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DTN_Gary_Stephen has contributed to 204 posts out of 20282 total posts
(1.01%) in 759 days (0.27 posts per day).
20 Most recent posts:
System Status Announcements »
Dow Jones not currently updating Jul 21, 2021 09:57 AM
(Total replies: 1)
Dow Jones newswires are updating once again, Our engineers are investigating the matter further. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
System Status Announcements »
Dow Jones not currently updating Jul 21, 2021 09:36 AM
(Total replies: 1)
DTN is aware of an issue where the Dow Jones data has not updated since about 1:30 AM this morning. Our engineers are working to resolve it now. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist Edited by DTN_Gary_Stephen on Jul 21, 2021 at 09:46 AM
System Status Announcements »
Live Online Chat Is Currently Unavailable Jul 21, 2021 09:33 AM
(Total replies: 1)
Online chat is now working normally. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
System Status Announcements »
Live Online Chat Is Currently Unavailable Jul 20, 2021 08:40 AM
(Total replies: 1)
The online chat for both IQFeed and IQFeed Developers is currently having issues. Support is available via support@iqfeed.net or 1-(800) 779-7299. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
Data and Content Support »
timestamp in update message Jul 14, 2021 04:21 PM
(Total replies: 5)
If you want to know the most recent change time with no regard to what changed, then yes, you would need to watch all three of the fields. The fields Most Recent Trade Time, Bid Time and Ask Time tell you the time of the most recent change to the price, Bid or Ask - which is not necessarily the current tick. If a Bid update occurs at 10:00:00 and a tick not containing a Bid update comes in at 10:00:01, the "Bid Time" will still be 10:00:00. Side note: The "Most Recent" statistics include both last-eligible and non-last-eligible trades. "Last" includes only last-eligible. There is also "Extended" which covers after hours/Form T trades. So which "Time" fields you need to watch is dictated by which of those you're interested in. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
Data and Content Support »
timestamp in update message Jul 12, 2021 08:32 AM
(Total replies: 5)
There's another detail at work in the data sample given in the original post. You are correct that the delays are too long for the explanation I gave. The phenomenon I mentioned earlier is true, but should't make that much of a difference time-wise. The dataset appears to be using the default set of fields from Protocol 6.1, which are: S,CURRENT UPDATE FIELDNAMES,Symbol,Most Recent Trade,Most Recent Trade Size,Most Recent Trade Time,Most Recent Trade Market Center,Total Volume,Bid,Bid Size,Ask,Ask Size,Open,High,Low,Close,Message Contents,Most Recent Trade Conditions With that in mind, let's look at just the @NQ# messages: Q,@NQ#,14706.00,1,08:53:00.823755,43,34156,14706.00,6,14706.50,1,14704.25,14721.75,14674.50,14713.75,C,01, The fields in bold face are Most Recent Trade Time and Message Contents. Message Contents will be a C, E, or O for a trade, and b or a for a bid or ask update. Most Recent Trade Time is the most recent time a trade occurred, and it includes both last-eligible and non-last eligible trades (C and O in Message Contents). Now look at the next @NQ# messages: Q,@NQ#,14706.00,1,08:53:00.823755,43,34156,14706.00,5,14706.50,1,14704.25,14721.75,14674.50,14713.75,b,01, This message is a bid update - not a sale. So "08:53:00.823755" is telling you the time of the most recent sale, not the timestamp of this message. Next, we ahave: Q,@NQ#,14706.00,5,08:53:00.824297,43,34161,14706.00,5,14706.50,1,14704.25,14721.75,14674.50,14713.75,C,01, This is a sale, so the Most Recent Trade Time updates. Q,@NQ#,14706.00,5,08:53:00.824297,43,34161,14705.75,3,14706.50,1,14704.25,14721.75,14674.50,14713.75,b,01, Q,@NQ#,14706.00,5,08:53:00.824297,43,34161,14705.75,3,14706.50,2,14704.25,14721.75,14674.50,14713.75,a,01, Q,@NQ#,14706.00,5,08:53:00.824297,43,34161,14705.75,3,14706.50,3,14704.25,14721.75,14674.50,14713.75,a,01, Q,@NQ#,14706.00,5,08:53:00.824297,43,34161,14705.75,2,14706.50,3,14704.25,14721.75,14674.50,14713.75,b,01, Q,@NQ#,14706.00,5,08:53:00.824297,43,34161,14705.75,1,14706.50,3,14704.25,14721.75,14674.50,14713.75,b,01, Q,@NQ#,14706.00,5,08:53:00.824297,43,34161,14705.75,1,14706.25,1,14704.25,14721.75,14674.50,14713.75,a,01, Q,@NQ#,14706.00,5,08:53:00.824297,43,34161,14705.75,1,14706.25,2,14704.25,14721.75,14674.50,14713.75,a,01, Q,@NQ#,14706.00,5,08:53:00.824297,43,34161,14705.75,1,14706.25,3,14704.25,14721.75,14674.50,14713.75,a,01, Q,@NQ#,14706.00,5,08:53:00.824297,43,34161,14705.50,3,14706.25,3,14704.25,14721.75,14674.50,14713.75,b,01, Q,@NQ#,14706.00,5,08:53:00.824297,43,34161,14705.50,2,14706.25,3,14704.25,14721.75,14674.50,14713.75,b,01, Q,@NQ#,14706.00,5,08:53:00.824297,43,34161,14705.50,2,14706.00,1,14704.25,14721.75,14674.50,14713.75,a,01, These are all bid or ask updates - not sales. The timestamp doesn't update because the most recent trade still occurred at 08:53:00.824297. These timestamps do not necessarily mean the timestamps of when this message was sent or it was received. These timestamps, as per the default protocol 6.1 setup, mean the time of the most recent trade, which could have occurred some time ago. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
Data and Content Support »
timestamp in update message Jul 9, 2021 01:49 PM
(Total replies: 5)
The timestamp is provided by the exchange. It is meant to indicate the timestamp that the tick occurred. It is possible for ticks with older timestamps to arrive later, as you point out. This is because the ticks come from many different sources, and they don't all do so on the same timeframe. So situations like in your example can occur, where the entire string of ticks is not in chronological order:
Ticks for the same symbol will always be chronological, though. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
Data Center Move? Jul 8, 2021 02:37 PM
(Total replies: 5)
The server move is still ongoing, so I can't comment on details that specific about the connections. All I can say is that most customers should see reduced latency, and that DTN has done preliminary testing to confirm this. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
5MS 5-min market summary Jun 17, 2021 05:05 PM
(Total replies: 4)
Each 5MS report takes some time to build, but in my experience, 1 minute is usually enough to get you the most recent report. 2 minutes would be better. On a side note, the report takes multiple seconds to run, and it runs in alphabetical order. So ZZZ will be updated a few seconds more recently than AAA. It's not going to be super-precise about any timing. The "Last" field will tell you the most recent trade for that symbol it knows of; identifying the latest Last time will give you a good idea when the report was run. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
duplicate trades? Jun 17, 2021 04:20 PM
(Total replies: 6)
One other thing: you are correct that a "C" message, indicating a last-eligible trade, would normally increase the volume by the number of units in that trade. However, as I mentioned earlier, some trades are counted in the Total Volume but do not show up in ticks, and can change the total volume in unexpected ways. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
duplicate trades? Jun 17, 2021 04:09 PM
(Total replies: 6)
In all three cases in your original post, the timestamp reverts to a lower (earlier) value just as the volume does. My best guess is that the message was received once, and is being repeated by some process on your end. It's unlikely that IQFeed would send ticks repetitively like in your first message, especially to repeat previously-sent ticks. This can be confirmed by collecting an IQFeed log with "All Level 1" turned on in Diagnostics app/Logging tab. The log file will be called iqconnect.txt and is stored in the folder listed on that dialog tab. This will show all messages the IQFeed API sends. Any duplicate messages will be apparent. I can review any logs you need me to. Be judicious when creating an "All Data" log, as this will create a verbose log file and could affect performance. Your second message also looks like messages are being repeated by some unknown process. All of the "C" messages that don't increase the volume are duplicates of previous messages: Q,@ES#,4191.25,2,12:59:55.704633,43,103489,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,a,01, Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,01, - correct; volume increases by 1 as it should, and timestamp is later Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,01, - same volume and timestamp as earlier message Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,01, - same volume and timestamp as earlier message Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, - correct; volume increases by 1 as it should, and timestamp is later Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, - same volume and timestamp as earlier message Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, - same volume and timestamp as earlier message Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, - correct; volume increases by 1 as it should, and timestamp is later Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, - same volume and timestamp as earlier message So I think these "duplicate trades" are messages from the IQFeed API that are being repeated by your process somehow. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
50007,No file available. why ? Jun 16, 2021 11:41 AM
(Total replies: 9)
Yes, the FDS reports from June 6 through June 8 are lost and cannot be re-created. Other than those days, the FDS report will now work normally. Also, regarding the missing zero in the FOPTIONS symbols; Futures contracts, when created, don't always use the price precision to represent the strike price in the symbol. As a result, you cannot derive the strike price just from the symbol alone. @CH22C1900 or @CH22C19000 could both be the 190.00 strike price. You'll have to get the strike price from the EDS or 5MS report, or from the symbol description which will include the strike price. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist Edited by DTN_Gary_Stephen on Jun 16, 2021 at 12:56 PM
IQFeed Developer Support »
Beta Client 6.2.0.16 Exec Registry Jun 11, 2021 03:16 PM
(Total replies: 1)
Nick, There is a difference between IQFeed 6.1 and 6.2 regarding the registry. Your code is looking for HKEY_LOCAL_MACHINE\SOFTWARE\WOW6432Node\DTN\IQFeed\ but this key is reserved for 32-bit software. IQFeed moves to 64-bit in version 6.2, and you'll need to look for a different key for this purpose. Beginning with IQFeed 6.1.1.X, IQFeed client software will be exclusively 64bit, and will no longer populate this or any other virtualized 32bit keys. Additionally, since the above key duplicates functionality from the Windows uninstaller keys (these populate the software management in the Windows Control Panel), we will no longer populate the above registry keys at all going forward. The following registry key can be safely used by your software to determine if the IQFeed software is installed: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Uninstall\IQFeed All versions of IQFeed will use this same key for the foreseeable future. New versions of IQFeed will update this key, when installed over-the-top of old versions. Note that our installer software is also 64-bit as of this release, so this key will not be virtualized by windows. An alternative to looking for this different, 64-bit key to determine if IQFeed is installed, would be to simply try to launch the feed (iqconnect.exe). IQFeed adds the iqconnect.exe install path to the windows path environment variable, so you can simply launch iqconnect.exe without knowledge of its full path, and check the return code on the launch command to determine if it is installed. Be advised that IQFeed data subscrubers may be using either version, so you may want to have your check for both 6.2 and 6.1-and-earlier keys. Let me know if this does not answer all your questions, or if there is anything else I can help with! Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
Data and Content Support »
FDS Reports For June 6, 7, and 8 Are Missing Jun 11, 2021 12:05 PM
(Total replies: 0)
Earlier this week, IQ Feed had as an issue with IEOption Chain Lookup as reported at http://forums.iqfeed.net/index.cfm?page=topic&topicID=5882. This also resulted in the FDS command not working correctly. This has also since been fixed, but the reports for those days were not generated and cannot be re-created after the fact. So any FDS command with those days as the date will return an "E,50007,No file available." error. We are sorry for any inconvenience. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
50007,No file available. why ? Jun 11, 2021 08:58 AM
(Total replies: 9)
The problem from earlier this week with the FDS has been resolved going forward, so you shouldn't get the error anymore. However, the FDS reports dated 20210606, 20210607, and 20210608 still give the 50007 error if you try to run them. We are still trying to rebuild these reports. I have run the FDS,9,30 report for the past week, and I don't see any obvious evidence of missing zeroes. The June 5 report does appear to be shorter by about 7000 entries than June 4; I am still looking into why. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
50007,No file available. why ? Jun 8, 2021 09:45 AM
(Total replies: 9)
We are looking into this now. Apparently it is related to yesterday's Option Chains issues. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
duplicate trades? Jun 3, 2021 10:09 AM
(Total replies: 6)
We are still investigating this. I should have an answer soon. As for the "lower volume" issue, did you notice the timestamps were earlier as well? Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,11,4206.50,4210.25,4197.75,4202.50,a,01, Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,14,4200.75,40,4206.50,4210.25,4197.75,4202.50,b,01, That makes me think these messages just arrived out of order. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
duplicate trades? Jun 2, 2021 08:52 AM
(Total replies: 6)
We will investigate what happened with each of these. The decreasing volume could mean that a trade correction was issued. Sometimes a trade is found to have been recorded in error, and is corrected. When this happens, other statistics update as well. For example, if a trade was erroneously entered as 10 units when it was actually 1 unit, then correcting it would actually lower the total volume, because the correction must be reflected there as well. Other statistics can also be impacted. I'm not sure what's happening with the C ticks that don't increase the total volume. But I notice all of them are second or subsequent trades that arrived at the same time: Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,0 Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,0 Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,0 Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, I will find out what happened here. Finally, I should point out that volume can move for non-obvious reasons. Some types of trades, like Implied Trades, affect volume but do not create a tick. So the volume can change for reasons that can't be inferred from individual ticks. I will post a followup with more information about the cases you've asked about. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
CEO with Filter Type = 2 - How recent is underlying price? Jun 1, 2021 10:53 AM
(Total replies: 3)
Yes, when the In The Money/Out Of The Money filter is used with the CEO (equity options chains) request, the determinations of what is in/out of the money are made using real-time data. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist
IQFeed Developer Support »
CEO with Filter Type = 2 - How recent is underlying price? May 28, 2021 12:37 PM
(Total replies: 3)
As far as I know, yes. I will confirm this though. Sincerely, Gary Stephen DTN IQFeed Implementation Support Specialist |
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