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Open Feature request MC-878

Download historical bid/ask data from IQFeed

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Description

Please download historical bid and ask data from IQFeed. They support downloading it for 120 days, just like tick data. It is synchronized data.
You can look to IRT, MD or Sierra for examples on this, they all do it correctly.

Steps to reproduce this issue

Feature request.

Comments (10)
#0
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Mar 22, 2012 - 09:21

MultiCharts is able to receive bid and ask tick data from IQfeed. 
"You can look to IRT, MD or Sierra for examples on this, they all do it correctly" - Mike, could you explain what exactly you mean?

#0
user-offline.png  Big Mike (ctrlbrk)
Mar 22, 2012 - 11:49

Hi,
What I mean is MultiCharts does not download historical bid ask data from IQFeed. And it needs to.
Open a new instrument you have never charted before. Download 120 days of data. Bid/Ask needs to be 120 days worth of data.

#0
user-offline.png  arnie (arnie)
Mar 22, 2012 - 13:49

Check this thread page on BMT http://www.bigmiketrading.com/elite-circle/10458-gom-cumulative-delta-volume-multicharts-21.html
There you have a couple of charts to watch. If MC could really download bid/ask historical data from IQFeed servers then GOM CD indicators were able to calculate past data and they can't. They're only capable to calculate realtime data.
Guys, please subscribe for one month Sierra Chart and see what their cumulative volume and tick studies plots. It'll cost you only $30. MC GOM CD indicators can't plot real CDV bars because, again, MC isn't able to retrieve bid/ask data.
Sierra and IRT/MD are leaders in offering such tools, and you can learn a lot from them.

#0
user-offline.png  Guest (Guest)
Mar 24, 2012 - 07:19

agreed, MC should be able to backfill bid/ask data from IQFeed for serious usage of the volume breakdown tools. 
depending on own data accumulation is not reliable. pc must be collecting data all the time. any restart or connection loss means lost data which cannot be retrieved anymore which leads to wrong interpretation of the bid/ask delta situation which can cause loss in trading. that's an imperative no go ;-)
if you are serious about keeping / getting new cumulative delta using customers its imperative to get this job done. FAST! :)

#0
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Mar 28, 2012 - 14:22

I can see historical Ask and Bid data on @ES# chart from IQFeed in my MultiCharts 8.0 Beta 2 right now and it is still backfilling. We also have option in IQfeed settings to get real-time Bid and Ask data as the snapshots when a tick comes or all available Bid and Ask data.
Do you mean that the volume in Sierra Charts is defferent from IQFeed volume in MC?

#0
user-offline.png  Clement (clementlim)
May 28, 2012 - 00:54

Hi Andrew,
I have attached two files that shows what Mike meant by missing bid/ask tick data. Using IQFeed, the bid/ask tick data is is not downloaded even though IQFeed has confirmed that they provide this with their 120 days worth of tick data. The only way to get that right now is to set Quote Manager to save it. In the attached image, the left (with all the blue arrows) is a day with bid/ask tick data saved. On the right is a day when the bid/ask tick data is not saved. You can see this from Up Vol and Dn Vol equals to zero. Hopefully this clarifies the missing data.

#0
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Jun 05, 2012 - 11:46

I have contacted IQFeed regarding questions what they can provide through API implemented in MultiCharts: "We have historical bid/ask price at the time of a sale, but not the bid/ask volume. As you note, we do provide the bid/ask volume in the live stream however."

#0
user-offline.png  Guest (Guest)
Jun 06, 2012 - 22:07

What a disappointment.

IRT is able to do this no sweat with my IQFeed but
Multicharts can't?
Or WON'T!

Not a happy camper.

#0
user-offline.png  Nick (Nick)
Jul 14, 2012 - 09:40

Missed this.

Something I spent a lot of time in emails and on the forums to explain. MC needs to correctly assign volume to @bid or @ask if that data is available historically. As has been mentioned Sierra, Ninja, investor RT, Market Delta can all be used to verify accuracy.

#0
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Feb 07, 2013 - 11:20
History
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    MultiCharts 8.5 (RELEASED)
  • Status
    Released
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (3)
People involved
Times and dates
  • Posted at
  • Last updated
Issue details
  • Resolution
    Not determined
  • Severity
    Normal
Attachments (3)
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