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markzielinski has contributed to 3 posts out of 21193 total posts (0.01%) in 2,212 days (0.00 posts per day).

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IQFeed Developer Support » Open, High, Low, Volume, Bid, BidSize, Ask, AskSize are all reset to zero outside trading hours Apr 25, 2018 05:55 PM (Total replies: 4)

I looked at HDT/HDX in more detail and saw these are providing the daily values back instead of ticks so this could actually work great for what I need since it should be fairly quick with multiple symbols. Thanks for the suggestion!

IQFeed Developer Support » Open, High, Low, Volume, Bid, BidSize, Ask, AskSize are all reset to zero outside trading hours Apr 25, 2018 05:25 PM (Total replies: 4)

That makes sense and I do retrieve historical data when displaying a chart of course. However I don't use historical data for market watch lists for example which is where I frequently see this happen on non-trading days and where it is probably the most visible with this situation. In this case I am just retrieving the current values taken from the most recent update/summary messages and updating those as new update/summary messages come in, which would be similar to streaming quotes. Having the ability to retrieve the previous trading day's open, high, low, close and so on would be ideal as I could simply reference those if the values for the current day haven't been set yet or if it's a non-trading day.

As part of the initialization of the watch list, I could retrieve the last trading day's historical data for each symbol in the watch list but I see several potential issues with this. For one, it would be really inefficient to retrieve a whole day's worth of data for each symbol that the user is watching to simply process all of that data to figure out what the open, high, low, close etc was for that day. Plus, the exchange sometimes picks a different open/close value and these won't always exactly match the first and last tick of the day with the data that we see. It's often close but not always the same, so being able to use the values directly provided by the exchange would be better here for sure.

IQFeed Developer Support » Open, High, Low, Volume, Bid, BidSize, Ask, AskSize are all reset to zero outside trading hours Apr 22, 2018 12:38 PM (Total replies: 4)

Hi,

It seems that outside of normal trading hours the open, high, low, bid, ask and volume are all typically reset to zero. Are you open to changing this behavior to keep the last values from the most recent trading day?

I check for this within my code by making sure the value is > 0 before updating it so I can continue to show what these last values were which will be the same values typically seen in most trading platforms. This works for me in most situations where the trading platform was live during the day and left up, but doesn't work when a user starts the trading platform on a non-trading day or outside normal trading hours.

If you really need to keep this behavior for some reason, how about adding a PreviousDayOpen, PreviousDayHigh, PreviousDayLow, PreviousDayVolume, PreviousBid, PreviousBidSize, PreviousAsk, PreviousAskSize which are all set when it resets so that these values can persist. Without these values it looks like a data problem with my trading platform when all these values are shown as zeros while other trading platforms show the most recent values from the most recent trading day.

Mark


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