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cunparis has contributed to 29 posts out of 20658 total posts (0.14%) in 4,968 days (0.01 posts per day).

20 Most recent posts:
Data and Content Support » Eurex data Feb 2, 2012 03:24 AM (Total replies: 81)

I disconnected and reconnected and now I don't see a lag. So apparently I "fell" on the working server.

The hole is only a slight nuisance and quite acceptable IMHO.

Data and Content Support » Eurex data Feb 2, 2012 03:04 AM (Total replies: 81)

How do we get on the working server? Is it random?

Data and Content Support » Eurex data Feb 1, 2012 11:08 AM (Total replies: 81)

Thanks for the update, I really appreciate the fact that you guys are working hard on it. I know you were before but with the frequent posts and twitter updates it really lets me know you're doing your best.

IQFeed Datafeed Wish List » Futures Equalized Sessions Sep 22, 2010 01:39 AM (Total replies: 29)

I second that. A big thanks & congratulations to the IQFeed team who pulled it off. It saves me hours of merging at rollover.

IQFeed Datafeed Wish List » Futures Equalized Sessions Sep 9, 2010 03:06 AM (Total replies: 29)

Today is rollover day for the indexes and some other futures. Do we need to redownload the historical data for the #C adjusted continuous contracts? It seems we'd need to do that since the adjustments in the past will have changed.


Thanks for the quick response. I've never heard of this, can you explain more what it's about?

It sounds like it's up to the software to accept or ignore them. I know Tradestation ignores them for the charting. I'm hoping MarketDelta / Investor RT will do the same as it completely wrecks any volume analysis.


I found out that Market Delta will interpret a trade below bid as being at the bid. And a trade above the ask as being at the ask.

So it seems IQFeed is sending the correct data real time and then filtering these trades out for the historical data. Hopefully someone from IQFeed can confirm.


Continuing my investigation, I now compare my data with tradestation (attached).

Tradestation has the "extra" trades in its time & sales. However they're marked as "below bid" and "filtered from chart". TS reports these trades at 1.2700.

I see a couple possibilities:

1 - IQFeed sends these trades real time as "below bid" and Market Delta interprets them as "at bid" (a mistake in my opinion).

2 - IQFeed sends these trades real time as "at bid" and Market Delta doesn't know anything.

Can someone from IQFeed tell me which is the case?

In both cases, it seems these trades are not present in the historical data.


I've noticed that when I reload historical data, it can be very different than the data I've collected real time. This became apparent to me while using bid/ask data because a small difference in the data can make a big difference in the charts/indicators.

This morning I exported Euro overnight data and then I reloaded it. I'm using Market Delta & IQFeed for this. What I find when I compare the two is that there are extra trades in the real time data. Often they are very much invalid such as an extremely large size. This has a huge impact on any indicators using volume, especially those using the delta of bid/ask transactions.

I'm attaching an example.

This isn't an isolated case, it happens consistently all the time in the markets I follow (Euro, Crude, Dax, Bund). When I look at the differences, they start shortly after I last reloaded the historical data.

This example is from overnight. When the markets are open, there are even more differences. So much so that the bid/ask data is useless.

I am hoping there is a way to correct this problem so that I can use the footprint & delta indicators.

Thanks for your attention in this matter.

IQFeed Datafeed Wish List » Futures Equalized Sessions Jul 7, 2010 08:56 AM (Total replies: 29)

July 17 is awesome. I prefer to wait until it's perfect, having good data is really important. I've tried adjusting my own but never can get it right. so looking forward to it. This is great news.

Data and Content Support » Eurostoxx continous contract rollover EX# Jul 2, 2010 02:45 PM (Total replies: 1)

I'm looking at the EX# data around the rollover date and I don't see when this rolls over. I'm comparing the data to tradestation non-continuous.

I'd like to know in general, when are the eurostoxx & dax contracts rolled over in the continuous contract?

I'd like to adjust mine for the calendar spread but not sure where to do it.

IQFeed Datafeed Wish List » Futures Equalized Sessions Jul 2, 2010 02:43 PM (Total replies: 29)

How's it coming? I'm not in a hurry for it but just curious to know the status

Data and Content Support » Equity only put / call stats Apr 4, 2009 02:55 AM (Total replies: 1)

I see CBOE put & call stats but I am not sure if these include indexes & equities. I'd like to separate the two and have stats for indexes and stats for equities. Is it possible?

Data and Content Support » Why getting historical data is slow? Mar 21, 2009 11:28 AM (Total replies: 3)

For me @ES# jan 1 2008 to present was taking over 10 minutes and I eventually gave up and started downloading it in smaller chunks. I think the problem is that my application is storing the history in its database, which is Microsoft Access <hic>.

thanks for timing it on your side, that helps to narrow it down.

Data and Content Support » Why getting historical data is slow? Mar 21, 2009 10:38 AM (Total replies: 3)

When getting historical data, I see the number of seconds going up to 27 seconds without an update. Here is an update from my application:

2009-03-14 22:44:30:027 (IQ) Data.Bars.GetBarsNow: instrument='AIPC' from='2009-02-23' to='2009-03-13' sessionBegin='00:00:00' sessionEnd='00:00:00' excludeWeekend=False period=1 Min splitAdjusted=False dividendAdjusted=False bars=0
2009-03-14 22:44:57:403 (IQ) Data.Bars.GetBarsNow: instrument='MYGN' from='2009-02-23' to='2009-03-13' sessionBegin='00:00:00' sessionEnd='00:00:00' excludeWeekend=False period=1 Min splitAdjusted=False dividendAdjusted=False bars=0

I'm noticing it again today with ES. I try to get 1 minute data for 2008 and it takes a very long time. Since the DTN client is reporting 20+ seconds since last update, I think there are two possibilities:

1 - my software is not requesting the data very fast

2 - DTN takes a while to give me the data

Any idea how to find out which one?


For some symbols I see the number of seconds going up to 27 seconds without an update. Here is an update from my application:

2009-03-14 22:44:30:027 (IQ) Data.Bars.GetBarsNow: instrument='AIPC' from='2009-02-23' to='2009-03-13' sessionBegin='00:00:00' sessionEnd='00:00:00' excludeWeekend=False period=1 Min splitAdjusted=False dividendAdjusted=False bars=0
2009-03-14 22:44:57:403 (IQ) Data.Bars.GetBarsNow: instrument='MYGN' from='2009-02-23' to='2009-03-13' sessionBegin='00:00:00' sessionEnd='00:00:00' excludeWeekend=False period=1 Min splitAdjusted=False dividendAdjusted=False bars=0

27 seconds. While others take 4.


I was trying to get ABX from Jan 2008 to present. If it only goes back to oct 2008 that would explain it. But why is there only data from oct 2008 if you stock several years of 1 minute history?

Thanks for the info on the tick/second intervals. I'll take that into account.

One final question, when recovering minute data, I find that it's fast from 2009 but if I go back to early 2008 it's very very slow. Is this a known limitation?


For example i find that some stocks don't have minute data. AXB is an example. Is there a reason why it wouldn't have minute data?


I'm curious how far back minute & second data goes for stocks?

Minute data for ES goes back to around oct 2005, but what about second data?

Data and Content Support » What hours are used for daily data? Jan 28, 2009 12:03 PM (Total replies: 2)

This is a great suggestion about using n-minute bars to make a daily, but unfortunately the ES minute data only goes back to end of 2005 and I'd like to test over a longer period of time. :)

Thanks for the info.


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