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DTN IQFeed's Dave Forss (Business Development Manager) - Ask Me Anything (AMA)
Id like to see the ability to look at back months of futures contracts in weekly, monthly etc time frames.
eg, if I wanf to look at a weekly @edU16 (Eurodollar Sep 2016) chart, I just get the front month weekly chart. This is the same for all futures contracts with a decent curve - crude, nat gas etc.
Why is this? It is a bug? At first I thought it was an issue with my charting package, but it turns out it's an IQ Feed issue.
Please resolve.
Thanks.
Can you help answer these questions from other members on NexusFi?
I checked with Support as well as the Market Data Integrity department to be sure, but weekly and monthly time frames are set up for continuation contracts. The continuation contracts look at the current front month that is trading. So, it won’t show up for an individual contract that is not the front month.
You can however look at daily, and intraday time frames to see the charting for @EDU16 (Eurodollar Sept. 2016).
Thanks.
Robert
The following user says Thank You to Robert Carrillo for this post:
Thats what I thought when I first encountered the problem. Alas no, it's an IQ Feed issue - as Robert agrees.
As for Eurodollars, U16 does around 50-60k a day.
In our current rate environment, the front months are dead. Also, there are too many HFT's trying to be market maker and gaming the pro-rata matching algorithm. You have to go further out to get a position on IMO. The upside is that there is always ample liquidity to put what ever size you want on. More than enough for me and anyone else here I assure you!
Well after eleven years I continue to learn something new. The fact is the weekly and monthly charts are driven by a legacy process and are automatically “continuation charts” for that contract. It has been this way since inception, and because most software in the market only requests daily bars then builds any other time frames off of that, we have never put the development resources into changing it, and likely won't.
With daily bars, you can request (n)days. Thus, you could effectively request 7 day bars and get a “weekly” or 30/31 day bars and get a “monthly”.
Perhaps not the answer you were hoping for, but I hope not too cumbersome a work-around.
Robert
The following 2 users say Thank You to Robert Carrillo for this post:
OK Thanks Robert - kinda makes sense. So we're back to the charting software - they should be able to make a weekly bar from daily data. Their response was 'we just chart what were given'.
Thanks for looking into this anyway.
Ive been using IQ feed for years and years. I've never had an issue with the feed being down or any other issue (apart from the bug bear above ). I used to use e-signal, and never looked back. You guys blow them out the water!
Good webinar today too. Learned things about IQFeed Connection Manager that I didn't know (like the news feed)!
Thanks and have a good one!
-AT
"Is it hard? Not if you have the right attitude. It's having the right attitude that's hard." - Robert Pirsig
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The following user says Thank You to AttitudeTrader for this post:
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In the webinar today it was mentioned IQFeed has COT elements data available for charting etc. Can you remind me the symbols? Does IQFeed have a sample Excel spreadsheet that would re-create something like this:
I would like to have more historical data on screen and a more clear overlay (this one is somewhat hard to read). It seems like all of this data is available with IQFeed, I just need to use Excel to get at it.
Also, I am a bit unclear (should have asked in the webinar). Is the Excel DDE functionality available to all IQFeed clients, or only if you subscribe to the API?
). I used to use e-signal, and never looked back. You guys blow them out the water!
