search

mathpaquette / IQFeed.CSharpApiClient

IQFeed.CSharpApiClient is fastest and the most well-designed C# DTN IQFeed socket API connector available
MIT License
120 stars 43 forks source link

Minute bars for various divisions of the trading day. #139

Open SuperDaveOsbourne opened 2 years ago

SuperDaveOsbourne commented 2 years ago

Lets say I want 195 minute bars for the interval period. How would one code that to get just the two bars of the trading day for normal US equities. I know I can upscale 5 minute bars but I am trying to debug why a chart package returns different data when both IQFeed and the charting package use DTN.

If I use non trivial time second spans, the start times don't line up with 9:30 to 4 of the standard trading day. Lets say for example 65 minute bars that evenly divide into the standard equity time span. Using IQFeed I get bars that start with the first trade of the day outside of the 9:30 to 4 PM trading day.

SuperDaveOsbourne commented 2 years ago

I have noticed that even 5 minute bars don't seem to match the same feed that DTN has with Ninja Trader. As an example AMD on a 300 second call to: var tmpFilename = await LookupClient.Historical.File.GetHistoryIntervalDaysAsync(symbol, 300, 3, MaxDatapoints); Gives: [LH,2022-04-01 19:55:00,108.0400,107.9500,107.9700,108.0400,111867074,6475,0, ] for the last tick Friday. For NinjaTrader using the DTN IQ feed it reports 108.19 as the close for 5 minute data. Am I missing the 16:00 tick or is there a reason for the difference between the two feeds? Version 2.8.

mathpaquette commented 2 years ago

umm interesting.. are you able to get the request generated by Ninja ? You can enable logging on IQFeed client.