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Viewing User Profile for: DTN_Tim Walter
About Contact
Joined: Apr 25, 2006 12:17 PM
Last Post: Dec 5, 2017 10:49 AM
Last Visit: Dec 13, 2017 12:16 PM
Website: http://www.dtniq.com
Location: Omaha, NE
Occupation: DTNIQ Customer Support Representative
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DTN_Tim Walter has contributed to 1093 posts out of 18269 total posts (5.98%) in 4,255 days (0.26 posts per day).

20 Most recent posts:
IQFeed Developer Support » Availability Of Same Day Tick Data. Dec 5, 2017 10:49 AM (Total replies: 3)

Extended trading for U.S. equities continues until 8pm EST. If you just wanted regular trades you could do your request at anytime after 4:00, but you would want to filter any trades not of type C from your returns.

Tim
Edited by DTN_Tim Walter on Dec 5, 2017 at 10:49 AM

IQFeed Developer Support » Availability Of Same Day Tick Data. Dec 5, 2017 09:06 AM (Total replies: 3)

Tick data can be retrieved at anytime, but to get the full day of trading, it is a per contract item. Some, like Forex trade on through to midnight, equities trade until 8pm, commodities are all over the place for end times. And if you wait too long, then you get ticks that are part of the next trading day. Additionally, with commodities, settles are sent outside of market hours, so if you want to get that message you need to allow time for that. So it really is going to take a little research for each to determine.

In the case of @ES, per the CME website, market hours are 6pm to 5pm EST. And the settle is delivered midday, so anytime after that 5 o'clock time frame should be fine I would think.

Tim

Data and Content Support » Symbol disambiguation Nov 25, 2017 12:13 PM (Total replies: 1)

Hello,

We rename the exchange symbols, when needed, to a unique value so you don't have to worry about that within our feed.

Tim

DTNIQ Client Software Wish List » amd64 version? Nov 15, 2017 04:18 AM (Total replies: 1)

Good morning,

This is something we have looked at, but have always had enough customers using older architectures that we did not want to pull the trigger. I agree, it is certainly due.

I will put in a request on your behalf and we can see if it makes sense to get this added to our queue.

Tim


Hi Matt, The default ports are all set in your registry. You can change them in the HKCU\Software\DTN\IQFeed\Startup folder. All of the default port settings are held there.

Tim


We do recommend loading it each day at startup to be safe, but other than adds and short/long name changes, you should be safe.

Tim


Thanks, I cleaned those up.

Listed markets, trade conditions, and most lookups are all updated on the fly, but normally updates are pushed out over the weekend.

The chains look like they update every morning by around 5 EST.

Tim

Data and Content Support » lower case 'n' message type Nov 7, 2017 09:26 AM (Total replies: 1)

Good morning,

Documentation for this message is the second to last on this page.
http://www.iqfeed.net/dev/api/docs/Level1viaTCPIP.cfm

In this case, you are correct, it is not found due to a lack of permissions, but you can add the Dow Jones indices to your account and then you will be able to receive it.

Tim

Data and Content Support » Bundled Trades Nov 7, 2017 08:32 AM (Total replies: 3)

In looking at the exchange record, the two trades were received as part of the same bundle and in a single message from the exchange, but the message did include both of the tick IDs that you see. Hence the lack of bids and asks between them.

Tim

Data and Content Support » QUOTE message VWAP data field invalid Nov 6, 2017 01:44 PM (Total replies: 55)

Just wanted to let you know that version 5.2.7.0 is posted now on the iqfeed.net website, so please upgrade to that when you have a moment to do so.

Tim

Data and Content Support » Downloading NASDAQ Equities Nov 1, 2017 01:08 PM (Total replies: 1)

Hello,

Symbol lookup currently filters symbols by the listed market, however Nasdaq is actually the parent of several listed markets. In the listed market lookup (protocol 5.2) you can see that these markets are all part of the Nasdaq group, so to get all Nasdaq symbols you would need to pull from each.

1 NGM Nasdaq Global Market
2 NCM National Capital Market
3 OTC Nasdaq other OTC
4 OTCBB Nasdaq OTC Bulletin Board
5 NASDAQ Nasdaq
15 NASD_ADF Nasdaq Alternate Display facility
19 NTRF Nasdaq Trade Reporting Facility
21 NGSM Nasdaq Global Select Market


Tim

Data and Content Support » QUOTE message VWAP data field invalid Nov 1, 2017 09:05 AM (Total replies: 55)

Great, thanks for the follow up. We will get that addressed in an official build asap.

Tim

Data and Content Support » Trade types Nov 1, 2017 08:50 AM (Total replies: 6)

Yes, but the API is not open sourced, so I don't post specifics generally. Via email, is probably the best way to go to communicate on issues when you need specifics.

Tim

Data and Content Support » Trade types Nov 1, 2017 08:14 AM (Total replies: 6)

You first need to convert the hex to decimal, then compare that value to the conditions that are returned by the trades condition lookup detailed on this page. I believe this alone may be enough. But, if not I have included links where the exchanges have more on how they send these values.

http://www.iqfeed.net/dev/api/docs/SymbolLookupviaTCPIP.cfm

http://www.utpplan.com/DOC/utdfspecification.pdf

https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/cts_output_spec.pdf


I was incorrect regarding the replace. I never use request IDs in my code, so I never realized this, but when you send two watches with empty request IDs, say BW,GOOG,1 and BW,GOOG,5, it replaces the first. hence my answer.

However, it is actually the duplicated requestID that is replaced. So if you sent two watches with two requestIDs
BW,GOOG,15,,,10,,,GOOG15,,,1 and
BW,GOOG,20,,,10,,,GOOG20,,,1
that does work fine. So you can do everything in one socket.

So given that, each requestID should be unique in the system, and is only replaced when duplicated, I think this also takes care of the second question.

Sorry for my confusion.

Tim


I was incorrect regarding the replace. I never use request IDs in my code, so I never realized this, but when you send two watches with empty request IDs, say BW,GOOG,1 and BW,GOOG,5, it replaces the first. hence my answer.

However, it is actually the duplicated requestID that is replaced. So if you sent two watches with two requestIDs
BW,GOOG,15,,,10,,,GOOG15,,,1 and
BW,GOOG,20,,,10,,,GOOG20,,,1
that does work fine. So you can do everything in one socket.

So given that, each requestID should be unique in the system, and is only replaced when duplicated, I think this also takes care of the second question.

Sorry for my confusion.

Tim


Streaming bars can only handle one interval per symbol, so multiple connections to the derivative port will be needed to achieve what you are looking for. That is the reason for the replacement, any BW on a symbol that has already been watched will be a replacement.

With multiple connections, one per interval you can have the different ids that you are looking for. I'll note the request for the error to include the RequestID.

We have no guaranteed way to know a bar has completed, except to receive a trade that is outside of the current interval. That is when a BC bar is sent. But, if there is an hour between trades, then you end up waiting for an update that you may need. So a time based update is the alternative to that.

By setting a interval of x seconds you will always get an update or a complete message within x seconds of the last trade.

What that means to you is that if a BU message is received you can update your app with it, but you should expect to either receive further BU messages or a BC message and you will need to update the interval with each.

Tim


I'll answer it in both just to be safe for the next person.

Streaming bars can only handle one interval per symbol, so multiple connections to the derivative port will be needed to achieve what you are looking for. That is the reason for the replacement, any BW on a symbol that has already been watched will be a replacement.

With multiple connections, one per interval you can have the different ids that you are looking for. I'll note the request for the error to include the RequestID.

We have no guaranteed way to know a bar has completed, except to receive a trade that is outside of the current interval. That is when a BC bar is sent. But, if there is an hour between trades, then you end up waiting for an update that you may need. So a time based update is the alternative to that.

By setting a interval of x seconds you will always get an update or a complete message within x seconds of the last trade.

What that means to you is that if a BU message is received you can update your app with it, but you should expect to either receive further BU messages or a BC message and you will need to update the interval with each.

Tim

Data and Content Support » QUOTE message VWAP data field invalid Oct 30, 2017 10:53 AM (Total replies: 55)

I sent it out to the email you used on your forum account. If you have another one you would prefer to use just email us that and we can send it that way.

No time filtering is applied and no trades are filtered. We calculate last price and tick size into the equation on every trade regardless of trade condition.

Tim

Data and Content Support » QUOTE message VWAP data field invalid Oct 27, 2017 08:17 AM (Total replies: 55)

Good morning,

I have sent both of you a beta build with the fix for the VWAP issue and we will get an official version out soon to replace it (5.2.7.0). Please let us know how things go and, again, our apologies for the extended frustration and thank you for your assistance in helping us resolve this.

Tim


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