stargrazer has contributed to 302 posts out of 21251 total posts
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As mentioned earlier in the thread, your best bet is to subscribe to the future. It will provide you price and volume, and when you use the price against bid/ask, you can derive your own buy/sell volume indicator.
It will be your best representation of actual real time market condition, and would be part of your trade entry/exit.
Maybe think of it differently.
For the range [10:40:00 - 10:41:00) - note the difference in brackets. A square bracket means 'includes', a round bracket means 'exclude'.
The best implementation is 'less than'. Anything 'less than' 10:41:00 goes into the 10:40:00 bucket. You then do not need to worry about the irrationality of 10:40:59.999999 as an endpoint.
A 24 hour period would be: [00:00:00 - 00:00:00), that is it starts on midnight, and includes everything up to but not including the next midnight (less than) Edited by stargrazer on Feb 12, 2023 at 09:02 AM
If you start it from the command line, do you see any useful diagnostics?
Quote: stargrazer: How many threads (or processes) do you use for HTT commands? Actually, it might be the threading thing. Not sure how you are doing it.
Use _only_ one thread per socket. You can have multiple requests per socket by using the tag feature. Only have about 8 - 10 requests submitted at any one time.
==> 1 socket - 1 thread - multiple tagged requests
In actual fact, I'd have to scrunch back through my code. I think I may have multiple sockets open, one thread per socket, with no more than 8 to 10 sockets, running one request in each socket at a time.
Edited by stargrazer on Dec 11, 2022 at 10:37 AM Edited by stargrazer on Dec 11, 2022 at 10:37 AM Edited by stargrazer on Dec 11, 2022 at 10:43 AM
Are you using the the v6.2 of the client?
I don't necessarily use HTT, but a number of the other history commands, and can do several 1000 symbols without error. I think 8 to 10 threads is the limit. And I've incorporated the time quota into the commands.
The following may provide some insight: https://github.com/rburkholder/trade-frame/blob/master/lib/TFIQFeed/HistoryBulkQuery.h https://github.com/rburkholder/trade-frame/blob/master/lib/TFIQFeed/HistoryQuery.h
The biggest recommendation, is if you reuse a connection, be sure if you've processed all messages to completion prior to sending a new command.
I've gone through a number of years using wine. I somehow doubt it is a wine issue. My connections have been stable.
I use LXDE and x2go Wine v7.0
Just stream the symbol as L1 like all the other symbols. Pull out the relevant fields and ignore the rest.
Since they are lighter load, not much to worry about. They do add to your overall symbol count.
You can reduce the dynamic fields down to what ever you normally use. Otherwise, you'll need a different TCP connection to use a different set of dynamic fields.
Ok, Thank you.
The redirect does work from the regular http:// still embedded in the emails. Perhaps the email template may need an adjustment as well.
Ok. Only COP-SUNOCO and LTSE seem to be duplicated.
In addition, in the trade condition download, LATE appears twice.
When running the SLM command to obtain the listed markets, there appears to be a duplicate market:
LS,20,COP-SUNOCO,Crude Oil Postings Sunoco,169,COP-ERGON, LS,182,COP-SUNOCO,Crude Oil Postings SUNOCO,170,COP-HUNT,
COP-SUNOCO is repeated twice as a short name. It is there fore impossible to perform a reverse resolution from name to id in order to substitute into something like the SBF command for performing a filtered lookup.
Shouldn't these short names be unique?
I have not yet performed a full load, but LTSE also appears to be a duplicate Edited by stargrazer on May 29, 2022 at 11:39 PM
For what it is worth, I can probably understand the 'first trade' concept, but a few counter-facts which may help troubleshoot:
* IB has pretty good open interest on all chains in the usual trading range, so I think the 'first trade' has been triggered for many of the primary missing symbols
* in the other referenced thread, Steve was able to confirm that a 'watch' will indicate that the symbol is active and available
* all this would indicate there is some 'missing part' in the code which does generate the CEO responses. I've been able to generate a few 'flaky' responses from that that CEO request depending upon the combination of parameters provided (which yields a window into backend tooling, which, if I recall the message, seems to be Perl).
* in that other thread, someone did something in the background, and magically, all the symbols that I thought should be there, did show up.
* so.... I'd say there is an ugly bug or two waiting to be unearthed there somewhere :-) to provide the complete chains based upon what you see as actively traded options
Any updates?
This is my request:
CFO,@ESM22,cp,,234,1,CFO-@ESM22 These are the summary results:
underlying: @ESM22 chain: 2022-Mar-21 has 324 entries #strikes=324, #calls=317, #puts=324 chain: 2022-Mar-23 has 303 entries #strikes=303, #calls=297, #puts=303 chain: 2022-Mar-25 has 309 entries #strikes=309, #calls=307, #puts=170 chain: 2022-Mar-28 has 304 entries #strikes=304, #calls=297, #puts=304 chain: 2022-Mar-30 has 85 entries #strikes=85, #calls=44, #puts=41 chain: 2022-Mar-31 has 344 entries #strikes=344, #calls=344, #puts=0 chain: 2022-Apr-01 has 45 entries #strikes=45, #calls=24, #puts=30 chain: 2022-Apr-04 has 6 entries #strikes=6, #calls=6, #puts=0 chain: 2022-Apr-08 has 9 entries #strikes=9, #calls=7, #puts=2 chain: 2022-Apr-14 has 247 entries #strikes=247, #calls=247, #puts=247 chain: 2022-Apr-29 has 243 entries #strikes=243, #calls=243, #puts=0 chain: 2022-May-20 has 249 entries #strikes=249, #calls=249, #puts=249 chain: 2022-May-31 has 244 entries #strikes=244, #calls=244, #puts=0 chain: 2022-Jun-17 has 257 entries #strikes=257, #calls=257, #puts=257 EmitChainSummary total sum(call + put)=4810
Here is an excerpt of part of the summary. even ATM options are missing. Many calls have no paired puts, and many puts have no paired calls. I would say this is an incomplete data set. In my previous request, someone did something behind the scenes to restore the dataset. Perhaps there is a ticket for that fix you could look at?
chain: 2022-Apr-01 has 45 entries 2100: , @EW1J22P210000 2550: , @EW1J22P255000 3160: , @EW1J22P316000 3170: , @EW1J22P317000 3180: , @EW1J22P318000 3190: , @EW1J22P319000 3210: , @EW1J22P321000 3220: , @EW1J22P322000 3230: , @EW1J22P323000 3240: , @EW1J22P324000 3260: , @EW1J22P326000 3510: @EW1J22C351000, 3520: @EW1J22C352000, 3530: @EW1J22C353000, 3540: @EW1J22C354000, 3550: @EW1J22C355000, 3560: @EW1J22C356000, 3565: @EW1J22C356500, @EW1J22P356500 3570: @EW1J22C357000, 3575: @EW1J22C357500, @EW1J22P357500 3580: @EW1J22C358000, 3585: @EW1J22C358500, @EW1J22P358500 3595: @EW1J22C359500, @EW1J22P359500 3605: @EW1J22C360500, @EW1J22P360500 3615: @EW1J22C361500, @EW1J22P361500 3625: @EW1J22C362500, @EW1J22P362500 3635: @EW1J22C363500, @EW1J22P363500 3645: @EW1J22C364500, @EW1J22P364500 3690: @EW1J22C369000, 3695: @EW1J22C369500, 3700: @EW1J22C370000, 3705: @EW1J22C370500, 3710: @EW1J22C371000, 3715: @EW1J22C371500, 3720: @EW1J22C372000, 4515: , @EW1J22P451500 4520: , @EW1J22P452000 4525: , @EW1J22P452500 4530: , @EW1J22P453000 4535: , @EW1J22P453500 4580: , @EW1J22P458000 4585: , @EW1J22P458500 4590: , @EW1J22P459000 4630: , @EW1J22P463000 4660: , @EW1J22P466000 chain: 2022-Apr-04 has 6 entries 3675: @E1AJ22C367500, 3680: @E1AJ22C368000, 3685: @E1AJ22C368500, 3690: @E1AJ22C369000, 3695: @E1AJ22C369500, 3700: @E1AJ22C370000, chain: 2022-Apr-08 has 9 entries 3605: @EW2J22C360500, 3610: @EW2J22C361000, 3615: @EW2J22C361500, 3620: @EW2J22C362000, 3625: @EW2J22C362500, 3630: @EW2J22C363000, 3635: @EW2J22C363500, 4550: , @EW2J22P455000 4560: , @EW2J22P456000
Any thoughts on a resolution to keeping the chains fully loaded with their symbols?
This contains the previous experience: http://forums.dtn.com/index.cfm?page=topic&topicID=5949 ... the commands used, and the various results, suggestions, and then the remediation by DTN.
@ES# rolled over to a new month yesterday, so I'm now working with the new chains.
Similar to before. Is this a data problem or an algorithm problem ![](http://forums.dtn.com/images/icon_smile.gif)
underlying: @ESM22 chain: 2022-Mar-21 has 324 entries #strikes=324, #calls=317, #puts=324 chain: 2022-Mar-23 has 303 entries #strikes=303, #calls=297, #puts=303 chain: 2022-Mar-25 has 309 entries #strikes=309, #calls=307, #puts=309 chain: 2022-Mar-28 has 304 entries #strikes=304, #calls=297, #puts=304 chain: 2022-Mar-30 has 85 entries #strikes=85, #calls=44, #puts=41 chain: 2022-Mar-31 has 346 entries #strikes=346, #calls=344, #puts=346 chain: 2022-Apr-01 has 45 entries #strikes=45, #calls=24, #puts=30 chain: 2022-Apr-04 has 6 entries #strikes=6, #calls=6, #puts=0 chain: 2022-Apr-08 has 9 entries #strikes=9, #calls=7, #puts=2 chain: 2022-Apr-14 has 247 entries #strikes=247, #calls=247, #puts=247 chain: 2022-Apr-29 has 243 entries #strikes=243, #calls=243, #puts=243 chain: 2022-May-20 has 249 entries #strikes=249, #calls=249, #puts=249 chain: 2022-May-31 has 244 entries #strikes=244, #calls=244, #puts=244 chain: 2022-Jun-17 has 257 entries #strikes=257, #calls=257, #puts=257 EmitChainSummary total sum(call + put)=5782,
Looks like some fixes have been put in!
underlying: @ESH22 chain: 2022-Mar-02 has 341 entries #strikes=341, #calls=341, #puts=341 chain: 2022-Mar-04 has 342 entries #strikes=342, #calls=342, #puts=342 chain: 2022-Mar-07 has 341 entries #strikes=341, #calls=341, #puts=341 chain: 2022-Mar-09 has 341 entries #strikes=341, #calls=341, #puts=341 chain: 2022-Mar-11 has 341 entries #strikes=341, #calls=341, #puts=341 chain: 2022-Mar-14 has 341 entries #strikes=341, #calls=341, #puts=341 chain: 2022-Mar-16 has 316 entries #strikes=316, #calls=316, #puts=316 chain: 2022-Mar-18 has 369 entries #strikes=369, #calls=369, #puts=369 EmitChainSummary total sum(call + put)=5464
Thank you.
The other interesting aspect here is that, as I write this, ATM is 4370. The two symbols would be:
@E2CH22C437000 @E2CH22P437000
both exist in the system (but aren't listed in the chain as shown in my previous message):
w@E2CH22C437000 F,@E2CH22C437000,22,,,114.75,18.75,,,,,,,,,,,,E-MINI S&P 500 WEDNESDAY WEEK 2 MARCH 2022 CALL 437000,,,,,,,,,,,,12,2,,0.28,9,43,02/17/2022,02/24/2022,,,,,,03/09/2022,4370.00,,E2C,,,18:00:00,17:00:00,USD,,------------,0.25,,,, P,@E2CH22C437000,55.75,0,14:56:09.178157,43,34,71.00,19,72.50,24,74.00,74.50,50.00,76.00,Cbasohlcv,01, Q,@E2CH22C437000,55.75,0,14:56:09.178157,43,34,71.25,2,72.50,24,74.00,74.50,50.00,76.00,b,01,
w@E2CH22P437000 F,@E2CH22P437000,22,,,,,,,,,,,,,,,,E-MINI S&P 500 WEDNESDAY WEEK 2 MARCH 2022 PUT 437000,,,,,,,,,,,,12,2,,0.28,9,43,,,,,,,,03/09/2022,4370.00,,E2C,,,18:00:00,17:00:00,USD,,------------,0.25,,,, P,@E2CH22P437000,,,,,0,70.50,17,71.50,2,,,,66.00,bascv,01,
Q,@E2CH22P437000,,,,,0,70.75,1,71.50,2,,,,66.00,b,01,
With the revised query, there are 1385 options. And I think the puts and calls are now properly segmented. Now that I know how to perform the query, there is still something else. The put / call list doesn't seem complete. When looking at chains in Interactive Brokers, they seem to be complete, but your list doesn't seem to be. Only two chains seem to have about the correct number of puts/call. The others seem to be missing entries:
chain: 2022-Feb-28 has 268 entries #strikes=268, #calls=249, #puts=247 chain: 2022-Mar-02 has 64 entries #strikes=64, #calls=35, #puts=29 chain: 2022-Mar-04 has 71 entries #strikes=71, #calls=50, #puts=21 chain: 2022-Mar-07 has 78 entries #strikes=78, #calls=58, #puts=20 chain: 2022-Mar-09 has 36 entries #strikes=36, #calls=24, #puts=12 chain: 2022-Mar-11 has 54 entries #strikes=54, #calls=39, #puts=15 chain: 2022-Mar-14 has 45 entries #strikes=45, #calls=29, #puts=16 chain: 2022-Mar-16 has 10 entries #strikes=10, #calls=7, #puts=3 chain: 2022-Mar-18 has 261 entries #strikes=261, #calls=256, #puts=255 EmitChainSummary total sum(call + put)=1365
As an example of one of the ones with missing entries, here is an example (whole strikes are missing, and no strike has a complete put/call entry):
chain: 2022-Mar-09 has 40 entries 3690: @E2CH22C369000, 3700: @E2CH22C370000, 3710: @E2CH22C371000, 3720: @E2CH22C372000, 3730: @E2CH22C373000, 3740: @E2CH22C374000, 3750: @E2CH22C375000, 3755: @E2CH22C375500, 3760: @E2CH22C376000, 3765: @E2CH22C376500, 3770: @E2CH22C377000, 3775: @E2CH22C377500, 3780: @E2CH22C378000, 3785: @E2CH22C378500, 3800: @E2CH22C380000, 3805: @E2CH22C380500, 3810: @E2CH22C381000, 3815: @E2CH22C381500, 3820: @E2CH22C382000, 3825: @E2CH22C382500, 3830: @E2CH22C383000, 3910: @E2CH22C391000, 3915: @E2CH22C391500, 3920: @E2CH22C392000, 4485: , @E2CH22P448500 4490: , @E2CH22P449000 4495: , @E2CH22P449500 4500: , @E2CH22P450000 4580: , @E2CH22P458000 4585: , @E2CH22P458500 4625: , @E2CH22P462500 4630: , @E2CH22P463000 4635: , @E2CH22P463500 4640: , @E2CH22P464000 4645: , @E2CH22P464500 4650: , @E2CH22P465000 4655: , @E2CH22P465500 4660: , @E2CH22P466000 4665: , @E2CH22P466500 4670: , @E2CH22P467000 Edited by stargrazer on Feb 28, 2022 at 11:14 AM Edited by stargrazer on Feb 28, 2022 at 11:26 AM
Quote: If so, does it also happen with our chains app that is included with IQFeed (the app sorts symbols by position in the return message in relation to the : field)? In my program, it says that query has around 2724 options. In your chains app, is says about 633 calls, 751 puts. Which when totalled, is about half of 2724 from a few days a go.
Also, your app is showing that there is a different number of puts than calls. Should that number be so out of balance? Edited by stargrazer on Feb 28, 2022 at 10:53 AM
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