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Viewing User Profile for: stargrazer
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Joined: Jun 13, 2005 12:02 PM
Last Post: Jan 3, 2021 10:50 PM
Last Visit: Jan 3, 2021 10:50 PM
Website: https://github.com/rburkholder/trade-frame
Location: Alberta, Canada
Occupation: Consultant
Interests: Will build customized trading algorithms based upon Interactive Brokers and DTN IQ
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stargrazer has contributed to 266 posts out of 19969 total posts (1.33%) in 5,704 days (0.05 posts per day).

20 Most recent posts:
Data and Content Support » Open Interest with Historical Options Data? Jan 3, 2021 10:50 PM (Total replies: 7)

Not sure by what you mean by 'but it was too slow'. But that would typically be how you would get the bid/ask, is by 'watching' the bid/ask/trade stream.

Run the 'w' with a symbol in IQFeed to obtain the live stream. You can then extract the bid/ask/trade information from this live stream.

Data and Content Support » Open Interest with Historical Options Data? Dec 24, 2020 09:41 PM (Total replies: 7)

Bid/Ask for non trades is not available on any symbol, option or equity.

If you are back testing on that kind of high frequency data, you probably don't really need a lot of history.

I simply run collections on bid/ask/trade info live during market hours. I store that each day. There is much info.

I can then back test as needed on the details collected.

On the other hand, I'll typically build models, then run them real time on paper trading. It provides a true real-time high-frequency experience. Or as close to true, as paper-trading can supply (some slipped and unmet orders).


Or maybe install the packages supplied by your distribution.

Then when you run "wine ..... ", it should use your home directory, and all your user privileges should work on your own files.

Otherwise, run chown 'user.user' <using your user> to fix up ownership.

IQFeed Developer Support » API on Linux Apr 11, 2020 09:23 PM (Total replies: 10)

I find that if I start news or the quote tool, the app initiates the login sequence, and serves to keep the service pinned up.

Typically the first time doesn't work. On the second try it works. Then I can connect my tools. The session seems to be reliable for me at that point.

DTN has been promising an API for many years.

At the very least, it would be nice if they could simulate a WINE session themselves, and maybe see what this issue is and at least resolve it, so that at minimum, WINE does work reliably.

And as a note, this is using x64 version of Wine with the x86 32 bit extensions.


There is some other recent activity on how to start up the agent. In addition, there needs to be a client running and connected to the agent to keep it running. I usually just startup the snapquote and select any old symbol to monitor.

DTN.IQ Client Software Support » IQ Feed client on Mac does not work Jun 25, 2019 05:21 PM (Total replies: 9)

On my machine:

 
user@here:~$ wine .wine/drive_c/Program\ Files/DTN/IQFeed/iqconnect.exe -product x1 -version x2 -login x3 -password x4 -autoconnect


Substitute your own info for x1, x2, x3, x4

Data and Content Support » Incorrect NEM Option strike prices? Jun 10, 2019 12:02 PM (Total replies: 1)

A subset of what I see in today's mktsymbols_v2 file

I don't think .12 is a valid price point?


NEM1921F35 NEM JUN 2019 C 35.00 OPRA OPRA IEOPTION
NEM1921F35.12 NEM JUN 2019 C 35.12 OPRA OPRA IEOPTION
NEM1921F35.5 NEM JUN 2019 C 35.50 OPRA OPRA IEOPTION
NEM1921F36 NEM JUN 2019 C 36.00 OPRA OPRA IEOPTION
NEM1921F36.12 NEM JUN 2019 C 36.12 OPRA OPRA IEOPTION
NEM1921F36.5 NEM JUN 2019 C 36.50 OPRA OPRA IEOPTION
NEM1921F37 NEM JUN 2019 C 37.00 OPRA OPRA IEOPTION
NEM1921F37.12 NEM JUN 2019 C 37.12 OPRA OPRA IEOPTION
NEM1921F37.5 NEM JUN 2019 C 37.50 OPRA OPRA IEOPTION
NEM1921F38.12 NEM JUN 2019 C 38.12 OPRA OPRA IEOPTION
NEM1921F39.12 NEM JUN 2019 C 39.12 OPRA OPRA IEOPTION
NEM1921F40.12 NEM JUN 2019 C 40.12 OPRA OPRA IEOPTION
NEM1921F41.12 NEM JUN 2019 C 41.12 OPRA OPRA IEOPTION
NEM1921F42.12 NEM JUN 2019 C 42.12 OPRA OPRA IEOPTION
NEM1921F43.12 NEM JUN 2019 C 43.12 OPRA OPRA IEOPTION
NEM1921F44.12 NEM JUN 2019 C 44.12 OPRA OPRA IEOPTION
NEM1921F45.12 NEM JUN 2019 C 45.12 OPRA OPRA IEOPTION
NEM1921F46.12 NEM JUN 2019 C 46.12 OPRA OPRA IEOPTION
NEM1921F47.12 NEM JUN 2019 C 47.12 OPRA OPRA IEOPTION
NEM1921F48.12 NEM JUN 2019 C 48.12 OPRA OPRA IEOPTION
NEM1921F49.12 NEM JUN 2019 C 49.12 OPRA OPRA IEOPTION
NEM1921R19.12 NEM JUN 2019 P 19.12 OPRA OPRA IEOPTION
NEM1921R20.12 NEM JUN 2019 P 20.12 OPRA OPRA IEOPTION
NEM1921R21.12 NEM JUN 2019 P 21.12 OPRA OPRA IEOPTION
NEM1921R22.12 NEM JUN 2019 P 22.12 OPRA OPRA IEOPTION
NEM1921R23 NEM JUN 2019 P 23.00 OPRA OPRA IEOPTION
NEM1921R23.12 NEM JUN 2019 P 23.12 OPRA OPRA IEOPTION
NEM1921R23.5 NEM JUN 2019 P 23.50 OPRA OPRA IEOPTION
NEM1921R24 NEM JUN 2019 P 24.00 OPRA OPRA IEOPTION


IQFeed Developer Support » Developer wanted to build API Apr 4, 2019 09:44 AM (Total replies: 5)

I have an app which download and parses the mktsymbols_v2.txt file:

https://github.com/rburkholder/trade-frame/tree/master/IQFeedMarketSymbols

I've found some SIC and NAICS code files which I use to find certain groupings:

https://github.com/rburkholder/trade-frame/tree/master/x64

I have a set of tools I use for querying various IQFeed based streams: news, history, live quotes (fundamental data found in the live quote streams)

https://github.com/rburkholder/trade-frame/tree/master/lib/TFIQFeed

There is some one else's tool which provides easy db access to mysql:

https://www.webtoolkit.eu/wt/doc/tutorial/dbo.html

This is all C++. Someone else in the forums has some C# libraries. I don't know what else is out there.

Do you need specific development environment, or do you just need an application rather than an API?

IQFeed Developer Support » Developer wanted to build API Apr 4, 2019 09:24 AM (Total replies: 5)

What are you looking to do?


I think 6.0.0.5 has some buffering/incomplete-record issues when running multiple symbols. Try the latest which is 6.0.1.1, I believe.

Try building your VM with Stretch.

Although describing a container build, the same wine configuration can be used in a regular VM (you may need to copy and paste the link rather than clicking on it):

http://blog.raymond.burkholder.net/index.php?/archives/950-Gui-using-Wine,-X2Go,-LXDE-in-a-simple-LXC-container.html

There might be an issue with the news service. If so, see the following for a fix:

http://blog.raymond.burkholder.net/index.php?/archives/747-DTNIQFeed-Gecko-Problem-in-Wine-from-WineHQ.html

To get IQConnect 'locked in', I run the SnapQuote application twice. The first time starts IQConnect, and the second time actually makes a connection after choosing a symbol. I then close the first SnapQuote application.


If it is the server side, can you telnet to the news port and see headlines and articles?


Quote: Also, when is anybody going to get around to fixing the news display application.
Every time I click a news item all I get is "page cannot be displayed" in the bottom panel.


Dunno, if you are running in Wine, then the following may fix for you:

http://blog.raymond.burkholder.net/index.php?/archives/747-DTNIQFeed-Gecko-Problem-in-Wine-from-WineHQ.html

But I am running v6.0.0.5, which might act differently.


I'm not sure what the question is, because I think the discrepancies can be attributed to mostly physics then.

When I looked at this many moons ago, Chicago was closer then NY to the DTN servers, thus the differences in time.


Do you use NTP to sync the time of your server to the 'rest of the world'?

IQFeed Developer Support » Consuming IQFeed APIs via C++ on Linux Nov 17, 2018 01:03 AM (Total replies: 16)

Oh, and one more thing. Is the iqfeed client 64 bit yet? If not, isn't that kinda stone age? My 64 bit apps are unable to start the iqfeed client, and I have to revert to starting it manually with one of the iqfeed supplied sample apps. As far as I recollect, and it was a long time ago, there is only a 32 bit api for auto-starting the iqfeed client. Or have things changed since way back then?

IQFeed Developer Support » Consuming IQFeed APIs via C++ on Linux Nov 16, 2018 08:48 PM (Total replies: 16)

But having said all that, it seems as though more and more users are switching to Linux. And this goes back 'quite a number of years'.

For the DTN support people, what would be preventing the creation of a native linux based client? Or even a client which does not require a GUI login? Is it an exchange licensing problem?

IQFeed Developer Support » Consuming IQFeed APIs via C++ on Linux Nov 16, 2018 08:45 PM (Total replies: 16)

The closest to headless I run is:

* building an lxc container, installing wine, etc.
* installing LXDE as a gui environment, but not tied to a graphics card [1]
* installing x2go server
* connecting to the session with an x2go client
* allows gui session via remote access

Don't know if this helps at all.

[1] http://blog.raymond.burkholder.net/index.php?/archives/950-Gui-using-Wine,-X2Go,-LXDE-in-a-simple-LXC-container.html


Quote: I'm looking at option trades for backtesting, primarily on EOD


I am curious. I gather you have already pulled down historical option tick data and/or historical option 1 minute bar data for your symbols of interest for what they supply currently. Do you get coverage through out the day, or is it pretty sparse? Do you see ticks or bars falling at EOD regularily?


Quote: I am particularly looking forward to expired futures contracts. My requirement is to calculate contango and backwardation. In an ideal world, there would be a continuous front month and continuous back months


Due to the fact that trades can be sparse on back months on even popular symbols, I've found it of more value to capture and store daily feeds, keep the quotes as well as the trades, and then perform algorithm analysis based upon the quotes captured. I build my own daily summaries from the quotes, and typically use quote mid-points for rough approximations. This allows me to deal with open, close, and any time in between without worrying about the lack of trades.

You will also note that, as various sites say in the footers, past history may not be a good prognosticator of current movements. Which suggests even more value in collecting your own current data, complete with both quote and trade info, to use in your modeling and algorithm development.


Quote: In using a modification of Mathieu's excellent client (Thanks, Mathieu) I'm seeing symbols that are in IEOPTION but appear to have no data. Could this be verified and, preferably, the data added or the symbols removed from the file.


I am wondering what your expectations are. Have you followed options on the real time feeds? You'll note that there are continuous quotes available, but there are very infrequent trades happening. And if history only has the trades stored, the trades (if they are available), may not be indicative of the open, the close, the min, the max or anything in between. And that may be the reason why you see NO_DATA, because, well, the option was available, but no one traded anything. Ie, repeating myself, trades are very sparse in the options world.
Edited by stargrazer on Oct 8, 2018 at 03:04 PM


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