IQFeed Daily
Posted: Mar 15 2013
by markwit229
Using IQFeed, is there a way to specify that daily bars when used in a chart or supplied from IDataLoader represent 9:30am-4:15pm EST only for a market that may trade closer to ~24 hours (e.g., E-mini S&P on globex)? I know we could create a custom session but it seems that would affect only sub-daily charts (e.g., hourly).
I checked through the forums both here and at IQFeed but did not find a solution to what I am looking to do (if it exists). Thanks in advance for any help.
Mark
Re: IQFeed Daily [SOLVED]
Posted: Mar 15 2013
by Henry MultiСharts
Hello Mark,
IQfeed provides daily bars as fixed OHLC values with the session settings defined on their end.
You can get a daily bar with customized sessions if you create N minute chart with your own session template. IQfeed also provides ability to build minute and daily bars out of tick data:
Quote manager->Tools->Data sources->IQFeed->Settings->"build minute and daily bars from tick data". To make this setting come into effect you need to restart MultiCharts and all of its applications.
Please keep in mind that IQFeed has a limitation for amount of provided historical data:
Tick data- 8 calendar days within session hours, 120 days in non-session hours,
Minute data– up to 6 years (@ES# ~4.5 year)- only TRADE data,
Daily data – since 1901 (@ES# ~13 years), (INDU.X since 1928 year)
That means if you select building all resolutions from ticks then you will have less historical data, compared to using minute and day resolutions.
Re: IQFeed Daily
Posted: Mar 15 2013
by davewolfs
Using IQFeed, is there a way to specify that daily bars when used in a chart or supplied from IDataLoader represent 9:30am-4:15pm EST only for a market that may trade closer to ~24 hours (e.g., E-mini S&P on globex)? I know we could create a custom session but it seems that would affect only sub-daily charts (e.g., hourly).
I checked through the forums both here and at IQFeed but did not find a solution to what I am looking to do (if it exists). Thanks in advance for any help.
Mark
Please vote on this feature request.
The reality is that MC should have an option to build daily data from minute bars as an option. If this was the case than it would accomplish what you are looking for.
The alternative is for you to use 405 minute bars.
Vote here:
https://www.multicharts.com/pm/viewissu ... _no=MC-856
Re: IQFeed Daily
Posted: Mar 15 2013
by davewolfs
Henry MultiСharts wrote:
Hello Mark,
IQfeed provides daily bars as fixed OHLC values with the session settings defined on their end.
You can get a daily bar with customized sessions if you create N minute chart with your own session template. IQfeed also provides ability to build minute and daily bars out of tick data:
Quote manager->Tools->Data sources->IQFeed->Settings->"build minute and daily bars from tick data". To make this setting come into effect you need to restart MultiCharts and all of its applications.
Please keep in mind that IQFeed has a limitation for amount of provided historical data:
Tick data- 8 calendar days within session hours, 120 days in non-session hours,
Minute data– up to 6 years (@ES# ~4.5 year)- only TRADE data,
Daily data – since 1901 (@ES# ~13 years), (INDU.X since 1928 year)
That means if you select building all resolutions from ticks then you will have less historical data, compared to using minute and day resolutions.
Henry, wouldnt the dataloader check to see if the data exists in the local database or does the call always force the system to go out directly to the original data source i.e. IQFeed?
Re: IQFeed Daily
Posted: Mar 20 2013
by Henry MultiСharts
Henry, wouldnt the dataloader check to see if the data exists in the local database or does the call always force the system to go out directly to the original data source i.e. IQFeed?
IDataloader will first check the availability of data in the local database. If "download missing historical data" is checked and some data is missing-it will be requested from data provider's servers.