Joined: Oct 8, 2021
Posted: Oct 27, 2021 08:15 AM
Msg. 1 of 3
I am making an APP and I want to stream real time quotes to do calculations. Current command I am using is
I want to match it with NinjaTrader. If I connect NinjaTrader to same IQFeed, I can see the price changes much frequent than the messages I am getting.
I have also tried tick
BW,EURUSD.FXCM,1,,1,1,,,,t,,0 - this doesn't work
BW,EURUSD.FXCM,2,,1,1,,,,t,,0 - this does work better than 1 second interval but it still doesn't match with NT.
I want to get the message on price change
Is that possible?
I have tried to run sample app IQSnapQuote that also updates with price change so it must be possible.
Joined: Jul 3, 2019
Posted: Oct 27, 2021 09:07 AM
Msg. 2 of 3
First, the BW command will always have the label at the end. This means that the bar called 9:00 represents 8:59 to 9:00, not 9:00 to 9:01. Third-party software, and even the historical lookup commands within the IQFeed API, let you customize whether you want the label at the beginning or end.
If NinjaTrader is showing more frequent ticks than IQFeed is, this may be because NinjaTrader is including things that aren't included in the IQFeed interval bars calculation. This can be either (a) non-last-eligible trades, which are ignored in a bar calculation because they cannot set a high/low/open/close, or (b) bid/ask updates only, which can be ignored in Level 1 watches. (Extended/FormT trades are not ignored, so that BW can continue to create bars for after-hours trading).
On a lesser note, it is possible for streaming interval bars to be updated. If a trade correction occurs (because a tick was initially reported incorrectly), then the interval bar it effects will re-calculated to reflect the changed totals. This will appear as a message starting with BU. This is pretty infrequent, though.
I hope this information helps. Beyond that, I'd need to know more of the mismatched details.
DTN IQFeed Implementation Support Specialist