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jacknsa has contributed to 10 posts out of 21196 total posts (0.05%) in 2,390 days (0.00 posts per day).

20 Most recent posts:
IQFeed Developer Support » SPY historical Apr 30, 2018 11:03 AM (Total replies: 1)

Using HTT or HIT I'm able to get tick data for SPY for only one week. I thought you kept 6 month's historical. Is there a limitation for certain names?

Jack

Data and Content Support » Eurodollar future historical ticks Jan 16, 2018 10:14 AM (Total replies: 1)

I'm pretty sure I'm permissioned for CME future data but I only seem able to get limited historical data for futures. See log snippet below.

Also, does the historical data HTT, HTX etc. include bid/ask changes or only last sale trades? I only see trades. Is there a different request to see full tick data?

Thanks


HTX,@EMJ18,200,
2018-01-09 15:00:37.667412,98.2925,0,8,98.2850,98.2975,352116,S,110,00,
2018-01-09 09:22:46.685357,98.2925,1,8,0.0000,98.2925,954203,C,110,01,
2018-01-09 09:22:44.159271,98.2925,1,7,0.0000,98.2925,954191,C,110,01,
2018-01-09 09:22:41.632940,98.2925,1,6,0.0000,98.2925,954186,C,110,01,
2018-01-09 09:22:39.107111,98.2925,1,5,0.0000,98.2925,954178,C,110,01,
2018-01-09 09:22:36.575220,98.2925,1,4,0.0000,98.2925,954128,C,110,01,
2018-01-09 09:22:34.049527,98.2925,1,3,0.0000,98.2925,954127,C,110,01,
2018-01-09 09:22:31.521908,98.2925,1,2,98.2925,98.2950,954126,C,110,01,
2018-01-09 09:17:17.789460,98.2950,1,1,98.2950,98.3050,954064,C,110,01,
!ENDMSG!,
HTX,@EMJ18,1000,
2018-01-09 15:00:37.667412,98.2925,0,8,98.2850,98.2975,352116,S,110,00,
2018-01-09 09:22:46.685357,98.2925,1,8,0.0000,98.2925,954203,C,110,01,
2018-01-09 09:22:44.159271,98.2925,1,7,0.0000,98.2925,954191,C,110,01,
2018-01-09 09:22:41.632940,98.2925,1,6,0.0000,98.2925,954186,C,110,01,
2018-01-09 09:22:39.107111,98.2925,1,5,0.0000,98.2925,954178,C,110,01,
2018-01-09 09:22:36.575220,98.2925,1,4,0.0000,98.2925,954128,C,110,01,
2018-01-09 09:22:34.049527,98.2925,1,3,0.0000,98.2925,954127,C,110,01,
2018-01-09 09:22:31.521908,98.2925,1,2,98.2925,98.2950,954126,C,110,01,
2018-01-09 09:17:17.789460,98.2950,1,1,98.2950,98.3050,954064,C,110,01,
!ENDMSG!,
HTX,@EMJ18-@EMK18,1000,
E,!NO_DATA!,,
!ENDMSG!,
HTX,GE,20,
2018-01-16 11:07:46.128945,18.2650,200,85249908,18.2600,18.2700,1498500151,C,19,01,
2018-01-16 11:07:46.040098,18.2650,400,85249708,18.2600,18.2700,1498499661,C,19,01,
2018-01-16 11:07:45.895695,18.2650,200,85249308,18.2600,18.2700,1917870968,C,153,01,
2018-01-16 11:07:45.895566,18.2650,100,85249108,18.2600,18.2700,808862553,C,18,01,
2018-01-16 11:07:45.895542,18.2650,100,85249008,18.2600,18.2700,808862552,C,18,01,
2018-01-16 11:07:45.895517,18.2650,100,85248908,18.2600,18.2700,808862551,C,18,01,
2018-01-16 11:07:45.895495,18.2650,200,85248808,18.2600,18.2700,808862550,C,18,01,
2018-01-16 11:07:45.895478,18.2650,100,85248608,18.2600,18.2700,808862549,C,18,01,
2018-01-16 11:07:45.895447,18.2650,200,85248508,18.2600,18.2700,808862548,C,18,01,
2018-01-16 11:07:45.895431,18.2650,200,85248308,18.2600,18.2700,808862547,C,18,01,
2018-01-16 11:07:45.895400,18.2650,200,85248108,18.2600,18.2700,808862546,C,18,01,
2018-01-16 11:07:45.895381,18.2650,200,85247908,18.2600,18.2700,808862545,C,18,01,
2018-01-16 11:07:45.895353,18.2650,100,85247708,18.2600,18.2700,808862544,C,18,01,
2018-01-16 11:07:45.895332,18.2650,200,85247608,18.2600,18.2700,808862543,C,18,01,
2018-01-16 11:07:45.895301,18.2650,200,85247408,18.2600,18.2700,808862542,C,18,01,
2018-01-16 11:07:45.895269,18.2650,200,85247208,18.2600,18.2700,808862541,C,18,01,
2018-01-16 11:07:45.895236,18.2650,200,85247008,18.2600,18.2700,808862540,C,18,01,
2018-01-16 11:07:45.895200,18.2650,200,85246808,18.2600,18.2700,808862539,C,18,01,
2018-01-16 11:07:45.895158,18.2650,75,85246608,18.2600,18.2700,808862538,O,18,87,
2018-01-16 11:07:45.669056,18.2650,300,85246533,18.2600,18.2700,1917805911,C,153,01,
!ENDMSG!,

Data and Content Support » pre-open Total Volume Dec 26, 2017 06:48 AM (Total replies: 3)

Thanks for the quick reply. I'm trying to determine what the real-time "Q" feed would have looked like and how we can detect in real-time when something like this happens in the future. I assume we would have gotten normal "E" records for the 08:32:37 and 09:07:00 events but what would we have gotten for the 09:01 deletion? Do you happen to have saved traces of the "Q" feed for that time period?

Jack

Data and Content Support » pre-open Total Volume Dec 22, 2017 09:56 AM (Total replies: 3)

Dec 15 was a triple-witch options expiration day and we noticed some unusual trades. Unfortunately I wasn't logging the real time quotes but I'm trying to understand the trade flow from a historic HTT. Can you help me understand the trades at 08:34:41 and 09:07:00? In particular, note that "Total Volume" at 09:05:10 seems to be less than at 08:34:41 and then catches up at 09:07:00.

Thanks.

HTT,MCD,20171215 000000,20171215 235959,,040000,093000,1,TESTREQUEST,10
TESTREQUEST,2017-12-15 04:06:22,173.2900,108,108,171.2000,173.2900,808464434,0,0,E,
TESTREQUEST,2017-12-15 07:26:46,173.5800,100,546,173.1500,173.6300,808465714,0,0,E,
TESTREQUEST,2017-12-15 08:13:34,173.5800,100,695,173.1500,173.6300,808466225,0,0,E,
TESTREQUEST,2017-12-15 08:34:41,173.1400,285,34722,173.2500,173.6300,808539464,0,0,E,
TESTREQUEST,2017-12-15 09:05:10,173.6200,100,1136,173.5000,173.6300,808466770,0,0,E,
TESTREQUEST,2017-12-15 09:07:00,173.1400,33742,34891,173.2000,173.7500,808661586,0,0,E,
TESTREQUEST,2017-12-15 09:23:58,173.6900,122,35122,173.5300,173.7000,808469826,0,0,E,
TESTREQUEST,2017-12-15 09:24:59,173.5300,138,35304,173.1500,173.5300,808470089,0,0,E,
TESTREQUEST,2017-12-15 09:29:30,173.9400,300,35654,173.5900,173.9800,808464456,0,0,E,
TESTREQUEST,2017-12-15 09:29:35,173.9800,100,35854,173.6100,174.0000,808464433,0,0,E,
TESTREQUEST,2017-12-15 09:29:45,174.0000,100,35954,173.8000,174.1800,808464735,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.1600,111,36065,173.8000,174.3500,808473429,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.2400,100,36173,173.8000,174.3500,808473648,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,100,36454,173.8000,174.3500,808473651,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,281,36754,173.8000,174.3500,808473666,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,400,37154,173.8000,174.3500,808473667,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,400,37554,173.8000,174.3500,808473668,0,0,E,
TESTREQUEST,!ENDMSG!,

Data and Content Support » VWAP in pre-open Dec 14, 2017 10:20 AM (Total replies: 2)

Follow up: From testing it looks like VWAP published during the pre-open is stale. Probably last available from prior day's regular trading session. Can anyone confirm that? Or am I requesting the wrong field on the SELECT UPDATE FIELDS command?

Data and Content Support » VWAP in pre-open Dec 13, 2017 09:58 AM (Total replies: 2)

Is there any documentation on how you calculate VWAP during pre-open for Dow, NDX and SPX equities? Especially for thinly traded instruments?

I'm using ver 5.2.7.0 so I think I don't have the issue outlined in another thread.

Data and Content Support » lower case 'n' message type Nov 7, 2017 06:48 AM (Total replies: 1)

I can't seem to find 'n' in the documentation. I get this when I request index quotes. (see below). I assume this means I'm not permissioned for this data. Is that correct?

2017-11-07 07:30:38.044 (16) [D] Core_IQFeed Request Sent Successfully: wINDU.X
2017-11-07 07:30:38.044 (17) [D] Core_IQFeed Request Sent Successfully: wNDX.X

2017-11-07 07:30:38.359 (52) [D] Core_IQFeed msg n,INDU.X
2017-11-07 07:30:38.359 (45) [D] Core_IQFeed msg n,NDX.X

Data and Content Support » Trade types Nov 1, 2017 08:41 AM (Total replies: 8)

Is this what you're referring to?

"Request a list of Trade Conditions from the feed."

Edited by DTN_Tim Walter on Nov 1, 2017 at 08:51 AM

Data and Content Support » Trade types Nov 1, 2017 08:38 AM (Total replies: 8)

Sorry if I'm missing something but I can't seem to find the page you're referring to as: "trades condition lookup" . The first link seems to be the symbol lookup description.

Data and Content Support » Trade types Nov 1, 2017 07:55 AM (Total replies: 8)

In addition to Trade Condition the documentation describes the field "Most Recent Trade Conditions" as a string of 2 digit hex numbers. These values are "provided by the exchange". In order to determine the cause of an "O" designation I assume we need to parse the Trade Condition values. Do you have (or know where I can find) descriptions of these hex values (for NYSE and NASD say)? Examples of the kinds of values I'm seeing are: 873D17 and 40010101

Thanks.


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