IQFeed plugin 7.xx with bad tick filter

One more code to exclude: 44 (stock option trade).
It most often comes together with code 89 (qualified contingent trade).

Also: 06 (cash trade same day clearing)

I finally got the information from IQFeed what they are doing when constructing their own minute bars. They are just completely filtering out all "O" (other trades), which means all odd-lot trades and many many other trade conditions.

Having finally got that this crucial information, I will implement next version of the plugin that will offer THREE filtering modes:

  1. None - no filtering at all
  2. Standard - filtering out all "O" type trades as IQFeed does when constructing their own historical bars (caveat: this excludes all "odd lot" trades, but this is apparently "industry standard" now)
  3. Advanced - will provide full control over what trade condition codes are filtered (as it is available in plugin version 7.0.0).

This will offer you maximum flexibility. If you wanted the "IQFeed" way you would just select "Standard" and don't worry about individual trade conditions (at the expense of "odd lot" trades being filtered out)

If you wanted complete customization at the expense of making your own decisions what you want and what you don't want, you would choose "Advanced" mode

I hope that this will address ALL NEEDS and everyone finally will be happy.

As I was watching the tape again yesterday there is still discrepancy inside IQFeed OWN application ("IQFeed Time & Sales" app available from IQConnect) between what is collected in real-time and what is backfilled. The discrepancy is in the volume and it contradicts the information received from IQFeed.

It is easy to reproduce just by right clicking IQConnect tray icon, selecting "Time&Sales" app, entering the symbol to get backfilled data, waiting some minutes and then comparing real-time collected volume with whatever is returned by re-backfilling again.

There is updated plugin 7.10 released now that implements these 3 strategies:

https://www.amibroker.com/bin/IQFeed7100.zip

In new plugin Configure dialog there are 3 options:

Recommended setting is "Standard"

When you choose "Advanced" additional options show up

Hi @Tomasz, this is fantastic! :waving_hand: I watched a number of symbols all day and there was not a single bad wick. So far, this is exactly what I wanted! I'll continue to watch it next week but normally I would have seen many of them by now.

Thank you for working through all the roadblocks on do this for us!

Thank you for your kind words.

Update: I watched 9 symbols on 1-min charts all day, and I didn't see a single bad wick. This is simply tremendous. Thank you again, Tomasz!