mikembb wrote:
Dear all,
I tried to download historical Ask / Bid data from the IQFeed. It works, when I download via Tools the quotes.
But what does not work for Ask / Bid is when I use either of below:
Code:
TickSeries ticks = null; Instrument i;
ticks = DataManager.GetHistoricalTicks(hDataProvider,TickType.Ask,i,lastDateTime.AddSeconds(60),DateTime.Now);
ticks = DataManager.GetHistoricalAsks(hDataProvider,i,lastDateTime.AddSeconds(60),DateTime.Now);
ticks = DataManager.GetHistoricalAsks(dataProvider,i.Symbol,lastDateTime,DateTime.Now);
Can you please check into that? Or give me another idea, on how to get the ask and bid data via IQFeed?
Regards
Mike
Hello mikembb,
IQFeed not provide unfiltered historical data for bid/ask.
All bid/ask presents only with historical trades.
So if instrument has million of quotes and has no any trade during trading day, IQFeed will not provide any tick data.
This way IQFeed provider accept only DataType == DataObjectType.Trade and DataType == DataObjectType.Quote.
Code:
var quotes = DataManager.GetHistoricalQuotes(hDataProvider,i,DateTime.Now.AddDays(-2),DateTime.Now);
if (quotes != null)
Console.WriteLine("quotes count: {0}", quotes.Count);
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