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karthikkrishnan has contributed to 22 posts out of 20086 total posts
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20 Most recent posts:
Equities only. Not looking into anything else
Ok. Thanks. One follow up question specific to how historical data is constructed. When you say "bid/ask data historically on the trade, does the data arrive as-is from the exchange or is it constructed by you at the time of trade from quote data. For example, say historical data has a data point
timestamp = 09:30:00.043403
last_price = 241.25
bid = 241.21
ask = 241.3
Is it guaranteed that the bid/ask data here is not from the future ? I guess, I am trying to find if the timestamp corresponding to bid/ask quote is *guaranteed* to be on-or-before the trade tick
Does historical tick data include a way to be able to tell if there was a bid/ask update without any trade happening. I see a relevant discussion in http://forums.iqfeed.net/index.cfm?page=topic&topicID=5722
Specifically, I am trying to assemble a data set that includes trade data as well as NBBO (not looking for depth). Is this possible in historical data ?
That explains it. Thanks!
What does your message look like ? Could you also post the entire line for the rows you are showing. What I posted includes last_trade, bid, ask etc (basically entire feed and I am looking at last price). My row header is
Edited by karthikkrishnan on May 19, 2020 at 08:43 PM
9:55:14 AM 52.925 100 6245693 52.92 52.93 7313 C 19 1 0 24
9:55:14 AM 52.92 100 6245793 52.92 52.93 7314 C 19 1 0 24
9:55:14 AM 52.92 300 6246093 52.92 52.93 7315 C 19 1 0 24
9:55:14 AM 52.925 100 6246193 52.92 52.93 7316 C 19 1 0 24
9:55:14 AM 49.58 1 6246194 52.92 52.93 7317 O 19 8706 0 24
9:55:14 AM 52.925 100 6246294 52.93 52.94 7318 C 19 1 0 24
9:55:14 AM 52.925 100 6246394 52.93 52.94 7319 C 19 1 0 24
9:55:14 AM 52.925 100 6246494 52.93 52.94 7320 C 19 1 0 24
9:55:14 AM 52.925 100 6246594 52.93 52.94 7321 C 19 1 0 24
9:55:14 AM 52.925 100 6246694 52.93 52.94 7322 C 19 1 0 24
9:55:14 AM 52.9201 200 6246894 52.93 52.94 7323 C 19 1 0 24
This is what it looks like (check 49.58 last price at row #6). FYI, I tried it again and see the same anamoly
Edited by karthikkrishnan on May 19, 2020 at 08:05 PM
I see it. My commands look like
HTT,INTC,20200324 093000,20200324 160100,100000000,,,1,,
Can you check again ?
>>>equity exchanges currently do not return Trade Aggressor data
This explains it. Thanks!
I am notice some extreme outliers in tick data. For example INTC on. 2020/03/24 as attached. While it is possible for such extreme black swans, I want to make sure if this is not due to some error in feed. For example, these extremes are also happening on very low volume. So just making sure. Can you confirm ?
Looking into tick data feed for INTC, I see the Trade Aggressor is always 0. Is this expected ?
@stargazer - Thanks for the tips.
@taa - In your setup, is IQfeed launched manually ? I could certainly use more tips from you if you've been successful. I really want to have IQFeed running forever in the background and my client connect whenever needed with minimal intervention. Can multiple clients connect to IQfeed or just one ?
yes, I do use wine using command /opt/wine-stable/bin/wine "/home/ubuntu/.wine/drive_c/Program Files (x86)/DTN/IQFeed/IQLinkLauncher.exe"
This launches which needs a start button clicked manually.
How do I turn on more logging ?
The other recommendation was to use wine which is super flaky. Has anyone been successful with it on a consistent basis on Linux ? I am running on Ubuntu and it fails to launch randomly. Here's how I do it. I have wine with all the dependencies installed.
#1) /opt/wine-stable/bin/wine "/home/ubuntu/.wine/drive_c/Program Files (x86)/DTN/IQFeed/IQLinkLauncher.exe"
This launches which needs a start button clicked manually.
#2) After this, the IQConnect Login window appears [I have save password enabled and Automatically connect enabled]. If I am lucky, this goes through. Many times, I am stuck at #1) where #2) does not even appear.
I have to keep killing #1) and relaunch until #2) is successful. It is random enough that I can't figure out what is happening. Race condition ? Threading Error ?
This is frustrating because without automating data collection via the API on Ubuntu, I don't know how one could use it [Running it on Windows would be rebuilding the entire stack on windows..too cumbersome]. Most vendors these days offer a simple RESTful interface.
Agreed. Not having a proper linux SDK is unbelievable.
I am using wine to run IQFeed and connect using python socket clients. When I run it first time, it connects and downloads the data. If I stop my client and relaunch again, it throws an error as below.
002d:fixme:msvcp:_Locinfo__Locinfo_ctor_cat_cstr (0x32e868 1 C) semi-stub
0032:err:ole:CoUninitialize Mismatched CoUninitialize
002d:err:winediag:IcmpCreateFile Failed to use ICMP (network ping), this requires special permissions.
002d:fixme:msvcrt:__clean_type_info_names_internal (0x1029f8fc) stub
^C0033:fixme:console:CONSOLE_DefaultHandler Terminating process 8 on event 0
0033:fixme:msvcrt:__clean_type_info_names_internal (0x1029f8fc) stub
Has anyone been successful to have a client connect and reconnect at will ? Now I am left to kill the IQfeed process and relaunch and do it all over again [Not a workable solution]. I am surprised we still don't have a good Linux solution.
I am trying the sample code to get daily bar data and no matter what I try, I am unable to get beyond few years. For example,
This should return 5000 datapoints - but the daily datapoint does not return beyond 2016-10-18 (I am using the c# sample as-is). Any idea ? There seems to be few other posts with similar issue.
Thank you! This worked.
Jay - This has been frustrating. My understanding (based on chat) is that I have Developer API subscription (Dave from chat confirmed that). But I am not able to login. And there are no error messages per se.
I still can't see it. What am I missing ? Can you attach a screenshot where I could find ? Mine is attached
I can't find the sample code. Can you help ? I followed the instructions per the doc - but do not see any sample code.