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bbmat has contributed to 30 posts out of 21184 total posts
(0.14%) in 3,671 days (0.01 posts per day).
20 Most recent posts:
Data Questions »
Only TRADES for "HIT" historical data requests? Dec 22, 2019 08:10 PM
(Total replies: 14)
Thanks, Todd
Data Questions »
Only TRADES for "HIT" historical data requests? Dec 22, 2019 08:04 PM
(Total replies: 14)
Hi Gary, So, can you confirm that iqfeed as of right now does not allow for the retrieval of any historical bid/ask quotes?
Data Questions »
Only TRADES for "HIT" historical data requests? Dec 22, 2019 08:36 AM
(Total replies: 14)
Well, I never argued that quote data are not resource intense. Hence there is no point to further argue about this. I just need to know whether historical option bid and ask prices are anywhere available, via additional premium subscription or not. If not I will need to cancel my service and api subscription as I need those data now. Other data providers seem to offer it. Interactive Brokers does but it has too restrictive data request throttles and pacing. But livevol pro does offer historical option quotes,not just trades. So again, my question to dtn staff is: are historical option quotes (bid/ask) available, and I don't mean the bid and ask quotes that are stored alongside trades in HTT responses.
Data Questions »
Only TRADES for "HIT" historical data requests? Dec 22, 2019 07:46 AM
(Total replies: 14)
I guess you are referring to tick data requests (HTT) requests. I just tested and yes, HTT tick data requests only return trades. But I was specifically referring to open-high-low-close bar data at a minimum granularity of 1-minute. It is not an enormous data requirement and would only require 8 additional time series per symbol on their server to store, 4 for the bid (o/h/l/c) and 4 for the offer (o/h/l/c). If the IQFeed API does not allow for the retrieval of bids and offers then the historic data function are completely worthless for options. Most options trade at most once even per hour. I need the bid and offer to align with the bid and offer of the underlying in order to generate a volatility surface. Only being able to obtain historical option trades makes absolutely no sense as most option trades are stale.
IQFeed Developer Support »
EOD Historical Dividend Adjustments Dec 22, 2019 06:43 AM
(Total replies: 41)
Any update on this? Are dividend data and adjustments available now?
Data Questions »
Only TRADES for "HIT" historical data requests? Dec 22, 2019 06:39 AM
(Total replies: 14)
Am I correct in my assumption that HIT historical data requests are built from trades? My question then is whether I can request historical bar/ohlc data that are not comprised of trades but of bid and ask prices? For example, a 1-minute bar of bids would contain the open bid in that 1-minute time span, the highest bid, the lowest bid and the closing bid. How can I obtain ohlc data based on bids or offers? The historical tick data requests are not really suitable to my need as I sometimes need to request data that are older than what tick data allow access to.
IQFeed Developer Support »
Subscribe to new BARS not TICKs? Jun 27, 2014 08:19 AM
(Total replies: 6)
I figured out the issue, the problem was the <space> in front of the symbol. Thanks a lot.
IQFeed Developer Support »
Subscribe to new BARS not TICKs? Jun 27, 2014 06:01 AM
(Total replies: 6)
When I submit the command "BW,USDCAD.COMP,3600,,1", all that is returned is: ""S,SERVER CONNECTED\r"" but nothing else! When I submit the following command : "BW, USDJPY.FXCM, 1,,,,,,67c38784-4083-4117-ac92-8b6e82c27bb6,,,\r\n" (includes requestId) then the following is returned: "S,SERVER CONNECTED\r" and then "n, USDJPY.FXCM\r" Neither seems to work. Could you please advise what is potentially going wrong here? I set the protocol to Version 5.1 upon connecting the derivative tcp socket.
IQFeed Developer Support »
Subscribe to new BARS not TICKs? Jun 26, 2014 04:15 AM
(Total replies: 6)
Could you please check whether the streaming bar request "BW, ...." allows for currency symbol requests? Each time submit a request it returns "n,[Symbol]".
IQFeed Developer Support »
Subscribe to new BARS not TICKs? Apr 23, 2014 06:35 AM
(Total replies: 6)
I am aware how to retrieve historical bar series, however, I am wondering is it possible to receive new bars that complete? For example, I can retrieve all historical 1-minute bars up until now but I also like to be notified and receive when each new 1-minute bar completes going forward without having to specifically request it each single time. If that is not possible could you please give me some suggestion what Best Practices are? I see the problem that because of slight timer differences relying on the local timer to each time request a new bar is most likely a very bad solution. Thanks.
IQFeed Developer Support »
Error codes for historical tick and bar requests are not standardized and not matching with the documentation Apr 18, 2014 08:06 AM
(Total replies: 4)
Great, will do. While you offered to clarify, is there a chance to get a list of the currently supported fx providers? I am aware of FXCM and COMP (composite feed) but I wonder which other currently supported providers are there. I am especially interested in ECN type of feeds such as FXAll, HotspotFX, Currenex, EBS, Reuters. I checked on your website and found one list but most of the listed providers listed under Tenfore are not working. I am interested in intraday 1-minute and tick based data. Thanks a lot
IQFeed Developer Support »
Error codes for historical tick and bar requests are not standardized and not matching with the documentation Apr 18, 2014 07:56 AM
(Total replies: 4)
I get similar messages than you get above. I guess I got confused because some of my requests include a custom requestId, others do not. You made it clear that even when an error message is returned the request Id is prepended as long as the request is made with the id. Sorry my bad. Happy Easter. P.S. Is there a way to delete this thread as it was my mistake and the datafeed behaves actually as documented and expected.
IQFeed Developer Support »
Error codes for historical tick and bar requests are not standardized and not matching with the documentation Apr 16, 2014 11:54 PM
(Total replies: 4)
The documentation states the following: Result Format for Errors: If IQConnect.exe recognizes the command is formatted incorrectly, you will receive a syntax error in the following format: E,!SYNTAX_ERROR!,<CR><LF> Or, if the servers return an error, you will receive an error in the following format: E,[Error Text],<CR><LF>!ENDMSG!,<CR><LF> If you specified a REQUESTID, it will be prepended to one of the above messages. For example: REQUESTID,E,[Error Text],<CR><LF> ************************************** Can you please shed light into the current standard way to receive error messages because the above does not match with what I get back. I am receiving error messages that differ significantly: Sometimes the error message is prepended with "1000", at other times only a "!NOData!" is returned. It makes it incredibly difficult to write code that does not break.
IQFeed Datafeed Wish List »
IQFeed, millisecond time stamps for currency tick data Apr 16, 2014 11:51 PM
(Total replies: 0)
I like to request the addition of millisecond time stamps for currency tick based data. I understand that your data providers do not time stamp down to the millisecond but can you at least consider timestamping to the millisecond on your end? It makes very little sense to receive several ticks within the same second that are all identically timestamped. I currently time stamp on my end but I am not sure I understand why you provide millisecond precision for equity data but not for currency data. Most every data provider nowadays provides precise time stamps down to the millisecond so I am actually pretty sure that your data providers (Tenfore or FXCM,...) also provide millisecond precision.
IQFeed Developer Support »
No milliseconds included in DateTime on Tick Data Requests Mar 31, 2014 08:39 AM
(Total replies: 17)
Thanks
IQFeed Developer Support »
No milliseconds included in DateTime on Tick Data Requests Mar 31, 2014 08:30 AM
(Total replies: 17)
Thanks for checking. Not wanting to open another topic, could you please let me know what the cutoff time is for fx data when requesting historical DAILY data? What is the time at which the Daily Close of a compressed data point is taken? Is it midnight EST?
IQFeed Developer Support »
Lookup Socket receives only one single data point even when setting "DataPointsPerSend" to 2500 or 5000 Mar 31, 2014 08:00 AM
(Total replies: 13)
My apologies, problem solved! I wrote an AsyncSocket class some time ago and completely forgot that I internally already manage potentially split messages. Sorry to occupy your time with this issue. I verified and the Gateway indeed sends messages containing multiple data points, constrained by the "dataPointsPerSend" parameter.
IQFeed Developer Support »
Lookup Socket receives only one single data point even when setting "DataPointsPerSend" to 2500 or 5000 Mar 31, 2014 05:57 AM
(Total replies: 13)
will need to double check and get back to you on this, but good idea to isolate whether the gateway is involved or not.
IQFeed Developer Support »
Lookup Socket receives only one single data point even when setting "DataPointsPerSend" to 2500 or 5000 Mar 31, 2014 05:31 AM
(Total replies: 13)
Tim Walter, thanks for your effort but I guess you misunderstand; My issue is that my socket only receives incoming data packets with the EXACT size and content of 1(!!!) single data point, one line (ending with "\r"). That is all each packet contains. I expect to receive hundreds of data points in one packet. It still looks to me that the gateway sends out line by line rather than all 500 requested data points at once. So, currently I do not need to store anything in temp variables because I receive exactly one data point and it is easy to parse that into a POCO. My problem, however, is that I want to get many datapoints (optimally) the whole request in one or few large packets. I double checked and my socket logic does not impose any limits on incoming data sizes. My socket logic seems perfectly fine. I receive exactly what I request, not one single data point is dropped. But my socket receives each single data point in an individual packet rather than having many data points lumped together in one packet. And right now I still have to suspect that it is the Gateway IQConnect which is the speed throttle here -> Sending each data point individually slows down things to a large degree. Edited by bbmat on Mar 31, 2014 at 05:33 AM Edited by bbmat on Mar 31, 2014 at 05:36 AM
IQFeed Developer Support »
No milliseconds included in DateTime on Tick Data Requests Mar 31, 2014 05:17 AM
(Total replies: 17)
got it, thanks. |
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