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newoleg1 has contributed to 11 posts out of 21196 total posts (0.05%) in 6,048 days (0.00 posts per day).

20 Most recent posts:
Data and Content Support » S&P 500 Premium Feb 24, 2009 11:40 PM (Total replies: 2)

Thank you Jay for clarification.
I have some small question: what is the time interval between snapshot and S&P index message (how many seconds)?
Thank you in advance

Data and Content Support » S&P 500 Premium Feb 22, 2009 09:22 AM (Total replies: 2)

Hi,
Could you describe how IQFeed calculate S&P 500 premium.
This SP-PREM.Z comes every 15 seconds so you take index value from snapshot at some time and what the ES price do you take to calculate the premium? Bid/Ask, last price or some average and what the time?
Thank in advance

Data and Content Support » Bid / Ask Feb 22, 2009 08:54 AM (Total replies: 3)

Hi Jay,
It is very interesting topic. I did some research this problem on your real time ticks a year ago and still confused.
Some times in trade message ("t" message) price outside bid/ask price - for example trade was above ask. I even look in information massages ("a","b") prior this trade message. but they do not post ask that equal trade price. I still see this type of trades 10-100 times per day

Jay, could you give more details?

DTN.IQ Client Software Support » How gracefully reconnect to DTN server from VB code Aug 28, 2008 12:37 PM (Total replies: 5)

It is just my question. How I can destroy IQFeeddY without destroying the form?

DTN.IQ Client Software Support » How gracefully reconnect to DTN server from VB code Aug 28, 2008 10:34 AM (Total replies: 5)

Hi Steve,
1. how I can force to drop all connection to IQConnect from code
2. how I can restart it again (call IQFeedY1.RegisterClientApp(ProdID, ProdKey, ProdVersion) ?)
Oleg

DTN.IQ Client Software Support » How gracefully reconnect to DTN server from VB code Aug 27, 2008 08:37 PM (Total replies: 5)

For example I connected using IQFeedY1.RegisterClientApp(ProdID, ProdKey, ProdVersion) and for some reason I do not get quote from DTN. So I want to shot down IQConnect and restart it again from VB code.

Sometimes ago I tried using IQFeedY1.RemoveClientApp() and then call IQFeedY1.RegisterClientApp(ProdID, ProdKey, ProdVersion) again but it seems does not work.
Thanks
Oleg

IQFeed Developer Support » Bug in statistical calculation Oct 30, 2007 09:29 PM (Total replies: 8)

Thanks

IQFeed Developer Support » Bug in statistical calculation Oct 30, 2007 09:11 PM (Total replies: 8)

Jay,
Please clarify how your statistic works for intraday chart.
Correct me if I am wrong.
Every 5 second you takes market snapshot and look for advance stocks (in compare with yesterday closing price, is it correct?). Sum of these stocks is IINA.Z, is it correct?
Also you count all shares of these stocks start from the market opening (is it correct?) and sum of these shares is VINA.Z. And so on.

You repeat this calculation in five second.
Is it correct?

Oleg

IQFeed Developer Support » Bug in statistical calculation Oct 30, 2007 08:20 PM (Total replies: 8)

Jay,
Ii is not the case. 100,000 will not change anything. It is already contributed to VIND.Z and it must belong to VIND.Z forever. After stock becomes advance you have to add 20,000 shares to VINA.Z.
This statistic works in this way. Open please any serious book and look on it.
Let return back to your intraday calculation. You send these tickers every 5 second.
So you have to find how many stocks advance for this 5 second (for example 10 stocks) and add these 10 stocks to previous value of IINA.Z, so new IINA.Z will be larger on 10 than IINA.Z 5 second before.
The same for IIND.Z for decline stocks, and IINU.Z for stocks that does not change during 5 second.
Also for the volume, for 10 advance stock you have to count how many shares was trade for 5 second period and add them to VINA.Z. So all previous traded shares (before the 5 second interval) does not change any value. And so on

Oleg

IQFeed Developer Support » Bug in statistical calculation Oct 30, 2007 04:55 PM (Total replies: 8)

Jay,
For NYSE I used 8 symbols:
IINA.Z, IIND.Z, IINU.Z, IINT.Z, VINA.Z, VIND.Z, VINU.Z, VINT.Z

Example was for VIND.Z

More over I did look yesterday and see another example: for two consecutive times when
VINT.Z for both time is equal but VINA.Z and VIND.Z is different. Never the less sum:
VINA.Z+VIND.Z+VINU.Z
for each time is practically equal to VINT.Z (1 or 2 differents, I think with this is a round error).

That is another error because in to consecutive time VIND.Z can not be the same if VINA.Z or VIND.Z are different. More over I did check time stamp for all 8 symbols, so they belong to correct sets

Oleg

IQFeed Developer Support » Bug in statistical calculation Oct 29, 2007 08:28 PM (Total replies: 8)

Hi,
I see the bug in the statistical calculation for advance/decline/unchanged issues/volume for NYSE.
Advance/decline/unchanged issues/volume suppose to be cumulative variables but very often previous value can be large the current one:
Example:
For 10/29/2007:
Time 9:36:05
Decline volume=12766
In previous time interval (9:36:00)-decline volume was 12911
(Time is your time stamp).

It is plenty similar examples for other variables and by the way for other markets
Could you explain what the problem is?
Oleg


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