IQFeed data product -USDA & CFTC Report


#1

Hi,
I use iqfeed as data source. I subscribed to their data product -USDA & CFTC Report ( lot of market statistic in there) but unfortunately the data does not show up in amibroker. an example symbol is CF_ES_OI. (open interest of ES)
I can see it in iqfeed's IQwatchquote though. Any suggestion how to get this in amibroker?

Thanks


#2

another symbol for example - CF_ES_AN (E-MINI S&P 500 CME ASSET NET)


#3

Hi @amiuser,

I don't use IQFeed, but with any data source you need to define the relationship between the data provided and the fields in the AmiBroker Database. That link is CRITICAL (be it the ASCII Import or a Data Plug-in). Not sure who provided it for you, but the best place to look is in the manual.

For me, using ASCII data, I use O,H,L,C,V, Open Ineterest, Aux1, Aux2 fields.

For IQFeed, I assume that you have a data plug-in, and you will have to figure out how it references the data fields you want to bring in to AmiBroker.

Long winded post that basically says find your manuals....


#4

thanks for that. data plugin comes together with amibroker. anyone who can point me to manual so that i can figure out how exactly I can use it through an AFL to get those special symbols under 'USDA & CFTC Report'?


#5

See this IQFeed symbology guide:

First thing is the the symbol must be present there.
Second thing is that it needs to offer OHLC prices and send TRADE updates ("tick price" and "tick size" or "bid" "ask"). So it has to be tradeable symbol OR index. From artificial symbols like statistics few are supported like up/down/unchanged volume up/down/unchanged issues.

As for Open Interest it is sent as part of NORMAL ES quotes in END-OF-DAY records (EOD only) - along with OHLC there is an OI field, accessible from AFL using OpenInt variable.

Chart below shows that (ES continuous future)

image


#6

Thanks for the feedback. yes i know about OI - thats why posted a second symbol.