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lgodfrey has contributed to 2 posts out of 21193 total posts
(0.01%) in 7,244 days (0.00 posts per day).
20 Most recent posts:
Data and Content Support »
IQFEED Data Synchronization Problem Jul 20, 2004 02:31 PM
(Total replies: 1)
For those of you who are interested, I tracked down the problem somewhat. I am using EXcel 2003/WXP, high end PC. The problem is associated witht the copy/pastespecial value process in EXcel Believe it or not, I can see the data come in, see VOLUME and Tick Vol cells change. But when the Tick volume cell is copied, it is pasted as the last value, not the value shown in the cell. You have to pick a stock/time when the tick rate is low enough to see this happen. Putting in a time delay from the Volume change to the copy does not help. Using an intermediate step of picking up the tick vol in a macro, and pasting that value doesn't help. For Excel users, I would recommend taking a close look at this yourself. I couldn't believe it at first either, but I was able to duplicate it many times using either my own macros or the one sample supplied by IQFeed. Best Regards Larry Best Regards Larry
Data and Content Support »
IQFEED Data Synchronization Problem Jul 13, 2004 10:09 PM
(Total replies: 1)
I am experiencing serious data feed problems from IQFeed. Sorry that this posting is kinda long, but I thought I needed to give considerable detail if anyone was going to be able to help me. I have been running some tick dropout tests using IQFEED. I use IQFEED into QT, and simultaneously into EXCEL using DDEs and macros for custom technical analysis. I use tick vol to do volume weighted averaging. I only look at one or two symbols at a time, and have the highest DSL cable setup available (3MB/sec downlink)so should not be bandwidth limited. I am experiencing serious loss of synchronization in the data. The tick volume data fed into my DDE links is the tick volume for the previous tick, not the one I am looking at. This is based on comparing ttl volume deltas to the individual tick deltas. I thought I had a work around since the IQFeed DDE "manual" says you can import multiple fields at once. A string with close, vol, tick vol etc surely would all refer to the same tick. However I was told the manual is in error and this cannot be done. IQFeed customer support has not been able to help me, so I am going to this BB to see if I can get some insights here. MORE DETAIL: If I just save sequencial tick changes (LAST, Volume, Tick Vol), and compare the tick volume to the change in total volume between ticks, the tick volume is NOT for this tick, it is for the previous tick. This happens even for slow tick rates of one every minute or so. The "save tick data" happens when the total vol changes, and the current values for the other tick parameters are all copied and saved to a new line in a spreadsheet at the same time. I wrote a simple macro without any technical analysis in it to keep the computation overhead to a minimum (the simple macro can handle a data feed of well over 100 tick a second) Here is a sample: (sorry, could not make this more readable, the columns got "lost" when it gets posted) TIME________LAST_______TICK V_____TTL VOLUME_______tick vol using ttl vol 12:43:37____35.50_________200______48,542,400_______2,900# 12:43:44____35.51_______2,900#_____48,544,300_______1,900* 12:43:47____35.52_______1,900*_____48,547,500_______3,200 (This one only have a 3-7 seconds between ticks, but it "happens all the time" even when it goes to a minute or so between ticks, and happens for all symbols I have tried). I even tried to put in a delay between taking the ttl volume data and the tick vol data, but this didn't get me anywhere. IQFeed support says this problem has not been reported by any of their hundreds of customers using the DDE feature, but this is not very comforting. Any DDE user could have the same problem and not know it if they have not, either deliberately or by accident, compared the DDE feed tick vol to sequential total vol. They could just assume that the feed data is in synch and not be aware of any feed problem, if it exists. The problem can be reproduced if you use IQFeed's own sample spreadsheet instead of my streamlined test sheet. So I have several questions that this erudite community might be able to help me with: 1) does QT use IQFeed tick vol data or does it calculate tick vol based on sequential ttl vol figures? 2) does anyone know what is going on with the DDE/Excel loss of tick volume/ttl volume synchronization? 3) I know DDE feed is archaic, but I thought that with modern high speed systems this ineficient method would be adequate unless you are trying to record many hundreds of ticks a second. However, I am willing to consider other ways to get my data into a VB macro. Does anyone have any success with an RTD data feed methology? If so, have you lookded and the tick data synchronization? Could you give me the data feed company's name? Note that IQFeed support says RTD access is in the works, but of course I need something now. Best Regards Larry |
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