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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »Historical OHLC bars for quotes (bid/ask)?

Author	Topic: Historical OHLC bars for quotes (bid/ask)? (6 messages, Page 1 of 1)
vmitec -Interested User- Posts: 3 Joined: Mar 15, 2017	Posted: Mar 15, 2017 08:06 AM Msg. 1 of 6 I am just getting started with IQFeed. In order to backtest some strategies, I need to retrieve 1-minute OHLC bars over extended periods of time (years) So far, I only managed to get 1-minute OHLC bars for trades, but not quotes (bid and ask). Is there a way to retrieve 1-minute OHLC bars for quotes? Quotes are interesting too because they provide knowledge of the time-varying bid/ask spread and allow to simulate more accurately fills during backtesting. I am familiar with Interactive Broker historical data. With Interactive Brokers, I can request OHLC bars for either the bid, the ask, the midpoint or for trades. Is there anything similar with IQFeed? Thanks.
DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006	Posted: Mar 15, 2017 08:35 AM Msg. 2 of 6 Good morning, Unfortunately, IQFeed does not store any historical bid or ask data within it's systems, but we do have other products with this type of data available for a one time purchase to supplement your usage, if you would like to talk about purchasing this kind of data just let me know and I can have someone is sales reach out to you. Tim
vmitec -Interested User- Posts: 3 Joined: Mar 15, 2017	Posted: Mar 21, 2017 02:17 AM Msg. 3 of 6 Thanks Tim for your reply. I will try to see what I can do with the data available through the API first and come back to you if I need additional data. Vincent
jonnyb -DTN Evangelist- Posts: 122 Joined: Aug 15, 2012	Posted: May 1, 2017 10:04 AM Msg. 4 of 6 Tim- Is that NxCore?
DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006	Posted: May 1, 2017 10:10 AM Msg. 5 of 6 NxCore is a streaming service that would have this. But, I believe sales can provide data on a one time basis aside from that. If you contact sales and ask for Jerry, I am sure he can explain the options better than I. Tim
jonnyb -DTN Evangelist- Posts: 122 Joined: Aug 15, 2012	Posted: May 1, 2017 10:13 AM Msg. 6 of 6 That's great...didn't realize this was available. Thanks Tim