DavidG
-Interested User-
Posts: 8
Joined: Sep 29, 2009
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Posted: Nov 16, 2010 04:06 PM
Msg. 1 of 3
I'd appreciate a bit of feedback on real-time tick data issues that I've been having. I send the following string to the IQFeed client via TCP/IP, and am receiving some odd results. I'm using version 4.7.0.9.
("S,SELECT UPDATE FIELDS,Symbol,Last,Incremental Volume,Total Volume,Bid,Ask,Bid Size,Ask Size,TickID" & vbCrLf)
Maybe the cause of the problems I'm having is that I've got the order backwards above from the way the data is normally provided without the S,SELECT UPDATE FIELDS request (I haven't tried reversing it yet). The documentation pages say that requests can be made with the fields in any order, but maybe there are consequences in doing this?
Some examples of the ticks I get back via TCP/IP for some high volume symbols are given below (I've only added the local time stamp before the line that was returned)
As you can see, I seem to be getting the same tick number for all the ticks for a given symbol over a period of time (assuming the last 6-digit numbers are really tick numbers.) Is that supposed to happen? It looks like at least some of the same tick data is just being repeated several times, but I don't think that is the case. Also, the total volume does not seem to be updating with the tick volume. Is it supposed to? I'm rewriting some parts of my code, so there are probably issues due to that. I don't believe I was ever getting results like this before though.
Thanks, David.
16/11/2010 7:44:52 AM Q,DOW,30.5600,1966915,200,30.5600,30.5700,1800,600,530101, 16/11/2010 7:44:52 AM Q,DOW,30.5600,1966915,200,30.5600,30.5700,1900,600,530101, 16/11/2010 7:44:52 AM Q,DOW,30.5600,1966915,200,30.5600,30.5700,1900,500,530101, 16/11/2010 7:44:52 AM Q,DOW,30.5600,1966915,200,30.5600,30.5700,2000,500,530101, 16/11/2010 7:44:52 AM Q,DOW,30.5600,1966915,200,30.5600,30.5700,2100,500,530101, 16/11/2010 7:44:52 AM Q,DOW,30.5600,1967115,200,30.5600,30.5700,2100,500,530101, 16/11/2010 7:44:53 AM Q,DOW,30.5600,1967215,100,30.5600,30.5700,2100,500,530101, 16/11/2010 7:44:55 AM Q,DOW,30.5600,1967215,100,30.5600,30.5700,2100,600,530101, 16/11/2010 7:44:55 AM Q,DOW,30.5600,1967215,100,30.5600,30.5700,2000,600,530101, 16/11/2010 7:44:55 AM Q,DOW,30.5600,1967215,100,30.5600,30.5700,1900,600,530101, 16/11/2010 7:44:55 AM Q,DOW,30.5600,1967215,100,30.5600,30.5700,1800,600,530101, 16/11/2010 7:44:57 AM Q,DOW,30.5600,1967215,100,30.5600,30.5700,1600,600,530101,
16/11/2010 7:43:58 AM Q,BP,41.8400,2784184,100,41.8400,41.8500,2400,1900,396551, 16/11/2010 7:43:58 AM Q,BP,41.8400,2784184,100,41.8400,41.8500,2400,2000,396551, 16/11/2010 7:43:58 AM Q,BP,41.8400,2784184,100,41.8400,41.8500,2300,2000,396551, 16/11/2010 7:43:58 AM Q,BP,41.8400,2784184,100,41.8400,41.8500,2200,2000,396551, 16/11/2010 7:43:58 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,2000,396551, 16/11/2010 7:43:59 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1800,396551, 16/11/2010 7:43:59 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1900,396551, 16/11/2010 7:43:59 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,2000,396551, 16/11/2010 7:43:59 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1900,396551, 16/11/2010 7:44:00 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1800,396551, 16/11/2010 7:44:00 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1900,396551, 16/11/2010 7:44:01 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,2000,396551, 16/11/2010 7:44:02 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1900,396551, 16/11/2010 7:44:02 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1800,396551, 16/11/2010 7:44:02 AM Q,BP,41.8500,2784384,100,41.8400,41.8500,2200,1800,396551, 16/11/2010 7:44:02 AM Q,BP,41.8500,2784384,100,41.8400,41.8500,2200,1700,396551, 16/11/2010 7:44:02 AM Q,BP,41.8500,2784384,100,41.8400,41.8500,2300,1700,396551,
16/11/2010 7:48:12 AM Q,AAPL,303.1400,5947011,100,303.1000,303.2000,300,300,351756, 16/11/2010 7:48:12 AM Q,AAPL,303.1700,5947111,100,303.1000,303.2000,300,300,351756, 16/11/2010 7:48:12 AM Q,AAPL,303.1800,5947211,100,303.1000,303.2000,300,300,351756, 16/11/2010 7:48:27 AM Q,AAPL,303.1800,5947211,100,303.1200,303.2000,100,300,351756, 16/11/2010 7:48:28 AM Q,AAPL,303.1800,5947211,100,303.1200,303.2000,100,200,351756, 16/11/2010 7:48:29 AM Q,AAPL,303.1800,5947211,100,303.1200,303.2000,100,200,351756, 16/11/2010 7:48:29 AM Q,AAPL,303.1800,5947211,100,303.1200,303.2000,100,300,351756, 16/11/2010 7:48:29 AM Q,AAPL,303.1800,5947211,100,303.1000,303.2000,300,300,351756, 16/11/2010 7:48:29 AM Q,AAPL,303.1996,5947511,300,303.1000,303.2000,300,300,351756, 16/11/2010 7:48:35 AM Q,AAPL,303.1996,5947511,300,303.1000,303.1500,300,100,351756, 16/11/2010 7:49:04 AM Q,AAPL,303.1996,5947511,300,303.1000,303.1500,200,100,351756, 16/11/2010 7:49:05 AM Q,AAPL,303.1996,5947511,300,303.1400,303.1500,100,100,351756, 16/11/2010 7:49:37 AM Q,AAPL,303.1996,5947511,300,303.1400,303.1900,100,100,351756, 16/11/2010 7:49:37 AM Q,AAPL,303.1996,5947511,300,303.1500,303.1900,100,100,351756, 16/11/2010 7:49:37 AM Q,AAPL,303.1996,5947511,300,303.1800,303.1900,2400,100,351756, 16/11/2010 7:49:37 AM Q,AAPL,303.1996,5947511,300,303.1800,303.1900,2500,100,351756, 16/11/2010 7:49:37 AM Q,AAPL,303.1500,5947611,100,303.1800,303.1900,2500,100,351756, 16/11/2010 7:49:37 AM Q,AAPL,303.2000,5947811,200,303.1800,303.1900,2500,100,351756, 16/11/2010 7:49:37 AM Q,AAPL,303.2000,5947911,100,303.1800,303.1900,2500,100,351756, 16/11/2010 7:49:37 AM Q,AAPL,303.2000,5948411,500,303.1800,303.1900,2500,100,351756, 16/11/2010 7:49:37 AM Q,AAPL,303.2000,5948511,100,303.1800,303.1900,2500,100,351756, 16/11/2010 7:49:37 AM Q,AAPL,303.2100,5948611,100,303.1800,303.1900,2500,100,351756, 16/11/2010 7:49:37 AM Q,AAPL,303.2100,5948711,100,303.1800,303.1900,2500,100,351756, 16/11/2010 7:49:37 AM Q,AAPL,303.2100,5948711,100,303.1800,303.1900,3700,100,351756, 16/11/2010 7:49:38 AM Q,AAPL,303.2100,5948711,100,303.1800,303.2100,3700,300,351756, 16/11/2010 7:49:38 AM Q,AAPL,303.2100,5948711,100,303.1800,303.2100,3900,300,351756,
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