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Joined: Oct 18, 2023 04:06 AM
Last Post: Oct 28, 2023 11:39 AM
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Location: Ukraine
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LeeFox has contributed to 3 posts out of 21242 total posts (0.01%) in 278 days (0.01 posts per day).

20 Most recent posts:

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


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


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


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