Bug with IQ Feed data?


#1

I am having trouble with end of day data displaying properly from IQ Feed; either on the daily chart or the last bar of an intraday chart.

For instance, in the two pictures if I go to FMX and show the daily bar, it’s showing 917,691 shares

.

If I then force backfill it switches to 169, 641 shares - which I think is the correct amount. If I then move off the symbol and come back, it’s showing the 917,691 again…and sometimes a second later it switches back to 169,641 on it’s own, sometimes I have to forcebackfill again.

.

The price on the symbol also typically has long spikes. I think it’s all driven by some error on the last bar.

Here I went into 5 minute mode and you can see the incorrect spike in volume and price. This happens on most symbols most days as I flip through end of day charts. In this case it’s actually showing over 1.5M shares for the last bar of the day, the last bar should have been 3,476 shares.

You can see the last few bars in the database; so it’s not an issue w/ the data, but how it’s being shown on the chart:


How to optimize backfill with IQFeed (reopened)
#2

It also shows up wrong ** sometimes ** in the explores. Here I did an explore for 6/23 and you can see AAL showing 144M in volume where my daily database says about 12M in volume. And you can see it showing wrong on the chart also…

Yet, you can see the volume for A and AA, above it, is correct and shows about what the daily volume chart shows (approximately).


#3

Again you are forcing me to do guessing games.
You did not mention how did you configure IQFeed (what base interval, whenever mixed mode is enabled or not). You dont’ say what IQClient API you are using, what IQFeed plugin version, etc. Really I am not magician and don’t see your computer screen.

Typically problems are due to misconfiguration or exceeding subscription limit.


#4

Thanks. I’m travelling today but will look at this tomorrow and let you know what i find.

I have IQFeed at 5 minute interfaces; mixed mode. I have a large # of bars because I want daily data going back 10 years…but I’ll let you know tomorrow.

One other item; I see the IQFeed is up to client 5.2.6 on their web site but on the Amibroker site it looks like you recommend 5.0.0.14… I’m 99% sure I installed the version of the cilent from their site…so you can let me know if you think that could be part of the problem.

I’ll let you know how many bars I have and exactly which version of the client tomorrow.


#5

Here is the information:
5 minute setup
250,000 bars so i get end of day charts for 10 years
mixed eod setup
64 bit amibroker
I tried it with the client on the amibroker website which is outdated (5.0.0.14) and also with the IQfeed client that is on their site (5.2.6.0) and I get the same results.
Using the plugin with date 8/10/2016, downloaded from amibroker site

I actually tried setting up a whole new database with the 5 min / 250,000 bar setup to give it a clean test and it’s still happening.

What I’m doing is running a backfill through analysis to download all data for today. For instance, I’m looking at EXPE right now that has all the data downloaded for today. If I look at the quote editor and I add up all the volume it’s showing about 1.7M shares which is what traded. If I look at the chart it’s showing over 3M. If I disconnect from the datasource…the chart shows 3M but the quote editor is only shwoing 1.7M. So at that moment it appears it’s showing data from somewhere in AmiBroker since I’m disconnected…

For instance, you can see i’m disconnected right now from the picture…and it’s showing 30M shares. You can also see from the quote editor picture for most of the day, there is no where near 30M shares.

If I then reconnect and force backfill, it drops to 323,000 shares

Right now I’m using the client version on the Amibroker web site ( (5.0.0.14)


#6

i just noticed that the DLL date I had was older then that on the Amibroker site so i downloaded the new one and replaced it (Not sure if the versions were the same or not; old one had 2016 date). Let me test some more before you put any more time into looking at it just to make sure it wasn’t the DLL.


#7

Current IQFeed plugin version is 6.0.3 (http://www.amibroker.com/devlog/2016/08/10/new-iqfeed-plugin-6-0-3/) - included in setup and this plus latest IQClient should be used.


#8

Great thanks. Hopefully that will resolve the problems. Since this comes up on your website and google searches, may want to take the old stuff down here: http://www.amibroker.com/iqfeed.html That is what I thought I should be using.


#9

Hi Mike,

Dit it fix your problem? I also tried IQfeed with 10 years 5 minutes data with mixed results
so I cancelled the account.
Thanks


#10

I LOVE AmiBroker; been a customer for 10+ years. It’s by far the best package out there for testing and backtesting. But i’ve just gotten back into trading after a number of years away and am trying to come up w/ reliable ways to scan and the problems i am having have to do with datafeeds…as my issues have not gone away. My problem is really twofold…i have a database with 5 minute bars. If I make the # of bars smaller, I lose my end of day history more than a few years back. If i make the database larger (more bars), then end of day scans take much longer then an EOD only database. So I set up a 2nd database with end of day using Yahoo or Google to do end of day scans but their data seems unreliable. You can’t really use yahoo end of day according to the messages right now and and then there are issues with splits that have to be fixed regularly with these data feeds - and I really would prefer not to pay for a 2nd data source. The other issue is that i still have this end of day issue with volume and the last bar having spikes and being unreliable. I upgraded to all the latest systems, DLLs, etc and it still happens. I really would like to stay with IQ Feed and AmiBroker but dealing with these issues takes a lot of time.


#11

There will be a difference between DTNIQ intraday data vs EOD data. I have collected Intraday data directly from IQFeed and it never lines up with the Daily data to the letter as it sometimes have bad ticks and is unadjusted.