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»Forums Index »IQFeed Developer »IQFeed Developer Support »Why realtime bars data is not the same as history?
Author Topic: Why realtime bars data is not the same as history? (5 messages, Page 1 of 1)

bambaleo
-Interested User-
Posts: 3
Joined: Oct 23, 2019


Posted: Oct 23, 2019 01:38 AM          Msg. 1 of 5
Hello,

I've come across strange issue:

I subscribed realtime bars data using BW request via derivatives port and got:

BC,@VX#C,2019-10-22 10:29:00,16.100,16.100,16.100,16.100,13604,8,,
BC,@VX#C,2019-10-22 10:30:00,16.100,16.150,16.100,16.100,13563,3,,
BC,@VX#C,2019-10-22 10:31:00,16.100,16.100,16.100,16.100,13730,16,,
BC,@VX#C,2019-10-22 10:32:00,16.100,16.150,16.090,16.100,14938,964,,
BC,@VX#C,2019-10-22 10:33:00,16.100,16.100,16.100,16.100,15603,637,,
BC,@VX#C,2019-10-22 10:34:00,16.100,16.150,16.100,16.150,16028,338,,
BC,@VX#C,2019-10-22 10:35:00,16.150,16.160,16.140,16.150,16634,577,,


then I requested bars (HIT request) using lookup port

42,2019-10-22 10:29:00,16.150,16.100,16.100,16.150,13607,11,
42,2019-10-22 10:30:00,16.150,16.100,16.100,16.100,13783,3,
42,2019-10-22 10:31:00,16.100,16.100,16.100,16.100,13950,16,
42,2019-10-22 10:32:00,16.150,16.100,16.100,16.100,15371,1177,
42,2019-10-22 10:33:00,16.100,16.100,16.100,16.100,16036,637,
42,2019-10-22 10:34:00,16.150,16.100,16.100,16.150,16461,338,
42,2019-10-22 10:35:00,16.150,16.150,16.150,16.150,17083,593,

Lookup port data has more aggregated ticks in comparison with data from derivatives port.
Also If I request history ticks, I get more records than Level1 ticks.
Why? Is there any way to receive the same data from Level1, Lookup and Derivatives ports?

Regards

DTN_Gary_Stephen
-Interested User-
Posts: 96
Joined: Jul 3, 2019


Posted: Oct 23, 2019 03:57 PM          Msg. 2 of 5
I am looking into this now, and will post an answer soon.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

bambaleo
-Interested User-
Posts: 3
Joined: Oct 23, 2019


Posted: Dec 3, 2019 07:53 AM          Msg. 3 of 5
any news?

DTN_Gary_Stephen
-Interested User-
Posts: 96
Joined: Jul 3, 2019


Posted: Dec 3, 2019 10:47 AM          Msg. 4 of 5
Yes, I apologize for not replying until now. But I can answer your question:

The HIT function defaults to having the time label at the beginning of the interval. So in your example:

HIT,@VX#C,60,20191022 102800,20191022 103400,,,,1

2019-10-22 10:28:00,18.300,18.250,18.250,18.300,13607,11,0,
2019-10-22 10:29:00,18.300,18.250,18.250,18.250,13783,3,0,
2019-10-22 10:30:00,18.250,18.250,18.250,18.250,13950,16,0,
2019-10-22 10:31:00,18.300,18.250,18.250,18.250,15371,1177,0,
2019-10-22 10:32:00,18.250,18.250,18.250,18.250,16036,637,0,
2019-10-22 10:33:00,18.300,18.250,18.250,18.300,16461,338,0,
2019-10-22 10:34:00,18.300,18.300,18.300,18.300,17083,593,0,

The time period designated 10:29:00 is the beginning of the interval; this interval covers the time from 10:29:00 to 10:29:59.99999. It is possible to make this request such that the time period labeled 10:29:00 ends at 10:29 instead of starting at 10:29. That parameter is called LabelAtBeginning, and you have to enter a 0 there:

HIT,@VX#C,60,20191022 102800,20191022 103400,,,,1,,,,0

This will return:

2019-10-22 10:29:00,18.300,18.250,18.250,18.300,13607,11,0,
2019-10-22 10:30:00,18.300,18.250,18.250,18.250,13783,3,0,
2019-10-22 10:31:00,18.250,18.250,18.250,18.250,13950,16,0,
2019-10-22 10:32:00,18.300,18.250,18.250,18.250,15371,1177,0,
2019-10-22 10:33:00,18.250,18.250,18.250,18.250,16036,637,0,
2019-10-22 10:34:00,18.300,18.250,18.250,18.300,16461,338,0,
2019-10-22 10:35:00,18.300,18.300,18.300,18.300,17083,593,0,

The time period designated 10:29:00 is now the time period beginning at 10:28:00.0000001 and ending at 10:29:00. You can see that the time period with 11 volume is labeled 10:28 in the first example and 10:29 in the second. So you can make the timeframes of the history command match those of a watch command if you want.

Sincerely,
Gary Stephen
DTN IQFeed API Support

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

bambaleo
-Interested User-
Posts: 3
Joined: Oct 23, 2019


Posted: Dec 3, 2019 11:33 AM          Msg. 5 of 5
Thanks for response, but time labelling is not the case.

In your example nothing changes except timestamps.

In my case volume values are completely different:

realtime:
BC,@VX#C,2019-10-22 10:32:00,16.100,16.150,16.090,16.100,14938,964,,

volume=964

history:
42,2019-10-22 10:32:00,16.150,16.100,16.100,16.100,15371,1177,

volume=1177

It doesn't look like LabelAtBeginning issue
 

 

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