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20 Most recent posts:
New IQFeed Forum » Unaligned Bars from BW Command Apr 8, 2023 01:03 AM (Total replies: 9)

Thanks Gary for your insight.

Just to give you some more information about our requirement: we are trying to write data to a csv file which is supposed to be current all the time. Based on your above explanation, I assume that we should take the last bar of the first BW response as 'not closed' and if we receive any subsequent bar with the same timestamp, we should update the last bar. It seems all fine and we can easily implement this logic. However, Example 2 in the original post has some more issues that we cannot resolve with the above logic. The biggest issue is that the bars are not 3 minutes apart uniformly -- some are 2 minutes apart. Furthermore, the update message are not received for the last bar only but comes for a few bars further back as well. Please let us know how the investigation goes.

New IQFeed Forum » Unaligned Bars from BW Command Apr 4, 2023 11:52 AM (Total replies: 9)

Thanks Gary for the answer.

I am using the following command (requested at 12:39:xx, where I don't know the seconds for the requested time):

BW,@ES#,180,20230404 093900,,,,,B-@ES#-00180-s,s,'',30

Once again, I got the following output:

B-@ES#-00180-s,BH,@ES#,2023-04-04 12:24:00,4116.25,4120.75,4116.25,4120.75,943647,11233,0,
B-@ES#-00180-s,BH,@ES#,2023-04-04 12:27:00,4120.75,4125.25,4120.25,4124.75,955352,11679,0,
B-@ES#-00180-s,BH,@ES#,2023-04-04 12:30:00,4125.00,4126.00,4124.25,4126.00,961787,6435,0,
B-@ES#-00180-s,BH,@ES#,2023-04-04 12:33:00,4126.00,4128.00,4125.50,4126.25,969806,8019,0,
B-@ES#-00180-s,BH,@ES#,2023-04-04 12:36:00,4126.25,4126.75,4123.75,4124.00,977011,7005,0,
B-@ES#-00180-s,BH,@ES#,2023-04-04 12:39:00,4124.00,4125.00,4121.50,4123.00,986272,8861,0,
B-@ES#-00180-s,BH,@ES#,2023-04-04 12:42:00,4123.00,4124.00,4122.75,4123.50,987705,1433,0,
B-@ES#-00180-s,BU,@ES#,2023-04-04 12:42:00,4123.00,4125.00,4122.75,4125.00,989230,2958,,
B-@ES#-00180-s,BU,@ES#,2023-04-04 12:42:00,4123.00,4127.50,4122.75,4126.50,992407,6135,,
B-@ES#-00180-s,BU,@ES#,2023-04-04 12:42:00,4123.00,4127.50,4122.75,4125.00,994452,8180,,
B-@ES#-00180-s,BU,@ES#,2023-04-04 12:42:00,4123.00,4127.50,4122.75,4125.75,996636,10364,,
B-@ES#-00180-s,BC,@ES#,2023-04-04 12:42:00,4123.00,4127.50,4122.75,4126.75,997380,11108,,
B-@ES#-00180-s,BU,@ES#,2023-04-04 12:45:00,4126.50,4126.75,4125.75,4126.00,998656,1276,,

As you can see, I received a history bar for 2023-04-04 12:42:00 on 2023-04-04 12-39-xx mark and later received BU messages corresponding to the same bar.

The command for the above two examples in my first post are similar with the exception of the request time for the command and BeginDateTime parameter.

New IQFeed Forum » Unaligned Bars from BW Command Apr 1, 2023 03:15 PM (Total replies: 9)

We made a BW request on 02:52:00 for a 3-minute interval and update interval of 30 seconds. We received BH messages (based on historical data) uptill 02:52:00 and all prior history bars were 3-minutes apart. The problem is that after 02:52:00 marks, the next streaming bar comes at 02:54:00 which is two minutes apart from the last bar. After the bar at 02:54:00, all the streaming bars are once again 3-minutes apart. The stream is given below

B-@ES#-00180-s,BH,@ES#,2023-03-29 02:40:00,4026.75,4026.75,4026.25,4026.75,73084,391,0,
B-@ES#-00180-s,BH,@ES#,2023-03-29 02:43:00,4026.50,4027.50,4026.50,4027.00,73447,363,0,
B-@ES#-00180-s,BH,@ES#,2023-03-29 02:46:00,4027.00,4027.25,4026.25,4026.75,73754,307,0,
B-@ES#-00180-s,BH,@ES#,2023-03-29 02:49:00,4027.00,4027.25,4026.75,4026.75,74208,454,0,

B-@ES#-00180-s,BH,@ES#,2023-03-29 02:52:00,4026.75,4027.25,4026.50,4027.00,74509,301,0,
B-@ES#-00180-s,BU,@ES#,2023-03-29 02:54:00,4026.75,4027.25,4026.50,4027.25,74546,338,,

B-@ES#-00180-s,BU,@ES#,2023-03-29 02:54:00,4026.75,4027.50,4026.50,4027.25,74621,413,,
B-@ES#-00180-s,BC,@ES#,2023-03-29 02:54:00,4026.75,4027.50,4026.50,4027.50,74651,443,,
B-@ES#-00180-s,BU,@ES#,2023-03-29 02:57:00,4027.75,4027.75,4027.25,4027.25,74747,96,,
B-@ES#-00180-s,BU,@ES#,2023-03-29 02:57:00,4027.75,4027.75,4026.50,4026.75,74966,315,,
B-@ES#-00180-s,BU,@ES#,2023-03-29 02:57:00,4027.75,4027.75,4026.50,4027.00,75039,388,,
B-@ES#-00180-s,BU,@ES#,2023-03-29 02:57:00,4027.75,4027.75,4026.50,4027.75,75217,566,,
B-@ES#-00180-s,BU,@ES#,2023-03-29 02:57:00,4027.75,4028.00,4026.50,4028.00,75381,730,,
B-@ES#-00180-s,BC,@ES#,2023-03-29 02:57:00,4027.75,4028.25,4026.50,4028.25,75452,801,,


My question is if there is a way we can make sure that all history, update and closed bars are 3 minutes apart?

In another occurrence, I receive the following stream:


B-@ES#-00180-s,BH,@ES#,2023-03-29 04:26:00,4032.75,4034.50,4032.75,4034.50,113520,792,0,
B-@ES#-00180-s,BH,@ES#,2023-03-29 04:29:00,4034.25,4035.00,4034.25,4034.50,114138,618,0,
B-@ES#-00180-s,BH,@ES#,2023-03-29 04:32:00,4034.50,4036.75,4034.25,4036.75,115551,1413,0,
B-@ES#-00180-s,BH,@ES#,2023-03-29 04:35:00,4036.75,4036.75,4035.50,4035.75,115989,438,0,

B-@ES#-00180-s,BC,@ES#,2023-03-29 04:36:00,4036.75,4036.75,4035.50,4035.75,115989,438,,

B-@ES#-00180-s,BU,@ES#,2023-03-29 04:33:00,4036.00,4036.75,4036.00,4036.50,116292,303,,
B-@ES#-00180-s,BC,@ES#,2023-03-29 04:33:00,4036.00,4037.25,4036.00,4037.25,116458,469,,
B-@ES#-00180-s,BU,@ES#,2023-03-29 04:36:00,4037.25,4037.75,4037.00,4037.25,116978,520,,
B-@ES#-00180-s,BU,@ES#,2023-03-29 04:36:00,4037.25,4037.75,4036.75,4036.75,117217,759,,
B-@ES#-00180-s,BU,@ES#,2023-03-29 04:36:00,4037.25,4037.75,4036.50,4036.75,117426,968,,
B-@ES#-00180-s,BU,@ES#,2023-03-29 04:36:00,4037.25,4037.75,4036.50,4036.50,117630,1172,,
B-@ES#-00180-s,BU,@ES#,2023-03-29 04:36:00,4037.25,4037.75,4036.50,4037.00,117808,1350,,


The request was made on 04:32:00 for a 3-minute interval and update interval of 30 seconds. We received BH messages (based on historical data) uptill 04:35:00 and all prior history bars were 3-minutes apart. There are multiple problems with the stream:

  • How can IQFEED calculate the 04:35:00 history bar at 04:32:00 mark. I understand if it starts sending BU messages for the 04:35:00 bar, but a history bar means that the bar has been closed based on historical data. So, how the 04:35:00 history bar can be closed at 04:32:00 mark.

  • We received a BC close bar message for 04:36:00 (highlighted green) and later received BU (update) messages for the same bar.

  • The previously discussed problem of misaligned interval bars like 04:32, 04:33, 04:35 and 04:36 still remains. The difference between these bars should be 3 minutes.



Can anyone please clarify how can I make sure that all historical and current bars are received in order as well as the same time interval apart?


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