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»Forums Index »Product Support »DTN.IQ Client Software Support »No millisecond resolution data
Author Topic: No millisecond resolution data (8 messages, Page 1 of 1)

Sceptre
-Interested User-
Posts: 5
Joined: Feb 4, 2015


Posted: Feb 10, 2015 01:30 PM          Msg. 1 of 8
The marketing material says that millisecond data is available, but when the following request is sent to DTN IQ Feed 5.0 for the symbol @ESH15:

S,SET PROTOCOL,5.0\r\n
S,SELECT UPDATE FIELDS,Symbol,Last,Last Trade Time,Bid TimeMS\r\n

Instead of getting update messages with millisecond accuracy, IQ Feed replies:

"Bid TimeMS is not a valid fieldset field."

The legacy IQ Feed 4.9 field: "Last Trade Time" is only accurate to the nearest second.

Am I missing something? Why are the documented version 5.0 fields not available? Thanks.

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Feb 10, 2015 01:42 PM          Msg. 2 of 8
Hello Sceptre,

When sending the protocol, you will get a return like this.
S,CURRENT PROTOCOL,5.0,
S,CURRENT UPDATE FIELDNAMES,Symbol,Most Recent Trade,Most Recent Trade Size,Most Recent Trade TimeMS,Most Recent Trade Market Center,Total Volume,Bid,Bid Size,Ask,Ask Size,Open,High,Low,Close,Message Contents,Most Recent Trade Conditions

Once that return is processed, then you can call your field set.
Note: Last Trade Time is what you had, that will be invalid in 5.0, so I switched to the new MS field instead.
S,SELECT UPDATE FIELDS,Symbol,Last,Last TimeMS,Bid TimeMS

You should get a return of
S,CURRENT UPDATE FIELDNAMES,Symbol,Last,Last TimeMS,Bid TimeMS

Then you can issue your watches and data will return as you are expecting
Q,MSFT,42.5600,14:41:44.729,14:41:46.207,

But, let me know if you have any additional questions or issues with it.

Tun

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Feb 10, 2015 01:43 PM          Msg. 3 of 8
btw, the latest protocol is 5.1, if you are developing a new app, I can see no reason not to start out using that protocol as it will have the greatest functionality and support.

Tim

Sceptre
-Interested User-
Posts: 5
Joined: Feb 4, 2015


Posted: Feb 10, 2015 03:17 PM          Msg. 4 of 8
Hello Tim,

Can I check if there are differences between MSFT and @ESH15? If I ask the IQ Feed connector what it can give me in terms of fieldsets, after setting the symbol, it reports as below. None of which relate to millisecond precision. Can you test your end and suggest any enlightenment?:

S,SERVER CONNECTED
O
T,20150210 16:11:39
S,CURRENT PROTOCOL,5.1,

F,@ESH15,22,,,2088.75,1713.00,,,,,,,,,,,,,,,,,,E-MINI S&P 500 MARCH 2015,,,,,,,,,,, , ,,0,12,2,,15.36,8,43,12/26/2014,02/03/2014,,,,,,03/20/2015,,,ES,

P,@ESH15,22,2062.25,19.75,0.009669523,1362361,1,2066.50,2040.50,2062.00,2062.25,149,540,,,26,16:11:40a,2762422,2043.75,2042.50,0.25,,2042.50,,0,,,,,02/10/2015,,2062.25,03/20/2015,,,19.75,0,,,0.25,0.25,18.5,1,0.012607589,,12,2,38,1289419,,,,,,475063,16:11:40,16:11:40,,8690806,,02/09/2015,43,43,43,16:11:40,,

S,UPDATE FIELDNAMES,Symbol,Exchange ID,Last,Change,Percent Change,Total Volume,Incremental Volume,High,Low,Bid,Ask,Bid Size,Ask Size,Tick,Bid Tick,Range,Last Trade Time,Open Interest,Open,Close,Spread,Strike,Settle,Delay,Market Center,Restricted Code,Net Asset Value,Average Maturity,7 Day Yield,Last Trade Date,(Reserved),Extended Trading Last,Expiration Date,Regional Volume,Net Asset Value 2,Extended Trading Change,Extended Trading Difference,Price-Earnings Ratio,Percent Off Average Volume,Bid Change,Ask Change,Change From Open,Market Open,Volatility,Market Capitalization,Fraction Display Code,Decimal Precision,Days to Expiration,Previous Day Volume,Regions,Open Range 1,Close Range 1,Open Range 2,Close Range 2,Number of Trades Today,Bid Time,Ask Time,VWAP,TickID,Financial Status Indicator,Settlement Date,Trade Market Center,Bid Market Center,Ask Market Center,Trade Time,Available Regions

E,Last TimeMS is not a valid fieldset field.,

DTN_Steve_S
-DTN Guru-
Posts: 2090
Joined: Nov 21, 2005


Posted: Feb 10, 2015 03:26 PM          Msg. 5 of 8
Hello, I believe what Tim was intending is that you do not seem to be getting the response to the S,SET PROTOCOL command. Until you are getting that request processed correctly, none of the fields that contain milliseconds will work.

When you send, S,SET PROTOCOL,5.1\r\n to the feed, you SHOULD be getting in response (from Tim's post):
Quote: S,CURRENT PROTOCOL,5.1,
S,CURRENT UPDATE FIELDNAMES,Symbol,Most Recent Trade,Most Recent Trade Size,Most Recent Trade TimeMS,Most Recent Trade Market Center,Total Volume,Bid,Bid Size,Ask,Ask Size,Open,High,Low,Close,Message Contents,Most Recent Trade Conditions


Can you verify you are getting this response?

If you aren't getting this response, please post (or email to dev support) the snipit of code where you are actually sending this request.

Sceptre
-Interested User-
Posts: 5
Joined: Feb 4, 2015


Posted: Feb 10, 2015 03:43 PM          Msg. 6 of 8
Hi Steve - no the response I get is the one posted above, for the particular symbol I specified.

What I am doing is no more than asking for data back from IQ Feed like so:

CString csCommand = "S, SET PROTOCOL, 5.1\r\n";

This is immediately followed by a call to SendRequestToIQFeed, passing csCommand.

csCommand.Format("w%s\r\n", m_csRequestedData);

This is also immediately followed by a call to SendRequestToIQFeed, passing csCommand.

csCommand = "S,REQUEST ALL UPDATE FIELDNAMES\r\n";

This is also immediately followed by a call to SendRequestToIQFeed, passing csCommand.

The SendRequestToIQFeed function which contains:

void CDataEngine::SendRequestToIQFeed(CString csCommand)
{
int iSentBytes = m_IQConnectSocket.Send(csCommand, csCommand.GetLength());
m_lstData1.InsertItem(0, "Successfully connected to IQFeed.");
if (iSentBytes != csCommand.GetLength())
{
m_lstData1.InsertItem(1, "Unable to send Request to IQFeed.");
}
}

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Feb 11, 2015 07:31 AM          Msg. 7 of 8
Sceptre,

In this line, CString csCommand = "S, SET PROTOCOL, 5.1\r\n"; it appears to have spaces in it. If those are actually there, start with removing those and see if that gets you working.

Just the spaces after the commas need to be removed.

e.g.

S,SET PROTOCOL,5.1\r\n

Thanks,
Tim
Edited by DTN_Tim Walter on Feb 11, 2015 at 07:51 AM

Sceptre
-Interested User-
Posts: 5
Joined: Feb 4, 2015


Posted: Feb 11, 2015 08:49 AM          Msg. 8 of 8
Hi Tim,

I removed the spaces and still get the following for the contract @ESH15:

S,CURRENT PROTOCOL,5.1,
S,SERVER CONNECTED
S,UPDATE FIELDNAMES,Symbol,Exchange ID,Last,Change,Percent Change,Total Volume,Incremental Volume,High,Low,Bid,Ask,Bid Size,Ask Size,Tick,Bid Tick,Range,Last Trade Time,Open Interest,Open,Close,Spread,Strike,Settle,Delay,Market Center,Restricted Code,Net Asset Value,Average Maturity,7 Day Yield,Last Trade Date,(Reserved),Extended Trading Last,Expiration Date,Regional Volume,Net Asset Value 2,Extended Trading Change,Extended Trading Difference,Price-Earnings Ratio,Percent Off Average Volume,Bid Change,Ask Change,Change From Open,Market Open,Volatility,Market Capitalization,Fraction Display Code,Decimal Precision,Days to Expiration,Previous Day Volume,Regions,Open Range 1,Close Range 1,Open Range 2,Close Range 2,Number of Trades Today,Bid Time,Ask Time,VWAP,TickID,Financial Status Indicator,Settlement Date,Trade Market Center,Bid Market Center,Ask Market Center,Trade Time,Available Regions

Are you able to replicate this your end? Basically the level 1 feed is not providing millisecond data. Many thanks.
Edited by Sceptre on Feb 11, 2015 at 10:03 AM
Edited by Sceptre on Feb 11, 2015 at 10:04 AM
 

 

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