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»Forums Index »NEW IQFEED FORUMS »IQFeed API Questions »Level1 streaming data - char 'c' never comes in 'Message Contents' field
Author Topic: Level1 streaming data - char 'c' never comes in 'Message Contents' field (5 messages, Page 1 of 1)

LeeFox
-Interested User-
Posts: 3
Joined: Oct 18, 2023


Posted: Oct 18, 2023 05:03 AM          Msg. 1 of 5
I use Level1 streaming quote data via socket (IQFeed : Protocol 6.0)
In description of field 'Message Contents' is "c - A Close occurred".
But I never receive char 'c' in this field after market close (04:00 PM). However, the "o" char comes after the market opens.
Here is unique values of 'Message Contents' which I received from 07:00 AM till 6:00 PM (continueouse connection):
O
ba
E
Cohl
C
Cl
Ch
a
b

I found at another topic - "The close "c" message doesn't necessarily happen immediately when the close happens. It varies by exchange, but in most cases it is sent later." Ok, but timespan from 04:00 PM till 6:00 PM is not immediately...


LeeFox
Edited by LeeFox on Oct 18, 2023 at 05:07 AM

LeeFox
-Interested User-
Posts: 3
Joined: Oct 18, 2023


Posted: Oct 23, 2023 05:24 PM          Msg. 2 of 5
I tried anoter metod which offered by DTN_Gary_Stephen in topic "c & s update Message Contents." - "The best way to know the close price as soon as possible in iqfeed is to use an HDX historical lookup command: HDX,symbol,1,,,0. The command itself returns 1 day of daily data, and it today's close has happened, it'll be today's data."

I send request like HDX,symbol,1,,,0 for 4 symbols at 08:56 AM:
08:56:32 LH,2023-10-20,128.1700,124.9700,128.0500,125.1700,56406410,0, [AMZN]
08:56:32 LH,2023-10-20,6.5900,6.0200,6.1300,6.4300,6898338,0, [NVAX]
08:56:33 LH,2023-10-20,26.9400,26.2400,26.8000,26.3100,62058406,0, [BAC]
08:56:33 LH,2023-10-20,225.3400,218.3710,224.0400,219.5100,198581,0, [AMR]


From 04:00PM I start to send requests for 4 symbols every 1 second via lookup socket. Below listing of results:

16:00:00 LH,2023-10-23,127.8800,123.9800,124.6300,126.5500,41450404,0, [AMZN]
16:00:00 LH,2023-10-23,6.5890,6.0903,6.3500,6.1550,5606142,0, [NVAX]
16:00:00 LH,2023-10-23,26.2100,25.5200,26.1300,25.5600,53894431,0, [BAC]
16:00:01 LH,2023-10-23,222.9999,216.6800,217.3600,218.1100,117765,0, [AMR]

2023-10-23 is today that means close has happened and we have close price, but below we received another values of close price...

16:00:02 LH,2023-10-23,127.8800,123.9800,124.6300,126.5600,44604529,0, [AMZN]
16:00:02 LH,2023-10-23,6.5890,6.0903,6.3500,6.1600,5840365,0, [NVAX]
16:00:02 LH,2023-10-23,26.2100,25.5200,26.1300,25.5700,58024625,0, [BAC]
16:00:03 LH,2023-10-23,222.9999,216.6800,217.3600,218.0300,131737,0, [AMR]

16:00:04 LH,2023-10-23,127.8800,123.9800,124.6300,126.5600,44660403,0, [AMZN]
16:00:04 LH,2023-10-23,6.5890,6.0903,6.3500,6.1600,5843992,0, [NVAX]
16:00:05 LH,2023-10-23,26.2100,25.5200,26.1300,25.5700,58026922,0, [BAC]
16:00:05 LH,2023-10-23,222.9999,216.6800,217.3600,218.0300,131737,0, [AMR]

16:00:06 LH,2023-10-23,127.8800,123.9800,124.6300,126.5600,44680725,0, [AMZN]
16:00:07 LH,2023-10-23,6.5890,6.0903,6.3500,6.1600,5843992,0, [NVAX]
16:00:07 LH,2023-10-23,26.2100,25.5200,26.1300,25.5700,58309613,0, [BAC]
16:00:07 LH,2023-10-23,222.9999,216.6800,217.3600,218.0300,131772,0, [AMR]

My question still open. How I can get a close price asap after market closes and be confident that it is correct?

PS Now I switched to protocol version 6.2. The "c" character still does not appear in the "Message Content" field for Q message after the market closes

LeeFox

LeeFox
-Interested User-
Posts: 3
Joined: Oct 18, 2023


Posted: Oct 28, 2023 11:39 AM          Msg. 3 of 5
I had mistake in my previsiouse post regarding HDX historical lookup command (HDX,symbol,1,,,0).
This metod working, but this method is not so fast as I would like. For example, I received Close price at 4:30 pm only (30 minutes after market close)

But I found another way which is really fast. It's using field 'Most Recent Trade Conditions' with field 'Message Contents'. If 'Most Recent Trade Conditions' contains HEX 40 (Closing Prints) and also 'Message Contents' contains 'C' or 'O' - field 'Last' contains exactly today's Close price.


LeeFox
Edited by LeeFox on Oct 28, 2023 at 11:39 AM

mkvalor
-Interested User-
Posts: 24
Joined: Oct 6, 2020

Keep your tools sharp.


Posted: Feb 10, 2024 12:44 PM          Msg. 4 of 5
Quote: If 'Most Recent Trade Conditions' contains HEX 40 (Closing Prints) and also 'Message Contents' contains 'C' or 'O' - field 'Last' contains exactly today's Close price.


This is really great info LeeFox. Thanks for sharing it. Do any of the IQFeed moderators have any comment on using this method?

-Mark D. Valor

DTN_Gary_Stephen
-DTN Guru-
Posts: 390
Joined: Jul 3, 2019


Posted: Feb 12, 2024 08:27 AM          Msg. 5 of 5
I've never heard of "c" not appearing, except maybe for commodities that have a Settle price but technically no Close price. In that case it would be "s" not "c". What symbol are you trying to view?

The "closing prints" trade condition seems to be what you're looking for according to various online resources, but going to the trouble of monitoring Trade Conditions shouldn't be necessary.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist
 

 

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