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20 Most recent posts:
IQFeed Developer Wish List » Trade Corrections & Cancellations Jan 26, 2016 12:21 PM (Total replies: 1)

I've discussed this with developer support recently but I thought a formal request in the forum may help things along.

Please send us trade Corrections & Cancellations. Without them any data grouped by tick or volume following an extra/incorrect trade is garbage or even dangerous. Even the derivative data calculated by iqconnect.exe would be incorrect without a fresh call.

My understanding is that the current workaround is monitoring the "Total Volume" for reductions and then calling HTT comparing some time span of trades to the historical lookup for the error...

Thanks,

William

IQFeed Developer Support » Historical download and Level 1 Update/Summary order in 5.0 Jan 22, 2013 07:55 PM (Total replies: 4)

Thanks for the reply,

I'm just now revisiting this and have noticed that millisecond time stamps start on 2012-12-24 for IBM and AAPL. Before the 24th the data appears to revert back to version <= 4.9. Is this consistent for all US equities and will the millisecond time stamps be back-filled to the full 120 days?

IQFeed Developer Support » Historical download and Level 1 Update/Summary order in 5.0 Jan 21, 2013 12:40 PM (Total replies: 4)

While working with protocol 5.0 I’ve noticed that the earliest available equity data (“IBM”,”SPY”,”AAPL”) I’ve been able to download using “HTT” starts on 2013-01-14. Is this something on my end or has the historical data not been backfilled?

Also, with level 1 update/ summary messages is it safe to assume that the “Current Update Field Names” will remain in the same order for the foreseeable future and that if any additional fields are added they would be appended on the end of the message?

Example messages from iqfeed after setting protocol to 5.0:

S,CURRENT PROTOCOL,5.0,
S,CURRENT UPDATE FIELDNAMES,Symbol,Most Recent Trade,Most Recent Trade Size,Most Recent Trade TimeMS,Most Recent Trade Market Center,Total Volume,Bid,Bid Size,Ask,Ask Size,Open,High,Low,Close,Message Contents,Most Recent Trade Conditions

Best regards,

William


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