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sasha has contributed to 54 posts out of 19046 total posts (0.28%) in 5,389 days (0.01 posts per day).

20 Most recent posts:
IQFeed Developer Wish List » Support for x64 IQ32.dll Dec 11, 2005 07:27 AM (Total replies: 1)

When can you build a x64 DLL for us?

I hope you guys have been working on this for a while. Windows 64bit didn't just turn up yesterday.

IQFeed Developer Support » New Upcoming Version Status Report? Mar 20, 2005 11:22 AM (Total replies: 2)

Lovely! Excellent! Fantastic!

Is there a preliminary API or document (notes) for those of us who are interested can read about how its going to be implemented (messages/fields)?

IQFeed Developer Support » New Upcoming Version Status Report? Mar 12, 2005 07:16 PM (Total replies: 2)

Could you please provide us with details regarding what things are in the upcoming release?

Specficially, does this include the DTN and/or exchange trade sequence number?

We requested this last year and Jay indicated it will be included.

This was a very important one to resolve the total inability to resume or recover from a specific trade. Even though its great to have resolution down to seconds, additionaly its even more important to have the actual trade sequence so we can do a perfect recovery, synchronization and backfill between realtime and historical intraday.


Does this atleast include the DTN and/or exchange trade sequence number?

We requested this last year and Jay indicated it will be included.

This was a very important one to resolve the total inability to resume or recover from a specific trade. Even though its great to have resolution down to seconds, additionaly its even more important to have the actual trade sequence so we can do a perfect recovery, synchronization and backfill between realtime and historical intraday.

Please tell us its included?

Data and Content Support » Last Price Time or Time N Sales Feb 25, 2005 08:33 AM (Total replies: 6)

Does this atleast include the DTN and/or exchange trade sequence number?

We requested this last year and Jay indicated it will be included.

This was a very important one to resolve the total inability to resume or recover from a specific trade. Even though its great to have resolution down to seconds, additionaly its even more important to have the actual trade sequence so we can do a perfect recovery, synchronization and backfill between realtime and historical intraday.

Please tell us its included?


Thanks Jay, yes I've just checked that I'm selecting more than 1 day.

It seems like all the ones I try including ALVR, SANM, MSFT and LTXX are only giving me from the 13th.

The weird thing is when I changed DTN.IQ chart to view @ESH5 for All minutes it worked and then now all the others work.

This is strange, but it seems to have somehow flushed something.

Thank you.


I'm not getting any historical Minute data available since yesterday. Only live historical minute data is coming through.

I'm using DTN.IQ and the test utilities but nothing is coming back.


Historical tick, daily, weekly and monthly data is working.

Can some please confirm if this is a DTN problem?

Thankyou.


Thanks Jay.

It might be enlightening to us all if you could explain what the "per exchange processing rules" are, maybe for the Nasdaq as an example.

Do you have any references to where they are?

Maybe this would explain the three different time periods for the Nasdaq: 1) Pre-Market, 2) Market Open and 3) After Hours and why the DTN "Market Open" field is always "true" even if the market is in Pre-Market?

Is there a reason why the DTN "Market Open" field is always "true" (even on Sundays)?
Edited by sasha on Dec 5, 2004 at 05:19 AM


I think this is an important problem to fix. The data is incorrect and this is an error. I don't know why there is no effort to fix it?


Any comments or explanations?


Do you think you'll be able to address this in the shedule of work?

IQFeed Developer Support » RegisterClientApp() bugs in IQ32.dll Nov 2, 2004 08:28 AM (Total replies: 1)

Having both DTN.IQ and IQFeed API installed seems incompatible.

I am using the IQ32.DLL located in the "C:\Program Files\DTN\IQFeed\" directory for my application development/API. (IQ32.DLL file version is 3.7.0.0 with size 98,304 bytes).

If DTN.IQ is running and logged on, calling RegisterClientApp() returns true (for success). However, a MessageBox pops up with the message "Error: a version of IQConnect is already running".

This is a problem because the call the RegsiterClientApp() returned true but in fact it should have returned false - a failure.

And the callback doesn't get called so there is no IQ32 status returned. Since we are relying on this status callback it should always work.

I think RegisterClientApp() should block until a successful registration is confirmed.

I cannot use the IQ32.dll in the "C:\Program Files\DTN\DTN.IQ\" directory after calling RegsiterClientApp() it pops up a message box error "Error: Cannot find IQConnect.exe" and then causes an unidentified exception. In addition there is no SetAutoLogin() function exported.


P.S. Does this mean it is impossible to run a third party application with DTN.IQ client applications running?
Edited by sasha on Nov 2, 2004 at 08:38 AM


For equities on Level 1 TCP, TotalVolume is incremented at all times of the day.

This is especially frustrating when it occurs outside the official market open hours.

In my opinion and many other trading systems this is absolutely wrong.

I can download a hundred trading systems from the Internet and when they ask for Open/High/Low/Close/Volume, they expect data from regular trading hours. Sure, I can include that special broker crossing that was 5% of today's daily volume at 10% higher than the today's close price - but why would I?

The official Nasdaq Stock Market Trading Sessions are:
- Regular Trading Hours from 9:30 a.m. to 4:00 p.m. eastern time
- After Hours from 4:00 p.m. to 6:30 p.m. eastern time

http://www.nasdaq.com/about/schedule.stm

My system adheres to this so I subscribe to Level 1 and process trades and exclude trade ticks where trade type equals ExtendedTrade. My "correct" cumulative trade tick volume is now different to the DTN Level 1 TotalVolume - arrgh!

Now is there a problem? Where did these "phantom" trades disappear to? I didn't receive them so the result is inconsistant numbers between snap quotes and aggregated trade tick analysis.

This is also a problem when calculating VWAP. The standard VWAP benchmark is regular trading hours - 9:30am to 4:00pm for Nasdaq equities. Including pre-market and after-hours trades in my benchmark is wrong. Am I supposed to keep trading until 8:00pm and ask my clients to wait an extra 4 hours until they get their fills and backoffice processing? I don't think so.

Sure, I could do my own TotalVolume summaries in order to correct the problem, but then why bother sending me TotalVolume when I have to calculate this myself?

Is it possible to please consider addressing this? Either don't cumulate ExtendedTrades in your TotalVolume value, or provide an additional Pre-Market Volume value.

Fixing this would make the historical TotalVolume consistant with intraday Level 1 volume. When I request daily ticks from history they start at 9:30am and not whenever the first pre-market trade possibly at 8:00am.

Another thing to consider is providing a way to signal that the official regular market trading hours have begun since the MarketOpen value appears to always be true, even on Sundays.

Maybe a great feature is to publish on the web is an official regular trading session schedule for each symbol or better still for each symbol's listed exchange.

IQFeed Developer Support » MarketOpen value - exactly what does it mean? Nov 1, 2004 09:01 AM (Total replies: 1)

Regarding th MarketOpen field on Level 1 TCP...

I'm confused about what this field really means because it seems like the markets are always open for equities?

I've noticed that MarketOpen=true was returned for QQQ, Nasdaq and BB stocks
even on Sunday at 5:00pm. MarketOpen=true is also returned at 8:23am this morning for MSFT even though the official Nasdaq market open starts at 9:30am.


1. IQConnect is not running.

2. Register the client app via IQ32.DLL

3. Kill my client before removing/unregistering

4. Restart my client and RegisterClientApp() returns false. MessageBox pops up and says client application already registered.

How can I tell if the False value returned in 4. is due to an error or because the client application is already registered?

I don't know whether I should call RemoveClientApp() and call RegisterClientApp() again because the RegisterClientApp() returning false doesn't mean anything specific.

If I try this and call RemoveClientApp() then the callback notifies me that the connection is OK. Very confusing because at this point IQConnect isn't even running. If I rely on the status callback then it tells me that I'm connected.

Another weird thing is that if I now call RegisterClientApp() I get three more callbacks of status OK - still confusing.

Can DTN provide a better return code that describes the reason instead of just true or false?

Maybe it would be useful to provide an additional function that returns true or false if a client application is already registered. This way I can see if the client app is already registered.

But I don't know how this would help in the case where IQConnect process crashes. Since the point of RegisterClientApp() is to restart IQConnect if it is not started, currently RegisterClientApp() doesn't actually restart it if IQConnect crashed and the application is already registered.
Edited by sasha on Oct 31, 2004 at 06:44 PM


This is happening on Bulletin Board stocks:

First "P" message after sending "wLENF\n":
P,LENF,B,4.1300,0.,0.,0,,0.0000,0.0000,4.0200,4.1300,500,500,,,0.,,,0.0000,4.1300,0.11,,,,k,,,,,10/29/2004,,4.1300,,,,0.,0,,,,,,1,,,14,4,,267866,,,,,,0,,,0.0000,

Second "P" message (IQFeed sends it twice):
P,LENF,0B,4.1300,0.,0.,0,,0.0000,0.0000,4.0200,4.1300,500,500,,,0.,,,0.0000,4.1300,0.11,,,,k,,,,,10/29/2004,,4.1300,,,,0.,0,387.0,,,,,1,,96249.65,14,4,,267866,,,,,,0,,,0.0000,


This stock did trade on the most recent trading day and has a last price but no Time field.

It also happens to a bunch of other OTC BB stocks. This is not a problem for QQQ, MSFT or YHOO.

Can you explain why this is happening and are we guaranteed to receive a value at all times?


This doesn't sound correct.

I tried this on QQQ, MSFT, YHOO and two Bulletin Board stocks (LENF and MUCL) and have recieved the field MarketOpen value of True in the Summary Message (P).


Ok, but what is the open time?

Can DTN confirm if their feed is consistant (field MarketOpen=true/false) across each different instrument - special case for QQQ, special case for SPDR, special case for equity, future, options, etc?

Can DTN confirm what the official open time for QQQ and other broad based Index tracking symbols are?

We really need a feature/fix regarding the problem of differentiating Pre-Market and After-Hours trade volume from actual Open Market volume.

Tomorrow I'll check the feed and will have some more information to present.

I'll see what value the MarketOpen field is before 09:30. If the field MarketOpen=false before 09:30 then there is clearly a problem with incrementing TotalVolume before market open.

What is a trading system supposed to think about these phantom trades?

Why do my tick data calculations not match the snap quote TotalVolume?

This results in much confusion about whether there is/isn't a problem with missing data and where and how deep it is buried.

If TotalVolume increments before market open than how do I explain to my trading system and a million others that I'm actually feeding it some wild pre-market trade or some other weird special broker crossing trade?

Another thing for me to find out when the TotalVolume field actually stops incrementing - if ever.

I'm sure I have a valid issue here and it should make sense to everyone wanting regular unleaded Open, High, Low, Close and TotalVolume. if you look at all trading systems that take Open/High/Low/Close/TotalVolume, they are designed for on market/market open trades. Open is just that - the first price when the market officially opens. TotalVolume includes trades done from that first price - when the market is open and not some wild pre-market broker special crossing, etc.


Houston, we have a problem!

The NASDAQ Stock Market Trading Sessions
Regular Trading Hours from 9:30 a.m. to 4:00 p.m. eastern time
After Hours from 4:00 p.m. to 6:30 p.m. eastern time

http://www.nasdaq.com/about/schedule.stm

The QQQ ETF does not have a "special" open and close time. It is the same as every other listed equity on the Nasdaq.

DTN's own feeds adhere to this because every tick is MarketOpen=false before 09:30 and after 16:00 hours. DTN.IQ Level 2 app. changes to active color at 09:30 and inactive color at 16:00.

My broker's and every other broker's trading system is configured to indicate official market open and market closed that adhere to these times.

Now here it is from the Nasdaq...

Nasdaq Pre-Market Quotes end at 09:29 hours:
http://www.nasdaq.com/?selected=NASDAQ-100+PMI

Nasdaq Pre-Market Trade Report ends at 09:29 hours:
http://quotes.nasdaq.com/quote.dll?mode=frameset&page=afterhours&symbol=QQQ&symbol=&symbol=&symbol=&symbol=&symbol=&symbol=&symbol=&symbol=&symbol=&selected=QQQ&FormType=&kind=&Leap=&mkttype=PRE&sel=premarket&userinput=&x=15&y=9

So we have a problem here because how can anyone use the DTN TotalVolume to do some calculations that rely on the actual trading volume - not volume done pre-market or after hours?

VWAP is an obvious problem - anyone calculating VWAP will have an incorrect value. A few bps difference in VWAP is a BIG problem! This way when anyone starts trading at 9:30am they are competing with true the Market Open hours VWAP and not some wild pre-post market trades.

Another problem is inconsistant numbers between snap quotes and aggregated trade tick analysis!

This is a real big pain and such a little oversight by DTN and probably minor to fix.

An obvious fix is to add another field to identify Pre-Market Volume which would clean this up and improve the data quality a lot.

Can you resolve or address this in your next release please?

Otherwise I will have to unnecessarily clean this data in real-time. I don't even want to know the mess and hacking I'm going to start in with cleaning historical data!
Edited by sasha on Oct 27, 2004 at 08:57 PM

IQFeed Developer Support » Garbage data on port 9100 ?!? Oct 22, 2004 05:57 PM (Total replies: 9)

Steve,

I think its a general problem "hammering" requests into DTN.

I'd like to refer you to http://forums.dtniq.com/index.cfm?page=topic&topicID=243 so you can do some more analysis.


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