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PostPosted: Sat May 06, 2017 11:52 pm 
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Joined: Tue Oct 13, 2009 12:19 pm
Posts: 195
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


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PostPosted: Thu Jun 29, 2017 3:29 pm 
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Joined: Wed May 05, 2010 9:49 pm
Posts: 367
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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