NexusFi: Find Your Edge


Home Menu

 





AmiBroker IQFeed historical tick data


Discussion in Platforms and Indicators

Updated
      Top Posters
    1. looks_one badabingbadaboom with 11 posts (3 thanks)
    2. looks_two Big Mike with 10 posts (3 thanks)
    3. looks_3 medias with 2 posts (5 thanks)
    4. looks_4 prouser with 2 posts (0 thanks)
      Best Posters
    1. looks_one medias with 2.5 thanks per post
    2. looks_two bob7123 with 1 thanks per post
    3. looks_3 badabingbadaboom with 0.3 thanks per post
    4. looks_4 Big Mike with 0.3 thanks per post
    1. trending_up 14,764 views
    2. thumb_up 12 thanks given
    3. group 9 followers
    1. forum 29 posts
    2. attach_file 0 attachments




 
Search this Thread

AmiBroker IQFeed historical tick data

  #1 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,319 since Jun 2009
Thanks Given: 33,139
Thanks Received: 101,474

I've gone back and forth multiple times with AmiBroker support but not getting anywhere.

Has anyone successfully hooked up IQFeed with AmiBroker and downloaded 120 days of historical tick data?

Here is my original email to them:


Quoting 
Hi,

I am new to AmiBroker and am just spending a few hours trying to set it up.
The first step seems to be the database and data.

I use IQFeed for historical data.

So far, it seems to me that I must have separate databases in AmiBroker in
order to have tick, minute, and daily bars from IQFeed. Is this accurate?
If I create only a tick database, then it seems it requests only tick data
and not minute or daily data.

So I’ve created a separate daily, minute, and tick database. Then the next
step was I increased HKCU/Software/TJP/Broker/Settings/MaximumNumberOfBars
to 10000000 and restarted AmiBroker.

I think requested a new symbol and viewed the backfilling window and the
chart. The result seems to be somewhat random cut offs of data. IQFeed
provides 120 days of historical tick data, but AmiBroker is stopping around
2,500,000 bars or so which varys from symbol to symbol. This is after hours
so there is no limitation on IQFeed’s side. For example, the earliest date
I can view in AAPL is 5/7/13 and in C is 6/3/13. The number of bars are
similar, but dates vary. Is there some sort of maximum number? I want to
be able to backfill the full 120 days from IQFeed, which will be increased
to a bigger number soon…

Please let me know what I am missing. BTW I am not worried about local
resources. i7 2600k overclocked to 5ghz on water, 2x256GB SSD RAID 0, 32GB
ram for this workstation, and I am using AmiBroker 5.66.0 x64 on Win7 x64.

Thanks.

So far their replies have been unhelpful, they haven't even read my message because they say to modify registery (in my original email), they say to use tick database (in my original email), and they say it was because during market hours and IQFeed policy (not the case, again in my original email).

Am hoping someone here who has done this before can assist me.

Thanks.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
The following 2 users say Thank You to Big Mike for this post:

Can you help answer these questions
from other members on NexusFi?
ZombieSqueeze
Platforms and Indicators
Looking for an MQL4 MetaTrader programmer/coder
The Elite Circle
NexusFi Journal Challenge - May 2024
Feedback and Announcements
Request for MACD with option to use different MAs for fa …
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Retail Trading As An Industry
62 thanks
NexusFi site changelog and issues/problem reporting
46 thanks
Battlestations: Show us your trading desks!
34 thanks
GFIs1 1 DAX trade per day journal
31 thanks
What percentage per day is possible? [Poll]
22 thanks

  #2 (permalink)
 badabingbadaboom 
London/UK
 
Posts: 56 since Apr 2013

Don't use IQfeed but what is your setting in File>Database settings>Number of bars?

Reply With Quote
  #3 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,319 since Jun 2009
Thanks Given: 33,139
Thanks Received: 101,474



badabingbadaboom View Post
Don't use IQfeed but what is your setting in File>Database settings>Number of bars?

Why would I not use IQFeed?



Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #4 (permalink)
 badabingbadaboom 
London/UK
 
Posts: 56 since Apr 2013


Big Mike View Post
Why would I not use IQFeed?

Mike

I meant "I don't use IQFeed".

Reply With Quote
  #5 (permalink)
 badabingbadaboom 
London/UK
 
Posts: 56 since Apr 2013

After making the registry key setting have you re-started AB (or restarted your OS to be sure)?

EDIT: Well, forget about my last comment .... since it was possible to change the number of bars you probably have already done that or it is not needed at all.

Reply With Quote
  #6 (permalink)
 badabingbadaboom 
London/UK
 
Posts: 56 since Apr 2013

@Big Mike, since I don't use IQFeed I have tested with a fellow user of AB who is using IQFeed regularly and we have found out that the problem seems to be IQFeed themselves. Some symbols get downloaded with full 10 million tick bars if 10 million is set as max. value. Some symbols stop after 2.5 million some stop after around 3.5 million.

In addition I have asked AB support myself and they have also tested with IQFeed's own application and even their own application stopped downloading after 700k ticks bars for a tested smbol.

Here is what Technical Support replied to me:


Quoting 
Hello,

By the way I checked IQFeed's own history app and on attempt to download 10 million bars
it downloads only 700K and stops, so the source of problem is IQFeed and I am checking that with them.

Best regards,
Tomasz Janeczko
amibroker.com

And FYI, if you set to currently maximum bars of 10 million ticks to get downloaded then it doesn't mean that you would get 120 days of history as there could be a case where one symbol has millions of ticks per day on average and so you would get just a few days downloaded since the number of bars settings refers to ... well, bars but not days.

So you would have to set average number of bars per day * 120 days = ....
It would mean that if a symbol has an average of 2 million tick bars per day then you would need a max. value of 2 million * 120 days = 240 million bars but not 10 million.

But such number is equal to 40 bytes * 240 million = 9.6 GB of data per symbol
Downloading such data would take 3 hours with 10Mbps DSL. It would take 48 seconds to read such file from SSD drive @200MB/second. And executing just a single AFL function such as Highest() would take 1 second (provided that you would have a i7 processor with triple channel memory that has 10GB/s bandwidth).

That info was also sent by AB support about the simple Maths.

Another info by SierraChart

Quoting 
Tick Data Limitation during Primary Session Hours

As of this writing, 120 days of Tick data is available from DTN IQ Feed. However, due to the bandwidth requirements for Tick data, during primary trading session for markets, IQ Feed, limits the data to only about 8 days. This limitation is imposed by IQ Feed, not Sierra Chart.

DTN iQFeed Data Service - Sierra Chart

So also that software vendor report about IQfeed limits.

Reply With Quote
  #7 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,319 since Jun 2009
Thanks Given: 33,139
Thanks Received: 101,474


badabingbadaboom View Post
@Big Mike, since I don't use IQFeed I have tested with a fellow user of AB who is using IQFeed regularly and we have found out that the problem seems to be IQFeed themselves. Some symbols get downloaded with full 10 million tick bars if 10 million is set as max. value. Some symbols stop after 2.5 million some stop after around 3.5 million.

In addition I have asked AB support myself and they have also tested with IQFeed's own application and even their own application stopped downloading after 700k ticks bars for a tested smbol.

Here is what Technical Support replied to me:



And FYI, if you set to currently maximum bars of 10 million ticks to get downloaded then it doesn't mean that you would get 120 days of history as there could be a case where one symbol has millions of ticks per day on average and so you would get just a few days downloaded since the number of bars settings refers to ... well, bars but not days.

So you would have to set average number of bars per day * 120 days = ....
It would mean that if a symbol has an average of 2 million tick bars per day then you would need a max. value of 2 million * 120 days = 240 million bars but not 10 million.

But such number is equal to 40 bytes * 240 million = 9.6 GB of data per symbol
Downloading such data would take 3 hours with 10Mbps DSL. It would take 48 seconds to read such file from SSD drive @200MB/second. And executing just a single AFL function such as Highest() would take 1 second (provided that you would have a i7 processor with triple channel memory that has 10GB/s bandwidth).

That info was also sent by AB support about the simple Maths.

Another info by SierraChart

DTN iQFeed Data Service - Sierra Chart

So also that software vendor report about IQfeed limits.

I have already exchanged this info in an email yesterday with Tomasz. He originally told me IQFeed didn't support 120 days of tick data and that I was dreaming in fantasy land. I then educated him that they do and provided him proof. Then he told me it would take 256 GB of RAM to display the data, and it would take 10 hours to download it. I educated him that the data is compressed and only takes a few minutes to download on a moderate internet connection such as 50Mbps, and that NinjaTrader, Sierra Chart, and other platforms can all display YEARS of tick data (much less "only" 120 days) and work with only a few GB of memory consumption, not anything near 256 GB.

Since all other platforms I've ever used have properly backfilled 120 days of tick data from IQFeed, the issue is NOT IQFeed but rather AmiBroker's implementation.

I am a bit concerned. I purchased AmiBroker because I thought it was a highly optimized platform that could handle portfolio management of hundreds of symbols. Now I am being told just to display 120 days of tick data for a SINGLE CHART, I would need 256 GB of RAM. Obviously there is a huge disconnect here in the way AmiBroker is "optimized" vs all other platforms I have used.

I am still hopeful that Tomasz will fix the issue although he hasn't yet admitted there is a problem with his implementation.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #8 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,319 since Jun 2009
Thanks Given: 33,139
Thanks Received: 101,474


badabingbadaboom View Post
But such number is equal to 40 bytes * 240 million = 9.6 GB of data per symbol
Downloading such data would take 3 hours with 10Mbps DSL. It would take 48 seconds to read such file from SSD drive @200MB/second. And executing just a single AFL function such as Highest() would take 1 second (provided that you would have a i7 processor with triple channel memory that has 10GB/s bandwidth).

Are you Tomasz? He has already tried the same argument with me. He doesn't know what he is talking about. IQFeed's data stream is compressed. He should know that.

I already explained I had a "power" system in my original email to him. 200MB/sec is incredibly slow.



This was performed just now, with 40 charts open, email, music, in the middle of a session.

So far Tomasz has spent a lot of time trying to prove to me why it doesn't work. What he should be doing is asking why AmiBroker doesn't, and NinjaTrader, Sierra Chart, MultiCharts, Investor/RT, MarketDelta, and IQBroker all do.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #9 (permalink)
 badabingbadaboom 
London/UK
 
Posts: 56 since Apr 2013


Big Mike View Post
Are you Tomasz?

No, I'm not and I'm not employed there at all. I wrote in my post "That info was also sent by AB support about the simple Maths." I don't know what you have emailed with him and what has been understood or misunderstood.

Reply With Quote
  #10 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,319 since Jun 2009
Thanks Given: 33,139
Thanks Received: 101,474



badabingbadaboom View Post
No, I'm not. I wrote in my post "That info was also sent by AB support about the simple Maths."

I have refrained from posting the emails from AmiBroker support and from Tomasz, because I wanted to try and salvage this relationship first.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote





Last Updated on May 9, 2015


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts