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bob7123 has contributed to 25 posts out of 21185 total posts
(0.12%) in 4,249 days (0.01 posts per day).
20 Most recent posts:
Data and Content Support »
Aggregation Nov 7, 2017 05:24 AM
(Total replies: 3)
Hi Jay, I wanted to follow up on this [now somewhat old] post. You said that "We are however working to bring additional information to our customers that will give them more insight into the makeup of trades." I am wondering if there has been movement on this since your earleier post, or perhaps things have taken a turn in other directions. At any rate, any update you could provide would be very helpful and most appreciated. Thanks! -Bob
Data and Content Support »
Aggregation Oct 21, 2016 06:45 AM
(Total replies: 3)
Hi, I recently heard in a webinar that IQFeed is starting to work to re-aggregate orders using CME tag 346. Also I was shown this web page: http://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Trade+Summary+Order+Level+Detail Are there fields associated with this effort that I can use now to try to reconstruct large orders? If not, is this something that you guys are working on? Maybe see something will be in an upcoming beta? Thanks in advance, -Bob
Data and Content Support »
Which millisecond timestamp exactly? Jul 23, 2013 04:39 AM
(Total replies: 4)
Hmm. Actually venues, especially dark pools, have 90 seconds to report trades. Note to self: for intraday, trade futures. Although just so it has been said, if you guys decided to get direct feeds from some of the larger venues, equity traders would probably find that of value.
Data and Content Support »
Which millisecond timestamp exactly? Jul 22, 2013 10:49 AM
(Total replies: 4)
Thanks. Are you aware of any data on what the latencies of the various venues might be? I realize I am rapidly heading down a rabbit hole. I followed up on a footnote in the previous quote and found the paper "The Breakdown of Standard Microstructure Techniques And What to Do About It" Link: http://www.kelley.iu.edu/cholden/Breakdown2011.pdf Which has this priceless quote: "Looking to the future, we consider what happens when the trading process accelerates into microseconds in the 2010’s and into nanoseconds in the 2020’s. We find that the speed of light barrier causes a breakdown of the Newtonian concept of a single, absolute NBBO for all economic agents in all locations. As a replacement, we propose an Einsteinian concept of a Relative Best Bid and Offer (RBBO) that is different for each market center." Can't wait...
IQFeed Developer Support »
Obtaining support Jul 22, 2013 10:21 AM
(Total replies: 2)
Thanks Steve, this is good info. In the future, if I don't get a response I'll follow up using the methods you suggest. I am guessing the email filter at your site is is the issue. I just sent 3 new emails to the developer inbox. The first is just a resend of last week's email. The second has an encrypted attachment. (7zip) and the third has no attachment. If you could look and see if any or all got through and let me know, I'd appreciate it. If you just get the third one, I can put the file on my site and send you a URL. -Bob
Data and Content Support »
Which millisecond timestamp exactly? Jul 22, 2013 04:32 AM
(Total replies: 4)
Hi, In looking at the details of v5 of the IQFeed client, it now supports millisecond timestamps, as well as the market center for tick data. I was also reading "Bulk classification of Trading Activity" available here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1989555 It states in part: "In equities, for example, there are now 13 exchanges (and a variety of trade reporting facilities (TRFs)) sending data to the consolidated tape. The tape marks trade and quote times when it receives the data, but this will be different from the actual trade or quote time depending on the latency of the venue’s reporting technology. Moreover, the aggregate tape is then a blend of all of these reports, delivered at various latencies. Most professional traders now purchase direct feeds of data from the individual venues rather than rely on the much slower, and arguably less accurate, tape data." Which leads me to the question of which timestamps we are getting. Is IQFeed getting direct feeds from individual venues, or are you using the aggregate tape? Thanks very much, -Bob
IQFeed Developer Support »
Obtaining support Jul 22, 2013 04:00 AM
(Total replies: 2)
Hi, A week ago, I sent an email to developer support. -edit to remove email address- I never got a response. Also I see that the chat option on the developer section of the IQFeed website is always offline. (at least the times I logged in) Is there a better way to get a hold of you guys? I did not want to post it all here, as I included some proprietary code in the email. Thanks, -Bob Edited by DTN_Steve_S on Jul 22, 2013 at 08:43 AM
Data and Content Support »
Determining Continuous Contract Rollover Time Oct 17, 2012 12:15 PM
(Total replies: 4)
Actually, a follow on question.. What is the math for calculating the backadjustment of the old contract? Do you just take the price difference between the two contracts at the time of rollover or something else. Thanks, -Bob
Data and Content Support »
Determining Continuous Contract Rollover Time Oct 17, 2012 08:50 AM
(Total replies: 4)
Thanks!
Data and Content Support »
Determining Continuous Contract Rollover Time Oct 17, 2012 07:58 AM
(Total replies: 4)
Hi, Can you tell me where I can find a list of exactly when each futures contract is rolled over? I have the API, and the documentation did not say anything about this, and apparently it is not included in the P or Q records of the API. Maybe it is posted somewhere else? Also, I am looking at the continuous 6E contract from you and what I see on ThinkorSwim. I noticed that on ToS there is a dip in volume on September 11 of this year, presumably (because that is when they cut over) that I don't see on your feed. I just wanted to also confirm that you are doing a clean cutover from one contract to the other and not some more complex algorithm that sums both contracts. Whatever you are doing, the volume chart looks a lot cleaner! Thank you, -Bob
IQFeed Developer Support »
History for Futures Index Constituents Missing? Oct 8, 2012 12:01 PM
(Total replies: 2)
Ah, my bad. I got the list from a text file that is part of Ninja Trader, but I guess it does not get updated very often. I've moved to a newer source for the list. -Bob
IQFeed Developer Support »
registry entries under windows 7 Oct 8, 2012 07:46 AM
(Total replies: 11)
Interesting, I'm glad you guys had a look. I'm OK for now, but if you release a new version of the code please let me know (or just post here, I'll get an update, and everyone else will know problems are fixed.) Thanks! -Bob
IQFeed Developer Support »
History for Futures Index Constituents Missing? Oct 8, 2012 07:44 AM
(Total replies: 2)
Hello, I wrote an app that will get tick data for various instruments. I set it to get the constituent stocks underlying the Dow, S&P and NASDAQ futures. When I do this, the following constituent stocks are reported as invalid symbols: CEG, EP, FAGIX, JOYG, KFT, MHS, MMI, NVLS Is this because you don't have data for these equities or are they accessed using a different symbol? Thanks, -Bob
IQFeed Developer Support »
registry entries under windows 7 Sep 20, 2012 03:00 AM
(Total replies: 11)
Hey there it is! I suppose the right way to code then would be to look here first: HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\DTN\IQFeed Then the regular place. I'll update my code, and you may want to add that to the sample code. For anyone reading this down the line, you can make your app 32 bit, but if the underlying OS is 64 bit, then the key will be in the alternate location. (Under Wow6432Node) Glad that is sorted. I guess with all those multi-monitor jocks out there (guilty as charged) having 64 bit trading desks are only going to become more popular... Take care, -Bob
IQFeed Developer Support »
registry entries under windows 7 Sep 19, 2012 04:50 PM
(Total replies: 11)
Yeah I can log in as admin, but for John Q User out there, he may not have that option, so I guess something needs to be updated. I just added some if File.Exists()... code to look for the EXE, but you guys may want to figure out a better solution. Maybe require the install script to run as admin or something like that, but I'm not an install package expert. Good luck, -Bob
IQFeed Developer Support »
registry entries under windows 7 Sep 15, 2012 05:27 AM
(Total replies: 11)
I am using a fresh install of Windows 7. I am logging in as the default user "User". I did a reinstall and captured the log. (attached) No problems were reported. The registry entry under HTLM still does not exist. I reviewed the "Installation and Distribution" section of the Developer API documentation, which states in part, " DTN no longer supports developers installing IQFeed components on their own. You must use the IQFeed [client] install package. " I am reporting a problem with your client installation package. (using default settings on a fresh OS) Your documentation clearly states that your installation package is the only one that is allowed, so it is my contention that your company should resolve any problems with it. (or update the client application to work properly with your installer) I apologize if this message comes across as officious, I am only trying to work within the guidelines set out by your organization. Thanks, -Bob
IQFeed Developer Support »
registry entries under windows 7 Sep 14, 2012 12:08 PM
(Total replies: 11)
Hello Brian, I just did an install on a Windows 7 VM that only had the latest Windows Update patches applied. (fresh install) The IQFeed client downloaded and installed without any errors or warnings, but again, the HKLM keys were not there. Where is the install log? Is it saved to the hard drive someplace? If so I can send a copy. I'm starting to think this is just how the installer behaves on Win 7. I just modified the sample app to start looking for the exe file using File.Exists() if it doesn't find the keys. Seems to work OK, but the whole reason for posting was to ensure I was looking for it the way you guys want it looked for. -Bob
IQFeed Developer Support »
Tick Size Sep 14, 2012 03:31 AM
(Total replies: 1)
Hello, Is it possible to determine the tick size (smallest price change) for a given futures contract using your feed? E.g. For the ES mini contract, the tick size is .25, meaning there are 4 ticks to the point. (Whole number price change.) Also for illustration 1 point = $50, so each tick is worth $12.50 per contract. Thanks very much, -Bob
IQFeed Developer Support »
registry entries under windows 7 Sep 14, 2012 03:26 AM
(Total replies: 11)
Hello? OK, let me ask a more direct question then: I do not see the following registry key on my machine after installing the latest IQFeed client: HKLM\Software\DTN\IQFeed This is expected by your sample applications. Is it depreciated? Thank you, -Bob
IQFeed Developer Support »
registry entries under windows 7 Sep 12, 2012 05:43 AM
(Total replies: 11)
Hello, I am looking at the "Launching the feed" demo application. I am running on Windows 7 x64, and I definitely installed the IQFeed client (not just the developer API) This line in the Launching the Feed app is causing a problem: Line #85: RegistryKey key = Registry.LocalMachine.OpenSubKey("SOFTWARE\\DTN\\IQFeed"); The problem is that on my machine there is no DTN key under LocalMachine, only a DTN key under the current user. (and that does not have the subkey subsequently looked for called EXEDIR) The code as written then fails, saying IQConnect is not installed. If the key under Local Machine does not exist, is there another place to look for it, or does it's absence just mean that the IQConnect it in its default location? I noticed that the sample app was written for Visual Studio 2005, and I'm guessing that it does not take into account more restrictive Windows 7 registry policies. At any rate, now that it is 2012, what would be the best practice to ensure proper testing that IQConnect is installed in an environment such as mine? Thanks very much, -Bob |
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