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»Forums Index »IQFeed Developer »IQFeed Developer Support »market snapshot api
Author Topic: market snapshot api (10 messages, Page 1 of 1)

Larry jag
-Interested User-
Posts: 30
Joined: Dec 28, 2015


Posted: Aug 29, 2019 09:02 AM          Msg. 1 of 10
I'd like to know some more info on the market snapshot being added to iqfeed 6.1.

Any documentation on what can be received in the snapshot, and a sample API to call? Are there any limitations etc?

There was an older thread about getting a snapshot of expired options:
http://forums.iqfeed.net/index.cfm?page=topic&topicID=3326

But is this all what this new feature is about?

Larry jag
-Interested User-
Posts: 30
Joined: Dec 28, 2015


Posted: Aug 30, 2019 10:51 AM          Msg. 2 of 10
It would also be nice to see a snapshot sample file.

Thanks.

Larry jag
-Interested User-
Posts: 30
Joined: Dec 28, 2015


Posted: Sep 3, 2019 03:55 PM          Msg. 3 of 10
Hi...Any updates?

DTN_Gary_Stephen
-DTN Evangelist-
Posts: 104
Joined: Jul 3, 2019


Posted: Sep 3, 2019 05:14 PM          Msg. 4 of 10
Larry,

Hello, this is Gary with DTN IQFeed API Support. I apologize for the delay in responding.

Here's the documentation about the Market Summary info: http://www.iqfeed.net/dev/api/docs/docsBeta/MarketSummaryviaTCPIP.cfm

To summarize, there are three types of requests: EDS, FDS, and 5MS. Each allows you to retrieve a market summary, based on a commodity type and exchange. EDS and FDS are daily, while 5MS is a five minute snapshot.

The syntax is:

EDS,Security Type,Group ID,Date

For example:

EDS,1,5,20190903

would return a daily market summary for Equities (code 1) on the NASDAQ exchange (code 5) for September 3, 2019.

You can view a list of the codes with the following commands (which are also listed at http://www.iqfeed.net/dev/api/docs/docsBeta/SymbolLookupviaTCPIP.cfm):

SST

returns a list of security types:

1,EQUITY,Equity,
2,IEOPTION,Index/Equity Option,
3,MUTUAL,Mutual Fund,
4,MONEY,Money Market Fund,
5,BONDS,Bond,
6,INDEX,Index,
7,MKTSTATS,Market Statistic,
8,FUTURE,Future,
9,FOPTION,Future Option,
10,SPREAD,Future Spread,
...
38,PETROCHEMWIRE,PetroChemWire,
39,FOPTION_IV,FOption Implied Volatility,
40,GENERICRPT,Generic Report,

SLM returns a list of markets:

1,NGM,Nasdaq Global Market,5,NASDAQ,
2,NCM,National Capital Market,5,NASDAQ,
3,OTC,Nasdaq other OTC,5,NASDAQ,
4,OTCBB,Nasdaq OTC Bulletin Board,5,NASDAQ,
5,NASDAQ,Nasdaq,5,NASDAQ,
6,NYSE_AMERICAN,NYSE American (Equities and Bonds),6,NYSE_AMERICAN,
7,NYSE,New York Stock Exchange,7,NYSE,
...
181,COP-LION,Crude Oil Postings Lion,170,COP-HUNT,
182,COP-SUNOCO,Crude Oil Postings SUNOCO,170,COP-HUNT,
183,RIM,RIM Intelligence,182,COP-SUNOCO,

The response is a list of all symbols that match your commodity type and market:

20190903,AAAIF,3,1,0.0550,50000000,3,20190624,140225,,,,0.0550,,,,,,,0,250,0,0,0,0,0,0,0,,,,,,,,
20190903,AAALF,3,1,30.4900,58000,3,20190325,110919,,,,30.4900,,,,,,,0,1400,0,0,0,0,0,0,0,,,,,,,,
20190903,AAALY,3,1,27.2772,100,3,20160429,102841,,,,27.2772,,,,,,,0,13,0,0,0,0,0,0,0,,,,,,,,
20190903,AAARF,3,1,0.7800,1000,3,20171229,132835,,,,0.7800,,,,,,,0,3,0,0,0,0,0,0,0,,,,,,,,
...
20190903,ZZHGF,3,1,3.7500,200,3,20190410,134508,,,,3.7500,,,,,,,0,13600,0,0,0,0,0,0,0,,,,,,,,
20190903,ZZLL,3,1,0.1100,300,3,20190827,111802,,,,0.1100,,,,,,,0,300,0,0,0,0,0,0,0,,,,,,,,
20190903,ZZZOF,3,1,0.0169,842,3,20190903,143407,0.0245,0.0245,0.0169,0.0200,,,,,,,4467,122500,292,3842,333,5,1,2,1,0.0227,,,,,,,

I hope that answers your question! If you have any follow-up questions, please let me know!

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Larry jag
-Interested User-
Posts: 30
Joined: Dec 28, 2015


Posted: Sep 3, 2019 07:22 PM          Msg. 5 of 10
I tried the above with v6.1 client.

I just used telnet, and set the protocol to 6.1 (worked)
Then did your command above (EDS,1,5,20190903)
and got an app crash in iqconnect.exe...but the data did come in all the way to zzzof....i guess thats why it is in beta still :)

Problem signature:
Problem Event Name: APPCRASH
Application Name: iqconnect.exe
Application Version: 6.1.0.19
Application Timestamp: 5d650e2b
Fault Module Name: StackHash_a3f4
Fault Module Version: 6.1.7601.18247
Fault Module Timestamp: 521ea8e7
Exception Code: c0000374
Exception Offset: 000ce753
OS Version: 6.1.7601.2.1.0.256.1
Locale ID: 1033
Additional Information 1: a3f4
Additional Information 2: a3f47b376b11670e11c776e7705e851d
Additional Information 3: 31a3
Additional Information 4: 31a3586f4bc16981f46e1165fc9612cf

DTN_Gary_Stephen
-DTN Evangelist-
Posts: 104
Joined: Jul 3, 2019


Posted: Sep 4, 2019 08:35 AM          Msg. 6 of 10
Larry,

We are aware of this error and are working on a fix.

Sincerely,
Gary Stephen

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

DTN_Gary_Stephen
-DTN Evangelist-
Posts: 104
Joined: Jul 3, 2019


Posted: Sep 4, 2019 01:21 PM          Msg. 7 of 10
UPDATE: Beta version 6.1.0.20 has been posted, which will resolve this issue. It can be downloaded from the usual location, http://www.iqfeed.net/index.cfm?displayaction=support§ion=download .

Please let me know if this does not resolve this issue, or if you run into any other problems!

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Larry jag
-Interested User-
Posts: 30
Joined: Dec 28, 2015


Posted: Sep 11, 2019 09:42 PM          Msg. 8 of 10
Correct me if I am wrong, but the EDS command looks like it only returns the last trade of the security for the day.
ie:
EDS,2,14,20190911

Returns the last option trade for the day for all symbols from the OPRA exchange. It would have been nice to get all trades for each symbol on the exchange. (any plans for that in the future)?


Does the 5MS do the same thing on a 5 min basis? the most recent trade in the last 5 min?

DTN_Gary_Stephen
-DTN Evangelist-
Posts: 104
Joined: Jul 3, 2019


Posted: Sep 13, 2019 11:16 AM          Msg. 9 of 10
Larry,

You are correct. The EDS and FDS commands are End of Day summaries, so that's the data they will return.

5MS retrieves a snapshot of the market where data is collected every 5 minutes.

I don't know if a command to return all trades from a market would be feasible, as that would return a very large amount of data. You could put together your own function, by gathering symbols from an EDS or FDS command, then doing a history command on each. Bear in mind the API limits you to 15 concurrent history requests, so it would take a long time to process all of them.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Larry jag
-Interested User-
Posts: 30
Joined: Dec 28, 2015


Posted: Sep 13, 2019 10:22 PM          Msg. 10 of 10
Thank you Gary.

Before I dig into this deeper development wise, do you know if there will be an extra charge for these new APIs?

I wouldn't want to spend time on these if the cost is high, and new sub fees would be required.
 

 

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