NEW IQFeed User, comparing it to TS Data help

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Mobiius
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NEW IQFeed User, comparing it to TS Data help

Postby Mobiius » 23 Mar 2013

Hi everyone,
Long time no post...

I'm trying out the IQFeed with the new 8.5MC and I'm comparing it to my current feed, TS (TS).

What is important for our work is continous futures contracts. Now it seems that IQFeed has continous contracts but unfortunately the way they process their rollovers is quite a bit different than TS. For example pulling up the @ES contract and at the end of the trading day on March 6th IQFeed has a closing price of 1539.75 while TS has 1535.

The difference is when IQFeed rolls over it does so very abruptly from the previous March contract that was 1539.75 to the June contract when it opened in the evening @ 1535.

This does not lend well to accurate system development or strategies if you are using the IQFeed. Is there something I can do about this or?

I am open to IQFeed data, although I am not happy with the fact that I cannot find other past (2007) contracts such as @ESM07 if I fancied to do some historical work.

Like I said I am open to IQFeed as I think it may save on data costs, but then again I haven't talked to their sales rep so I don't know if it will be a viable alternative to TS in that regard.

Anyway, looking forward to opinions or help.

Cheers.

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Re: NEW IQFeed User, comparing it to TS Data help

Postby ABC » 23 Mar 2013

Mobiius,

IQFeed has a backadjusted ES contract, it's symbol is @ES#C.
Besides that you can build your own continuous contract with MC using the individual contracts.

Regards,

ABC

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Re: NEW IQFeed User, comparing it to TS Data help

Postby Mobiius » 23 Mar 2013

IQFeed does not have a back adjusted contract called @ES#C
They have one called @ES# which I am referring to. As stated they have errors which do not reflect what you should have in a back adjusted contract. Unless I am mistaken about how it should be done. Maybe IQFeed users prefer it done this way?

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Re: NEW IQFeed User, comparing it to TS Data help

Postby ABC » 24 Mar 2013

I am using IQFeed's @ES#C backadjusted contract every day, they have it.
@ES# on the other hand is the not adjusted continuous contract, it just continues with the new contract on the rollover as is.

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Re: NEW IQFeed User, comparing it to TS Data help

Postby arnie » 24 Mar 2013

IQFeed does not have a back adjusted contract called @ES#C
They have one called @ES# which I am referring to. As stated they have errors which do not reflect what you should have in a back adjusted contract. Unless I am mistaken about how it should be done. Maybe IQFeed users prefer it done this way?

You really should go to IQFeed site and search their symbol list...

Like ABC said...

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Re: NEW IQFeed User, comparing it to TS Data help

Postby Mobiius » 24 Mar 2013

OK, sorry guys. I'm not trying to be difficult. I just am trying to add the @ES#C symbol and it says that it does not exist. I search for @ES or just ES and @ES#C does not show on the list.

Is there something I'm not doing right?
I've attached a screen shot.
Thanks for your help.
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Re: NEW IQFeed User, comparing it to TS Data help

Postby arnie » 24 Mar 2013

OK, sorry guys. I'm not trying to be difficult. I just am trying to add the @ES#C symbol and it says that it does not exist. I search for @ES or just ES and @ES#C does not show on the list.

Is there something I'm not doing right?
I've attached a screen shot.
Thanks for your help.
MC cannot find that symbol because IQFeed does not provide a "lookup" for it.
You need to add it manually.

Go to Instrument > Add Symbol > Manually.

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Re: NEW IQFeed User, comparing it to TS Data help

Postby ABC » 24 Mar 2013

When setting it up manually, it might find the correct settings by default already (as they are stored within the MC database), otherwise simply set it to the same settings @ES# comes with.

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Re: NEW IQFeed User, comparing it to TS Data help

Postby Mobiius » 24 Mar 2013

Thanks I installed in manually. It's downloading now.

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Re: NEW IQFeed User, comparing it to TS Data help

Postby Mobiius » 24 Mar 2013

As these continous contracts are not necessarily public knowledge with IQFeed. Is there a list of @?#C contracts that they support or have?

Thanks.

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Re: NEW IQFeed User, comparing it to TS Data help

Postby ABC » 24 Mar 2013

From their website they seem to have it for all contracts now, at least for the common ones.

You can check the exchanges and contracts easily in the IQFeed Symbol Guide.

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Re: NEW IQFeed User, comparing it to TS Data help

Postby Mobiius » 24 Mar 2013

Ya, I'd really like to use the IQFeed, just checking all the symbols I use and see if they match up with what I can get through them. It would save us about 50% per month in data fees.

Getting to understand the symbol catalogue now... +GC#C, etc... little wierd why they don't just call it @GC#C then... Also, figuring out the Futures Options list is always fun. I may have to call them up to get some help...

Just sent a message on their forum though as the 3rd symbol I looked up (+SI#C) had a bad data point with a high that said it had traded 10% more than the price, so not too happy about that.

Still not 100% sure how they back adjust it differently than TS, but I can definately see a minor difference as I get more into it. Such as if you go a year in the past you will have a price that is 1999.7 instead of 2000 with TS.

Anyway always gets my Scottish blood going when there is money to be saved :-)

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Re: NEW IQFeed User, comparing it to TS Data help

Postby Geoff » 27 Mar 2013

Try QGC#C and QSI#C, they replaced the + symbols with Q


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