IQFeed v2020.09.26[.1] is ready!
Author: Cone
Creation Date: 9/27/2020 12:38 AM
profile picture

Cone

#1
Here are the latest and greatest changes:

o Smart Update - enable this setting in the IQFeed Data Manager options. Outside of market hours, if a symbol is already updated, it will not be requested again. During market hours, on-demand requests will always go through. This feature should make it comfortable to leave the On-Demand update setting on "always", and, if intraday data are updated, it will help to initialize the Strategy Monitor quickly to prepare for the market open.

o Fix - de-obfuscated method naming for GetQuote() and GetHistoricalData() so that the Paper Broker Provider could find them

o Fix - In some cases, the first streaming instance could have been disabled when the Strategy Monitor started Streaming bars.

o Restored Streaming for trade types "Extended" & "Other" when the Regular Session option is not enabled.
Notes:
1. To get streaming charts that add bars after hours, you need to create a new market in the Market Manager for the hours (and symbols) you require.
2 Although time filtering is suspended when IQFeed is disabled in the Market Manager, market hours still come from the Market Manager and new bars won't be added "outside of market hours".

o Fix - Removed the 5:4 split on 6/9/2011 for symbol AIV from the Split Resource. IQFeed has adjusted this symbol. Refresh AIV intraday.
profile picture

Cone

#2
Reminder!
If you want the Smart Update feature to work, make sure to select it in the Data Manager > IQFeed options
profile picture

superticker

#3
QUOTE:
o Fix - de-obfuscated method naming for GetQuote() and GetHistoricalData() so that the Paper Broker Provider could find them
v2020.09.26 has no change from v2020.09.19. I still get the GetQuote() error as before.

When authenticated, I get blank boxes for Bid and Ask even though the market is open. The paper trade ticket is not working at all.
profile picture

Cone

#4
Finally, I was able to duplicate this by removing all other streaming providers and then requesting a quote. I've got something to go on now.
profile picture

Cone

#5
Fixed!
i.e., fixed for real this time in v 2020.09.26.1, available now.
profile picture

superticker

#6
QUOTE:
fixed for real this time in v 2020.09.26.1
Paper trading seems to be working now for the IQFeed provider. I do get the Bid and Ask price. The Amount and Trade Type boxes don't function, but perhaps for paper trading, that's not important.
profile picture

Cone

#7
Amount and Trade type are broker options. The Paper Provider doesn't use Trade Type, but you can certainly put in an Amount to place a manual Limit or Stop order for the Paper Provider.
profile picture

kazuna

#8
Stock split is broken again?

[IQFeed Data Options]
Smart Update: ON
Regular Session only: ON
Split Adjust Intraday: ON
Always include the current partial bar: ON
60-Minute timestamp ends after first market hour: OFF

[DataSet]
Symbol: DRIP
Scale: 1 Minute

[Chart]
Scale: 1 Minute
Data Range: 2016/03/22 to 2016/03/23

All opening prices at 9:31am are broken if they were not split adjusted.

2016/03/22 09:31 : OHLC = 1062.50 / 1062.50 / 263.07 / 263.07
2016/03/23 09:31 : OHLC = 1048.96 / 1048.96 / 262.24 / 265.32

LastUpdateLog indicates that it attemped split adjustment but apparently it's not working.

DRIP Splitting result bars: factor 0.0833333333333333, Ex-date: 2020-03-27
DRIP Splitting result bars: factor 5, Ex-date: 2019-06-28
DRIP Splitting result bars: factor 5, Ex-date: 2016-08-25
DRIP Splitting result bars: factor 0.25, Ex-date: 2016-03-24
[3] DRIP 378236 bars 10.01.20 16:00 378236 bars added

Because all other split adjustments (2016-08-25, 2019-06-28, 2020-03-27) are applied correctly, maybe the issue is specific to the earliest stock split and when there are more than one stock slpits.
profile picture

kazuna

#9
Symbol like JNUG which had many splits is very broken.

These first two splits are adjusted.

04/23/2020 1 for 10
06/28/2019 1 for 5

But these four splits are not adjusted.

05/01/2017 1 for 4
08/25/2016 10 for 1
10/01/2015 1 for 5
12/23/2014 1 for 10
profile picture

Cone

#10
QUOTE:
But these four splits are not adjusted.
If you ever see this condition - only the 2 most recent splits are processed - it's because we're missing the older data in our split resource. IQFeed only gives us the 2 most recent splits and we're on our own for the rest. I've added JNUG and NUGT to the resource for the next update.

In the mean time, you can split process those splits manually one by one by right-click the chart > Process a Stock Split.

QUOTE:
Stock split is broken again?
Looking into the DRIP case.
profile picture

Cone

#11
Re: DRIP
The data is the clue ...
2016/03/22 09:31 : OHLC = 1062.50 / 1062.50 / 263.07 / 263.07
2016/03/23 09:31 : OHLC = 1048.96 / 1048.96 / 262.24 / 265.32

Notice that this occurs only for the first bar of the day, and, the low and close values are correct, but the Open (and the High follows) is not adjusted. This is due to the opening price being replaced by the Daily opening price.

We expect that the Daily series is adjusted by IQFeed, and in this case it is not for that 4:1 split on 3/14/2016. I'll inform them of this.

For now, to correct it,
1. manually split your Daily data (right click the chart > Process a Stock Split).
2. refresh your intraday chart (right click > Reload chart history)
profile picture

kazuna

#12
I tested 100+ symbols for 10+ years that I trade and there are too many symbols having the problem.
Unfortunately I think I have to adjust the split and correct the opening price discrepancy by myself to make the backtest to work consistently.
profile picture

Cone

#13
Do you mean there are a lot of Daily symbols that aren't properly split? Or something else?

If you gave me a list of the Daily symbols that aren't split, I'll pass it on to IQFeed. They've been pretty responsive when being notified of errors.
profile picture

kazuna

#14
Yeah, apparently there are so many Daily symbols missing split adjustments.
I looked at my dataset alphabetically and found missing split in DRIP, DRN, DRV, DUG, EDC, EDZ, GLL, JNUG and so on...
profile picture

Cone

#15
Seems to be limited to ETF types?
If you have a full list, we'll get them fixed. We just need to notify IQFeed.

Edit:
It's not obvious to me that there are any split problems with the symbols except DRIP. However, I found that:
DRV - problem with the opening price on 8/20/2013
DLL - data prior to 12/3/2008 should be removed (you can do this with the Data Tool)
profile picture

kazuna

#16
I trade ETF only so I don't know if the issue is limited to ETF.

The list will grow and change as the market changes, so it would not be practical to rely on IQFeed.
As a trader, I would rather prefer to have my own solution so that I can understand when things go wrong.
profile picture

Cone

#17
Anyway, I don't really see any problems relating to splits except for DRIP.
This website uses cookies to improve your experience. We'll assume you're ok with that, but you can opt-out if you wish (Read more).