IB / IQFeed daily chart session times discrepancy

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roesm
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IB / IQFeed daily chart session times discrepancy

Postby roesm » 08 Oct 2012

The "sessions" setting under "Format Instrument" does not affect the OHLC values received from IQFeed. I chatted with IQFeed on Friday and their system does support custom session times and IB works no problem, but I need the deep history provided by IQFeed. Please see attached pic and notice the differing opening prices for the two charts - both are set to CME:Equity Index Futures (Open Outcry)

I've seen similar posts to to this, but no resolution. Is there a fix in the works or do I need to generate what I want from 1-minute data?

Using MC64 V8.0 B 5622
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Henry MultiСharts
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Re: IB / IQFeed daily chart session times discrepancy

Postby Henry MultiСharts » 08 Oct 2012

Hello Roesm,

Have you reloaded IQFeed chart using Ctrl+R ? You need to do that after the instrument sessions are changed.

roesm
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Re: IB / IQFeed daily chart session times discrepancy

Postby roesm » 08 Oct 2012

Yes... I've also gone into Quote Manager and cleared the cache, deleted data and reloaded. The problem persists. Looking at the actual data in QM (using Edit Data) the prices are as reflected on the chart. Perhaps MC is not sending requested session times to IQFeed, so IQFeed is simply sending the default full-session values..?

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Re: IB / IQFeed daily chart session times discrepancy

Postby Henry MultiСharts » 09 Oct 2012

Hello Roesm,
I chatted with IQFeed on Friday and their system does support custom session times
Probably there was some confusion when you talked to support.
I have double-checked this information with IQFeed representatives: IQfeed does not provide custom session times. They only have a single “session” for @ES (because that is all there is at the exchange). Custom sessions selected in MultiCharts affect only the bar timestamp that will be used to save the data into the database (for daily bars). Please note that incorrect session settings can cause multiplied or missing daily bars.

You can plot a daily bar with the custom session you need out of tick data if you enable the option in Quote manager->Tools->Data sources->IQFeed->Settings->"build minute and daily bars from tick data".
In this case minute and daily data will be limited to 8 calendar days within session hours, 120 days in non-session hours.

roesm
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Re: IB / IQFeed daily chart session times discrepancy

Postby roesm » 09 Oct 2012

Thank you for resolving this issue. That's pretty disappointing.

Can you suggest a data vendor which provides multi-year 1-minute data (and custom session times for daily bars) at a reasonable price?

Thanks again!

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Henry MultiСharts
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Re: IB / IQFeed daily chart session times discrepancy

Postby Henry MultiСharts » 11 Oct 2012

Can you suggest a data vendor which provides multi-year 1-minute data (and custom session times for daily bars) at a reasonable price?
Thanks again!
1) CQG=Tick-by-tick up to 6 months back for most symbols, minute bars up to 10 years back for most symbols, daily bars made out of minutes.
2) IQfeed if "build minute and daily bars from tick data" is enabled.
3) Interactive Brokers:
If "Regular Trading Hours" option is enabled (QuoteManager->Tools tab->Data sources ->IB->Settings) -only the data for session hours will be downloaded from the server.
If "Regular Trading Hours" option is disabled-additional non-session data will be downloaded, in case it is provided by IB and enabled in TWS (TWS->Chart settings->Chart Parameters-> "Show data outside of regular trading hours").


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