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»Forums Index »IQFeed Developer »IQFeed Developer Support »Only TRADES for "HIT" historical data requests?
Author Topic: Only TRADES for "HIT" historical data requests? (9 messages, Page 1 of 1)

bbmat
-Interested User-
Posts: 30
Joined: Mar 31, 2014


Posted: Dec 22, 2019 06:39 AM          Msg. 1 of 9
Am I correct in my assumption that HIT historical data requests are built from trades?

My question then is whether I can request historical bar/ohlc data that are not comprised of trades but of bid and ask prices? For example, a 1-minute bar of bids would contain the open bid in that 1-minute time span, the highest bid, the lowest bid and the closing bid. How can I obtain ohlc data based on bids or offers?

The historical tick data requests are not really suitable to my need as I sometimes need to request data that are older than what tick data allow access to.

altmany
-Interested User-
Posts: 49
Joined: Jul 30, 2018

IQML - IQFeed-MATLAB connector


Posted: Dec 22, 2019 06:56 AM          Msg. 2 of 9
It is my understanding that only historic trades are stored/reported by IQFeed. The amount of data that would be required to store non-trading ticks would be simply enormous and so AFAIK IQFeed does not offer it.

You can create your own database of bid/ask OHLC bars by streaming all quotes using the w[symbol] (don't use t[symbol] because this streams only trades).

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

bbmat
-Interested User-
Posts: 30
Joined: Mar 31, 2014


Posted: Dec 22, 2019 07:46 AM          Msg. 3 of 9
I guess you are referring to tick data requests (HTT) requests. I just tested and yes, HTT tick data requests only return trades.

But I was specifically referring to open-high-low-close bar data at a minimum granularity of 1-minute. It is not an enormous data requirement and would only require 8 additional time series per symbol on their server to store, 4 for the bid (o/h/l/c) and 4 for the offer (o/h/l/c).

If the IQFeed API does not allow for the retrieval of bids and offers then the historic data function are completely worthless for options. Most options trade at most once even per hour.

I need the bid and offer to align with the bid and offer of the underlying in order to generate a volatility surface. Only being able to obtain historical option trades makes absolutely no sense as most option trades are stale.

altmany
-Interested User-
Posts: 49
Joined: Jul 30, 2018

IQML - IQFeed-MATLAB connector


Posted: Dec 22, 2019 08:25 AM          Msg. 4 of 9
I don't want to answer in DTN's stead, but I think you are underestimating the required effort to have HIT support for non-trading ticks. Remember that HIT enables specifying an interval of not just 60 secs but even a couple of secs, as well as any number of ticks (i.e., not a fixed-duration interval) and volume. To support all of these combinations with a custom interval size by the users, IQFeed would be required to store and process every single tick. This may not seem much for out-of-the-money options, but it would be an enormous amount of data for Forex options or S&P 500 equities (for example). In short, except for certain asset classes, it is an unrealistic expectation to support. And if IQFeed were to support non-trading ticks with only these certain asset types, users would naturally complain that all other asset types are not similarly supported.

Note that I am not a DTN employee and this is just my own personal opinion.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

bbmat
-Interested User-
Posts: 30
Joined: Mar 31, 2014


Posted: Dec 22, 2019 08:36 AM          Msg. 5 of 9
Well, I never argued that quote data are not resource intense. Hence there is no point to further argue about this. I just need to know whether historical option bid and ask prices are anywhere available, via additional premium subscription or not. If not I will need to cancel my service and api subscription as I need those data now.

Other data providers seem to offer it. Interactive Brokers does but it has too restrictive data request throttles and pacing. But livevol pro does offer historical option quotes,not just trades.

So again, my question to dtn staff is: are historical option quotes (bid/ask) available, and I don't mean the bid and ask quotes that are stored alongside trades in HTT responses.

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


Posted: Dec 22, 2019 02:51 PM          Msg. 6 of 9
BBMat,

Currently, the HIT command will return only data from trades, not bids/asks. It sounds like you want a history of bid/ask data, correct? The forthcoming IQFeed 6.2 will have expanded book capabilities, but I don't know the details of yet.

Sincerely,
Gary Stephen
DTN IQFeed API Support

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

bbmat
-Interested User-
Posts: 30
Joined: Mar 31, 2014


Posted: Dec 22, 2019 08:04 PM          Msg. 7 of 9
Hi Gary,

So, can you confirm that iqfeed as of right now does not allow for the retrieval of any historical bid/ask quotes?

DTN Todd
-Interested User-
Posts: 52
Joined: Mar 24, 2010


Posted: Dec 22, 2019 08:09 PM          Msg. 8 of 9
Yes that is correct, bid/ask historical data is not currently available

Thanks

bbmat
-Interested User-
Posts: 30
Joined: Mar 31, 2014


Posted: Dec 22, 2019 08:10 PM          Msg. 9 of 9
Thanks, Todd
 

 

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