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IQFeed tick out of order

Posted By smersh 3 Years Ago
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Posted Thursday September 25 2014
I've recently started using IQFeed and find that I often get ticks out of order, throwing an exception and RE shuts down Live trading.

Since I don't need tick data (in this instance) is there a way to get RE it ignore the out of order ticks rather than throw an exception?

Is the IQFeed plugin throwing the exception? If so can I hack it to not do that?



Posted Friday September 26 2014
Can you post the exception you're getting?  Are you only using IQFeed data or are you also using other sources?  What frequencies are you using in your system?

Thanks,
Daniel
Posted Monday November 10 2014
Here's the exception.

Perhaps the plugin should drop the tick on the floor rather than throw an exception, as it seems to be from a long time ago?


Out of order tick.  Received tick for symbol GOIL 122014 with time 10/11/2014 5:10:58 PM when previous tick time was 11/11/2014 10:55:33 AM
   at RightEdge.Common.FrequencyManager.ProcessTick(Symbol symbol, TickData tick)
   at RightEdge.Common.Internal.SystemRunner._tickGenerator_NewTick(Object sender, NewTickEventArgs e)
   at RightEdge.Common.TickGenerator.ProcessTick(NewTickEventArgs args)
   at RightEdge.Common.Internal.SystemRunner.ProcessTick(Symbol symbol, TickData tick)
   at RightEdge.Shared.SystemWrapper.ProcessTicks(Boolean moreTicksPending)
   at RightEdge.Shared.SystemWrapper.ProcessTicks(Boolean moreTicksPending)
   at RightEdge.Shared.TradingModuleWrapper.ProcessTicks(List`1 ticks, Boolean moreTicksPending)
   at RightEdge.LiveSystemwindow.x8c3b46858f2d1101()

Posted Tuesday November 11 2014
I added a setting to help with this in build 52.  You can enable "Filter ticks using current time" in the IQFeed service settings.  You have to tell it the difference in time between your local time zone and the exchange time.

Thanks,
Daniel
Posted Thursday December 11 2014
Hi Daniel,

What if I trade many symbols on different exchanges in different time zones?
Posted Thursday December 11 2014
Does IQFeed send the timestamps in different timezones for each symbol, or does it use the same timezone for all the data?
Posted Monday December 15 2014
Daniel, I ran a test and it does not have a different time zone stamp for each symbol.

It looks like IB will give me timestamps in my local time probably because TWS is set up for Sydney(Australia) time zone UTC+11hr

IQFeed is giving me UTC -5hr (NY I think)

Actually IQFeed is giving me timestamps of UTC-5hr10min because the subscription I have is 10 min delayed data.

So the suggestion I made on another thread about symbol level timestamp checks is not valid.

http://www.rightedgesystems.com/forums/15842

Edited: Monday December 15 2014 by smersh
Posted Tuesday January 27 2015
Hi Smersh,

Regarding your earlier post: 
What if I trade many symbols on different exchanges in different time zones?

Did you figure out a solution or workaround for your use case?  And for the timezone exceptions you were getting?

Thanks...




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