andrewm has contributed to 29 posts out of 19969 total posts
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Bid and ask time would just be the update time of the value. If a bid is updated at 10am and I generate a 5-min summary 2 hours later that file generated at noon would show 10:00 bid time. If there have been no bids or offers that day the bid or ask value and time would show an empty field ",," not a zero value ",0,"
Please let me know if those bid/ask values carry over from previous 5-min periods. Thanks a lot.
Are the fields "Open,High,Low,Close" in these 5 min files the OHLC values for the full day? They're not the 5-min bar OHCL values, right?
Is any bid or ask value shown sure to be from the current trading day because any bids/offers resting in the book are cancelled at EOD?
Could you add bid-time and ask-time fields to these files?
The problem with HTX for bid/ask is it's the bid/ask at the time of the last trade so in this case it's a month old:
2020-08-03 12:03:13.727032,25.35,1,3,25.35,25.55,45940803,C,150,20,0,3, !ENDMSG!,
Looking at EDS, FDS and 5MS summary messages they say:
[Security Type] - Required – A number representing the desired security type. (Futures, equities, spots)
Are those the only 3 supported security types? I need equity options. Ideally I'd like to request an entire options chain based on the underlying ticker and get back the current BBO for each contract.
Those HTX messages give me the last trade price. I also need the most recent bid & ask. Is there a way to request only the most recent L1 Summary Message?
Thanks Gary. That looks like what I needed.
Until you set the protocol, HTX works on some symbols but not others. A bug?
Is there some way to globally force all API connections to use 6.1 by default so we don't have to do SET PROTOCOL
on each connection?
How can I request just 1 quote on a symbol? or do I have to subscribe, wait for some quotes, unsubscribe?
How's IQ Feed running on Wine? Any known problems, instability, etc?
Looks like the ListedMarkets ("SLM") reply has been expanded to include group ID info since I last looked ages ago. I guess that's what's being used here. Right?
What's the difference between Exchange ID vs Listed Market in the Fundamental msg?
Please document the difference better here:
Actually a protobuf+gRPC API would be best. Then I don't have to build + maintain decoders for IQ's data protocols.
Currently dates are like 07/26/2019. In some future version of the API they should be yyyy-mm-dd
Historical bid/ask changes should really be included. Maybe not every bid/ask size change, but at least if the price level changes we should see that in the feed. Maybe coalesce the size changes to some max frequency if necessary.
Yes a binary protocol would be better. I suspect that the Windows IQ Feed client probably gets fed binary data but then serves it as ASCII.
What is the max chars a symbol field can be?
What do values in the Last Trade Time field like this represent?
Is that bid/ask/trade time?
Where is this documented?
Thanks. Is there a programmatic way using the API?
When pulling historical or realtime data, how do you know what contact you're really looking at?
Can we have a build of IQ Feed for Linux?
Is there a linux version coming?