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Questions About DTN.IQ Data Feed


#1

Please post any questions you might have to the professional trading team at DTN.IQ

They will answer all questions you have below.

Matt


#2

Hey Matt, thanks for starting this thread!

I have a question about DTN. How far back does your data typically go? I know there’s probably differences between how much tick data and minute data you can access, but is there a certain minimum we can pull up if needed?


#3

Hi techtrader,

IQFeed provides intraday (minute) historical for stocks/indexes/futures back to May 2007, and back to Sept 2005 for e-minis. This history is available 24 hrs/day.

Tick historical goes back 120 days, but is restricted to 8 days during RTH.

Robert


#4

Matt, thank you for opening this opportunity to ask DTN.

I am trying to build up rations and bid/ask with a combination of volume and different time frames. So I was wondering if I can stream total volume combined with bid/ask for 5 minute charts and 30 minute charts. Then, I can do the ratio divisions for my method. If this is not possible to see visibly on the chart, could all the data of bid/ask volume be transferred to an excel spreadsheet? The platform i currently use is RT investor for charting and execution with Rithmic on RT.

Thanks, Sean


#5

Hi Sean,

As long as you are capturing bid/ask volume in real-time (not available historically), you should be able to do those calculations. Doing time & sales for the various time frames would be easy enough. The ability to chart it is a function of the software you’re using. Not sure if IRT is capable of that, but IQFeed works with over 60 software, and some of those (QCollector, QuoteIN, XLQ) do a great job with Excel.

Thanks.

Robert


#6

Robert, thank you for clarity on the DTN feed. I have looked at the add-ons, but I prefer to build my own.
Is there an additional fee for the integration of your API?

Sean


#7

Sean,

Developer registration is $300 annually. This provides complete API access and unlimited support by email and live chat.

Feel free to email me if you want more info on API.

Thanks.

Robert


#8

This is a very reasonable price considering the quality of your feed.


#9

Thanks Matt.


#10

Hello Robert, I have a question about running two feeds simultaneously.
I am intending to use DTN for the internals, however would running two unfiltered datas would affect the latency of execution? I would use Rithmic for the execution side of things on Sierra. Your feedback would be appreciated.


#11

Hi DeltaGT,

I don’t know if SC allows simultaneous data feeds, but if so it shouldn’t negatively affect latency. Typically, IQFeed is used for all charting/DOM, and Rithmic is set up as a secondary feed for execution only. SC takes care of it automatically once it’s set up.

Might suggest a free trial to see how it works for or if there are any issues.

Regards,

Robert


#12

I agree with Robert, I don’t think you should have any issues.
The question is legitimate as you need good connectivity and the ability to receive unfiltered data, but you use the DTN data for charts and the Rithmic for execution on the DOM or order entry which does not accumulate data (to the best of my knowledge).
From our users experience we did not have any such issues thus far.

Matt


#13

I am trading MC now with Rithmic, but use my Trade Station as a source of reference because Rithmic lacks continuous charts. My question is whether DTN will supply the exact similar continuous data as TradeStation. Some of my peers have mentioned that continuous charts could contain different data. Please advice on this matter.

Thanks,

Fareed


#14

Hi Fareed,

That’s a good question. IQFeed continuous data likely produces more ticks and number of contracts traded than what you’ll get from TS or any broker feed. The difference is the protocol used to deliver the data. IQFeed uses TCP (every data packet delivered at the cost of some speed) and brokers use UDP (speed at the expense of incomplete data). So “no”, the data will probably not match TS exactly because IQFeed is complete and broker data is not.

Let me know if you would like a free trial.

Thanks.

Robert


#15

On the surface it seems that everyone would want to have the best unfiltered data, but it seems that back testing would be skewed to incomplete data on TS. I think that getting DTN is the right thing to do, and then do all the back testing there and see if different results would prevail.
Quite honestly, I never thought the continuous charts could be so significant in data difference.

Great input. I will give DTN a try.

Fareed


#16

Sounds good, Fareed. Please email at robert.carrillo@dtn.com and mention that we spoke in Optimus forum. Thanks again.

Robert