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Viewing User Profile for: MV_opt
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Joined: Jun 3, 2020 07:54 PM
Last Post: Jul 8, 2020 05:36 PM
Last Visit: Jul 8, 2020 05:36 PM
Website: www.optuma.com
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MV_opt has contributed to 11 posts out of 19682 total posts (0.06%) in 67 days (0.16 posts per day).

20 Most recent posts:
IQFeed Developer Support » Level 2 returning "U" messages. Jul 8, 2020 05:36 PM (Total replies: 3)

Doh - thanks for that.

IQFeed Developer Support » Level 2 returning "U" messages. Jul 6, 2020 03:08 AM (Total replies: 3)

Specification Pages I'm looking at are
http://www.iqfeed.net/dev/api/docs/Level2viaTCPIP.cfm
and
http://www.iqfeed.net/dev/api/docs/Level2UpdateSummaryMessage.cfm

IQFeed Developer Support » Level 2 returning "U" messages. Jul 6, 2020 03:07 AM (Total replies: 3)

Hi,

Just starting to look at Level 2 again and am getting "U" messages being sent through. These are not in the spec so I'm wondering if I am doing something wrong.

If I connect to MSFT this is what I get back (note that I am doing this at 4am NYC time).

I appreciate any help

MV.

U,MSFT,STXG,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,WABR,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,IEXX,0.,0.,0,0,99:99:99,2020-07-02,20,52,153,99:99:99,F,F,
U,MSFT,BOSX,0.,0.,0,0,99:99:99,2020-07-02,20,52,12,99:99:99,F,F,
U,MSFT,NEED,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,SSUS,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,KING,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,INTL,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,RAJA,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,PUMA,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,LEHM,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,BMOC,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,BATS,200.,209.75,300,100,18:00:18,2020-07-02,20,52,18,18:00:18,T,T,
U,MSFT,WEDB,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,NSDQ,209.22,209.68,47,48,04:02:22,2020-07-06,20,52,5,04:02:16,T,T,
U,MSFT,MZHO,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,BARD,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,VIRT,0.,0.,0,0,99:99:99,2020-07-06,20,52,5,99:99:99,F,F,
U,MSFT,KEYB,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,DADA,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,ADAM,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,SGAS,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,PIPR,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,JEFF,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,GTSM,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,CINN,0.,0.,0,0,99:99:99,2020-07-02,20,52,10,99:99:99,F,F,
U,MSFT,WSEA,0.,0.,0,0,99:99:99,2020-07-06,20,52,5,99:99:99,F,F,
U,MSFT,CHXE,0.,0.,0,0,99:99:99,2020-07-02,20,52,8,99:99:99,F,F,
U,MSFT,LEER,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,CSTI,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,MAXM,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,STFL,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,NATL,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,NITE,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,CTDL,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,XGWD,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,RBCM,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,AMEX,0.,0.,0,0,99:99:99,2020-07-02,20,52,6,99:99:99,F,F,
U,MSFT,EDGA,0.,0.,0,0,99:99:99,2020-07-02,20,52,25,99:99:99,F,F,
U,MSFT,EDGX,206.5,206.74,500,100,19:59:40,2020-07-02,20,52,26,19:59:40,T,T,
U,MSFT,CANT,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,ETMM,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,BATY,0.,0.,0,0,99:99:99,2020-07-02,20,52,28,99:99:99,F,F,
U,MSFT,MSCO,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,GSCO,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,WCHV,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,WBLR,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,VERT,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,RHCO,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,SPHN,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,ARCX,208.33,209.5,300,200,04:02:16,2020-07-06,20,52,11,04:02:16,T,T,
U,MSFT,SOHO,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,SUFI,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,IMCC,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,JPMS,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,AEXG,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,FLTG,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,PHLX,0.,0.,0,0,99:99:99,2020-07-02,20,52,80,99:99:99,F,F,
U,MSFT,JSSF,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,UBSS,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,COWN,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,MLCO,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,CDRG,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,TSSM,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,OHOS,0.,0.,0,0,99:99:99,2020-07-02,20,52,5,99:99:99,F,F,
U,MSFT,ARCX,208.33,209.5,200,200,04:02:24,2020-07-06,20,52,11,04:02:24,T,T,
U,MSFT,ARCX,209.,209.5,100,200,04:02:24,2020-07-06,20,52,11,04:02:24,T,T,
U,MSFT,NSDQ,208.6,209.68,40,48,04:02:24,2020-07-06,20,52,5,04:02:16,T,T,
U,MSFT,NSDQ,209.23,209.68,47,48,04:02:24,2020-07-06,20,52,5,04:02:16,T,T,

IQFeed Developer Wish List » Open Streams by FIGI Code Jun 24, 2020 09:04 AM (Total replies: 5)

lol - no worries.

One of the things we have battled with for many years is a unified symbol database which works across all our data connections. The issue is that the symbol required in IQ can be different than other possible sources (including our own end of day services). Equities are usually fine, it is commodities and indices which are usually the trouble. Figi has the chance to finally do what cusip and isin tried to do (but their cost of entry was too great for full adoption).

My goal is a single symbol database which has figi as the key since that is becoming a unique code to reference the security by. Then no matter what service the client uses, we can open th esecurity by figi.

Definately not a quick and easy change, but now that you have figi in your database, I would hope that one day you would alow opening streams etc by Figi.

All the best

MV

IQFeed Developer Wish List » Open Streams by FIGI Code Jun 24, 2020 07:14 AM (Total replies: 5)

Hi Gary,

Thanks for the reply but if you re-read my question you will see that I already refernce the Fundamental Message. My question is about using FIGI in place of symbol.

All the best

Mathew

IQFeed Developer Wish List » Open Streams by FIGI Code Jun 23, 2020 12:11 AM (Total replies: 5)

I noticed that IQ includes the FIGI codes in the Fundamental messages. This is awesome.

Are there any plans for us to be able to open all streams by FIGI inplace of the symbol?

eg for MSFT send the following to the Level1 port
"w,BBG000BPH459" instead of "w,MSFT"

Obviously you would need to support both to be backwards compatible.

The reason for this request is that Bloomberg have done a great job with figi and it allows clients to move more easily from Bloomberg to IQ etc when their work will just open after they change.


Gary I have just spotted this page. http://pxweb.dtn.com/PXWebDoc/pages/Markets.aspx

If you could return the Time Zone from here in the SLM call, that would be awesome!


Actually I just noticed that the session times are not set in the Fundamental "F" response, so I can not use that to filter in/out of market minute bars.

It would be really helpful if those values were set for all securities.

Thanks

MV


Refering to this page http://www.iqfeed.net/dev/api/docs/HistoricalviaTCPIP.cfm

When we do a Tick request (HTX, HTD, and HTT) we have "Basis For Last" returned with a value of C,E,O,S

This is great as we can ignore out or market trades if we choose to.

The issue is when we do interval requests (HIX, HID, and HIT) we don't have that same value.

Can you please add "Basis For Last" to these calls.

There may be confusion about what to do when there are C's and E's in the one interval. Perhaps a better alternative is to allow us to include a string of "Basis" which we require in the call.

eg HTD,[Symbol],[MaxDays],[MaxDatapoints],[BeginFilterTime],[EndFilterTime],[DataDirection],[RequestID],[DatapointsPerSend][BasisToInclude]<CR><LF>

BasisToInclude would be optional but I could enter 'CS' if I wanted to only include Qualified Trades and Settles.

HTX example
Request: HTT,GOOGL,20190409 000000,20190409 235959,10,155959,160004,1,TESTREQUEST,C<CR><LF>

Note the ",C" on the end.

I know that this could also be filtered with start and end times, but then we fall into issues with time zones for non-EST markets.

Thanks for considering


Hi Gary,

Yes, I think this would be helpful.

Another column for each entry returned in the SLM (Listed Markets) call in the Lookup Port.

This is 4 lines I pulled from the call. I manually added the TZ name at the end of the rows as an example of what it could look like

79, NYDME, NYMEX-DME (InterCommodity Spreads), 79, NYDME, America/New_York
80, PSX, Philadelphia Stock Exchange, 80, PSX, America/New_York
81, TGE, Tokyo Grain Exchange, 81, TGE, Asia/Tokyo
82, TOCOM, Tokyo Commodities Exchange, 82, TOCOM, Asia/Tokyo
Edited by MV_opt on Jun 4, 2020 at 08:36 AM
Edited by MV_opt on Jun 4, 2020 at 08:36 AM


Are Market time zones listed anywhere?

If not, it would be really helpful if you were able to store the Time Zone location for each of the markets that come back in the SLM call.

So for each listed market you also return the time zone location using the standard names as defined by https://en.wikipedia.org/wiki/Tz_database

NOTE: I would not bother with Daylight or standard time, just the location. That way it only needs to be set by you once when making a change/addition to the markets list.

There are plenty of libraries which can do all the time calculations we need (including daylight savings) but they are all predicated on knowing the actual timezone of the exchange. See http://web.cs.ucla.edu/~eggert/tz/tz-link.htm

We can write a table with maps from Market ID to time zone but as soon as you make a change to the IDs, we have lost the mapping.

Of course the ultimate would be that in stream and lookup calls we were ablet to specify that we want the results in local market time rather than EST.

MV


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