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» Building bars from ticks
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| Author | Topic: Building bars from ticks (8 messages, Page 1 of 1) |
 dis -Interested User- Posts: 24 Joined: Apr 16, 2007 |
Posted: May 14, 2007 05:29 AM
Msg. 1 of 8
Hello Support,
I would like to ask you a question with regards to Level I data. I want to build bars using Level I data. Is there a way to do this? Could you please tell me the steps of processing the set of Update/Summary messages to build a bar? Your help in this regard would be greatly appreciated. Thanks, Alexander |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005 
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Posted: May 14, 2007 09:35 AM
Msg. 2 of 8
Yes it certainly should be possible to build bars using level1 data.
This should be fairly straight forward. Please send me an email at developer support with more information as to what you are having problems with. |
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dis -Interested User- Posts: 24 Joined: Apr 16, 2007 |
Posted: May 18, 2007 09:30 AM
Msg. 3 of 8
Currently I build bars in such may:
Receive set of ticks(Update messages) which belongs to one minute. For each tick I'm calculating average Bid/Ask value (Bid+Ask)/2. First becomes open, last - close, highest - high and lowest - low. The volume of bar is the sum of Last Size/Incremental Volume (field 8 of Summary/Update message). Is it ok? BTW, field 18 of Summary message must be in HH:MM:SSc format. Actually, I receive ??:??c. It looks like HH:MMc, is it so? |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005
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Posted: May 18, 2007 09:36 AM
Msg. 4 of 8
I believe your method for building the bars is ok.
The documentation for field 18 was updated in 4.2.1.4 to coincide with the new servers which will go online soon. The current servers do not provide seconds in the timestamp. The important thing to remember with that field is that the trade indicator (c) will always be the last character in the field. |
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dis -Interested User- Posts: 24 Joined: Apr 16, 2007 |
Posted: May 31, 2007 07:36 AM
Msg. 5 of 8
Hi Steve!
I'm still debugging my bar-build mechanism. OHLC parameters seem to be ok now, but volume parameter is not the same, compared to the historical data. It is greater or equal. Can you please tell me the update messages with which trade indicator (t,T,b,a,o - c part of 18th field of the update message) must influence the OHLC and\or volume parameter of the current 1-min bar? Thanks in advance. |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005
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Posted: May 31, 2007 10:33 AM
Msg. 6 of 8
Only Trades ('T' for extended or 't' for normal) will attribute to volume.
OHLC is a slightly different beast to tackle. It all depends upon what you want in your data analisys. For example, since our servers currently do not store extended trades in history, they only use normal trades for building OHLC. But, if you want to include extended trades, you will want to include the extended trades as well. |
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dis -Interested User- Posts: 24 Joined: Apr 16, 2007 |
Posted: Jun 18, 2007 09:12 AM
Msg. 7 of 8
Hi Steve,
I have one more question. I'm receiving a lot of quotes (update messages). I'm collecting a set of them with the same Time (field 18 update message) to build a 1 minute bar. For example, a quote's time is 9:32. What time should I assign the 1 min bar to: 9:32 or 9:33? What's the way you store the historical data? |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005
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Posted: Jun 18, 2007 09:16 AM
Msg. 8 of 8
IQFeed's history servers return data timestamped at the end of the interval
So, when requesting 1 minute history, all ticks from 09:00:00 - 09:00:59 will be accounted for in the bar 09:01:00. |
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