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jayflatland has contributed to 13 posts out of 21199 total posts
(0.06%) in 1,782 days (0.01 posts per day).
20 Most recent posts:
Data and Content Support »
Unusual Quote Delays from QGC# Oct 11, 2019 03:38 PM
(Total replies: 3)
Okay cool, glad you're on it. Jay
Data and Content Support »
Unusual Quote Delays from QGC# Oct 11, 2019 12:59 PM
(Total replies: 3)
To clarify, the latencies I'm seeing are around 2 seconds when this is happening. When it's not 60ms or so is normal. Jay
Data and Content Support »
Unusual Quote Delays from QGC# Oct 11, 2019 12:57 PM
(Total replies: 3)
I've been noticing sporadic delays in getting live quote data from symbol QGC#. I see it for several minutes relatively sustained, and then it stops. Some days are entirely clean, some are not. I've attached a chart showing the latencies I've seen from today. This seems different to me than normal bursts of activity - the regularity makes it seem like your server handling QGC# has some unexpected loading on it. I don't see this pattern on other symbols (as far as I've looked). Jay
Data and Content Support »
Basis for Last Trade - Qualified Trade vs Other? Aug 5, 2019 02:21 PM
(Total replies: 5)
Interesting, thanks again. By mapping to exchange, I mean can I go to the ICE market data spec somewhere and see a message flag that says "Implied trade"? Just wondering if it's possible for me to try to walk through exchange docs to figure these things out, or do I just need to post questions here? Jay
Data and Content Support »
Basis for Last Trade - Qualified Trade vs Other? Aug 5, 2019 11:02 AM
(Total replies: 5)
Ah, interesting, thanks! Is the non-qual from spread volume ICE specific, or more general? Is there a way to map this onto ICE market data documentation? Thanks again, that's super helpful and interesting to know! Jay
Data and Content Support »
Basis for Last Trade - Qualified Trade vs Other? Aug 3, 2019 06:35 AM
(Total replies: 5)
With respect to the "Basis for Last Trade" field in tick data, what is the difference between a qualified trade (C or E) and not qualified (O)? It appears "O" is not included in interval data, but is in tick data. For CRD# at ICEEC, this happens to be a quite large amount of volume, around 75% of the volume is marked "O" and thus excluded from intervals. Jay Jay
New IQFeed Forum »
Is Historical Level 1 Tick Data Available? Jun 21, 2019 01:54 PM
(Total replies: 4)
Okay thanks, just wanted to be sure I wasn't just missing the option somewhere. Quotes will be nice when it comes! Thank you! Jay Jay
New IQFeed Forum »
Is Historical Level 1 Tick Data Available? Jun 21, 2019 01:43 PM
(Total replies: 4)
Does that work for historical data? What you sent seems to be just for streaming real-time. Jay Jay
New IQFeed Forum »
Is Historical Level 1 Tick Data Available? Jun 21, 2019 11:35 AM
(Total replies: 4)
For historical tick data, I see just trades, with bid/ask included. Is level 1 data available? By that I mean bid size/ask size, and ticks whenever they change? Jay Edited by jayflatland on Jun 21, 2019 at 11:36 AM
New IQFeed Forum »
Historical Tick Data Beyond 8 Days Jun 21, 2019 11:27 AM
(Total replies: 2)
Oh I see...I just have to pull the data outside of regular market hours. Got it. Thanks! Jay
New IQFeed Forum »
Historical Tick Data Beyond 8 Days Jun 21, 2019 09:27 AM
(Total replies: 2)
I'm only able to get 8 days back of tick data. I believe there should be 180? HTT,SPY,20190612 100000,20190612 101000,,,,1,, E,!NO_DATA!,, !ENDMSG!, One day later produces data as expected: HTT,SPY,20190613 100000,20190613 101000,,,,1,, 2019-06-13 10:09:57.563401,289.0100,100,8020385,289.0000,289.0100,808545101,C,26,01, 2019-06-13 10:09:57.563410,289.0100,100,8020485,289.0000,289.0100,808597071,C,18,01, 2019-06-13 10:09:57.563511,289.0100,200,8020685,289.0000,289.0100,809842247,C,11,01, 2019-06-13 10:09:57.563546,289.0100,100,8020785,289.0000,289.0100,809842248,C,11,01, 2019-06-13 10:09:57.736460,289.0100,200,8020985,289.0100,289.0200,959797303,C,19,01, 2019-06-13 10:09:58.003046,289.0200,200,8021185,289.0100,289.0200,808597072,C,18,3D, 2019-06-13 10:09:58.532882,289.0150,176,8021361,289.0100,289.0200,959852609,C,19,01, 2019-06-13 10:09:58.581828,289.0197,500,8021861,289.0100,289.0200,842151993,C,24,01, 2019-06-13 10:09:58.631686,289.0150,58,8021919,289.0100,289.0200,878195037,O,5,87, 2019-06-13 10:09:58.668081,289.0137,7,8021926,289.0100,289.0200,959852627,O,19,87, 2019-06-13 10:09:58.749871,289.0150,400,8022326,289.0100,289.0200,959852853,C,19,01, 2019-06-13 10:09:58.794137,289.0110,50,8022376,289.0100,289.0200,808481883,O,28,87, 2019-06-13 10:09:59.053357,289.0100,100,8022476,289.0100,289.0200,809842250,C,11,01, Jay
New IQFeed Forum »
Timestamp Resolution for Tick Data Jun 20, 2019 03:39 PM
(Total replies: 2)
BINGO! My mistake was I just connected and sent my command. I needed to send the "S,SET PROTOCOL,6.0" command immediately after connection. Works now! Thanks! Jay Jay
New IQFeed Forum »
Timestamp Resolution for Tick Data Jun 20, 2019 03:11 PM
(Total replies: 2)
Is it possible to get fractions of a second timestamps for tick data? I do this: HTT,@NQU19,20190620 000000,20190620 170500,,,,1,, And I see: 2019-06-20 16:05:38,7766.50,1,492761,7766.50,7766.75,232575516,0,0,C, 2019-06-20 16:05:38,7766.50,1,492762,7766.50,7766.75,232575518,0,0,C, 2019-06-20 16:05:38,7766.50,1,492763,7766.50,7766.75,232575518,0,0,C, 2019-06-20 16:05:38,7766.50,1,492764,7766.50,7766.75,232575521,0,0,C, 2019-06-20 16:05:38,7766.50,1,492765,7766.50,7766.75,232575522,0,0,C, 2019-06-20 16:05:38,7766.50,3,492768,7766.25,7766.50,232575523,0,0,C, 2019-06-20 16:05:38,7766.50,1,492769,7766.25,7766.50,232575523,0,0,C, 2019-06-20 16:05:38,7766.50,1,492770,7766.25,7766.50,232575523,0,0,C, I was under the impression timestamps went down to microseconds... Jay |
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