making a HIT request for @ES#, 60 second interval.

I notice that 0:00:00 is missing for the day and after-hours trading starts at 18:01:00. This would be consistent with LabelAtBeginning being set to 0, but I tried using the default (which should be 1) and explicitly setting this argument to 1, and neither changed the result.

Am I doing something wrong? What am I missing?


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