Today IQFeed rolled over to the June contract on equities.
For those using the back adjusted continuous contract we need to reload our charts so we get the adjusted quotes.
This reload is always messing the volume profile because while prices do get adjusted, the volume profile does not.
We need not only reload minute data but also tick data. The problem is that I never know which tick data to reload. Regular tick data or volume delta tick data?
Every quarter is the same thing, I spend hours reloading data till I finally have the volume and price aligned with each other.
Can you guys give the correct procedure to reload the data so price and volume profile be aligned?
I remember you guys saying that the best thing would be to set a workspace with all the symbols we need to reload on a roll over, where we have minute data, tick data, daily but the damn thing never was able to do its job. I never have the volume and price aligned by the end of the reload.
Thanks.
IQFeed continuous contracts
- Henry MultiСharts
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Re: IQFeed continuous contracts
Hello arnie,
There is no division: Regular tick data or volume delta tick data.
Volume profile for IQFeed is plotted using Trade Tick data. It means after contract rollover (while all of the charts for this instrument are closed) you need to delete the existing Tick and Minute data for Trade quote field in QuoteManager and clear the cache for this symbol. Once you plot a chart for this instrument in MultiCharts - the back adjusted historical data will be downloaded from IQFeed servers and saved to your database.
There is no division: Regular tick data or volume delta tick data.
Volume profile for IQFeed is plotted using Trade Tick data. It means after contract rollover (while all of the charts for this instrument are closed) you need to delete the existing Tick and Minute data for Trade quote field in QuoteManager and clear the cache for this symbol. Once you plot a chart for this instrument in MultiCharts - the back adjusted historical data will be downloaded from IQFeed servers and saved to your database.
- JoshM
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Re: IQFeed continuous contracts
Just to verify if I understand the Reload command correctly: only bars that have missing data will be filled with fresh data from the data source, right? (Otherwise it would probably not needed to delete the QuoteManager data manually I suppose).Volume profile for IQFeed is plotted using Trade Tick data. It means after contract rollover (while all of the charts for this instrument are closed) you need to delete the existing Tick and Minute data for Trade quote field in QuoteManager and clear the cache for this symbol. Once you plot a chart for this instrument in MultiCharts - the back adjusted historical data will be downloaded from IQFeed servers and saved to your database.
- Henry MultiСharts
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Re: IQFeed continuous contracts
Backfilling of data is performed when you plot a chart while in MultiCharts ->File ->Preferences->Data server mode-> "download missing historical data" is checked. If no data is returned by the data provider then empty intervals are saved to the database in order to avoid requesting the non available data each time you plot this instrument.Just to verify if I understand the Reload command correctly: only bars that have missing data will be filled with fresh data from the data source, right? (Otherwise it would probably not needed to delete the QuoteManager data manually I suppose).
“Reload data” loads the data from the data provider server for the requested period (all chart data range (relaod all data) or the specified reload data range) and overwrites the existing in the database data with the newly downloaded.
- arnie
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Re: IQFeed continuous contracts
Thanks Henry.Hello arnie,
There is no division: Regular tick data or volume delta tick data.
Volume profile for IQFeed is plotted using Trade Tick data. It means after contract rollover (while all of the charts for this instrument are closed) you need to delete the existing Tick and Minute data for Trade quote field in QuoteManager and clear the cache for this symbol. Once you plot a chart for this instrument in MultiCharts - the back adjusted historical data will be downloaded from IQFeed servers and saved to your database.
I thought there was a difference between tick and volume delta.
What I noticed today was the following. I reloaded minute and regular tick data and volume continued to be off in relation to prices.
I then reload volume delta data and this time volume became aligned with price.
- Henry MultiСharts
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Re: IQFeed continuous contracts
arnie, please specify what you mean exactly by "reload volume delta data".Thanks Henry.
I thought there was a difference between tick and volume delta.
What I noticed today was the following. I reloaded minute and regular tick data and volume continued to be off in relation to prices.
I then reload volume delta data and this time volume became aligned with price.
- arnie
- Posts: 1594
- Joined: 11 Feb 2009
- Location: Portugal
- Has thanked: 481 times
- Been thanked: 514 times
Re: IQFeed continuous contracts
arnie, please specify what you mean exactly by "reload volume delta data".Thanks Henry.
I thought there was a difference between tick and volume delta.
What I noticed today was the following. I reloaded minute and regular tick data and volume continued to be off in relation to prices.
I then reload volume delta data and this time volume became aligned with price.
View > Reload > Reload All Data