IQFeed plugin - Streaming data different from backfill

I'm trying out IQFeed plugin with Amibroker but am encountering an issue. Hope someone can kindly advise if this is common, and if not, is there a solution?

ISSUE
I notice that when streaming data, there are often very 'long tails' in some bars (I'm using 1-min bars). But the moment I click on 'Force backfill', those long-tails (due to bad ticks, I suspect) disappear. In fact, the other bars that didn't have the long-tail also look slightly different.

Below, I have attached printscreens to illustrate what I mean.

HOW I SETUP
I followed this page step-by-step:
https://www.amibroker.com/iqfeed.html

DETAILS OF SYSTEM

  • Version of the plug-in: 6.0.3
  • IQFeed client: 6.0.0.5
  • Host machine: Win 8.1

Before Force Backfill:
AAPL%20-%20190408a%20-%20Bef%20Backfill%20(cropped)

After Force Backfill (Notice the long-tail near the 12:30 mark disappear):
APPL%20-%20190408b%20-%20After%20Backfill%20(cropped)

Hello,

If i'm not mistaken, a long tail appears if the number of tickers in the Amibroker exceeds 500. This is the limitation of IQFeed standard subscription.

Hi @axweye, no, I have only ~400 tickers in my database. So I think it shouldn't be what you mentioned.

Can I check if you've encountered something similar?

@phaser2679 you might find possible solutions in these threads:

I used IQFeed couple of years ago, and I met the same problem. Now I use ib as data feed

@Milosz, I read those 2 threads but they didn't seem to have any solution.

For the 1st thread, I'm already using plug-in version 6.0.3.

From the 2nd thread, if IQFeed does filter away bad ticks. why were those long 'tails' (which I presume are bad ticks) not filtered away? They only disappear when I do a 'Force Backfill'.

In short, I'm still clueless how I can get clean real-time 1-min intraday bars using Amibroker with IQFeed.

Make sure you are NOT exceeding 500 symbols IQFeed subscription limit.
As mentioned many times IQFeed is unfiltered feed. IQFeed does NOT filter anything. The bad tick filter is a PLUGIN feature but it is ATR based filter that works on backfilled data, not RT data because it needs "surrounding" data to figure out if given tail can be classified as "bad tick" or not.

2 Likes

Thanks for clarifying, Tomasz.

I am facing the same issue here, which long tails with distorted volume appears in the chart, being fixed just with manually pressing "Force Backfill".

Before Force Backfill:

Capturarf

After Force Backfill:

Capturard

Have you found the solution?

You clearly received bad ticks that they corrected post-factum. Bad ticks happen in unfiltered feed such as IQFeed. For more info see: https://s3-us-west-2.amazonaws.com/tick-data-s3/pdf/Tick_Data_Filtering_White_Paper.pdf