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IQFeed Split Adjusted Backfills

Posted By alpha23 6 Years Ago
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Posted Monday April 18 2011
IQFeed split adjusts their daily data (but not their intraday) usually on the day after the split. Has the backfilling of previously downloaded data to account for the split already been coded or are modifications to the latest IQFeed plugin needed? Currently, my database is showing non-split adjusted data.

Note, IQFeed uses fields called SplitNumberOne and SplitNumberTwo (not sure if the numbers are spelled) to indicate two splits. Data should include date and split value.

Thanks, Duane
Posted Tuesday April 19 2011
The historical data plugin interface doesn't have a way to handle splits. When you do a historical data update, it only downloads "new" data, ie bars after the last bar you already had in the store (the minimum backfill can override this somewhat, but that doesn't help for splits).

The simplest way to adjust for a split is to purge the data for a symbol and re-download. If you want to do something automated, the source code for the IQFeed plugin is included in the RightEdge samples, so you could start there.

Thanks,
Daniel
Posted Tuesday May 10 2011
Can you provide guidance as to what the protocol would be to obtain these data fields?

Thanks, Duane
Posted Monday May 16 2011
Any thoughts on how to obtain these data fields?

Thanks, Duane
Posted Thursday May 19 2011
Any guidance on how to obtain the fields mentioned above?

Duane
Posted Sunday May 22 2011
Sorry for the delay in responding. Since you mentioned the split data fields, I thought you would know how to obtain them. I looked for them in IQFeed's API documentation, and it looks like they are fundamental data fields that are sent when you are subscribed to live data. I don't think you can access them for historical data, and if you can I think it would only be by requesting tick data from IQFeed.

If you need to detect the split programmatically, I'd suggest downloading a daily bar and an intraday bar near the open for the same day and comparing the prices. Or if you want to scan for likely splits in your data, you could just check for large price changes from one day to the next.

Thanks,
Daniel
Posted Monday May 23 2011
Is there a setting that is needed to obtain fundamental messages? Summary messages and Update messages are being received; however, not fundamental messages. When quotes are viewed in the IQFeed diagnostics tool, fundamental data is included in the live feed.

Please advise.

Thanks, Duane
Posted Wednesday May 25 2011
According to the IQFeed docs here, a fundamental message will be delivered when you start watching a symbol, and when you send the f[symbol] command for a symbol you are already watching. This is for live data, I don't see any way to get historical fundamental messages.

Thanks,
Daniel
Posted Wednesday May 25 2011
It is ok to receive the split data via the live feed. My goal is to parse the splits, store in a db, and use later to adjust intraday data.

I found the issue which is that IQFundamentalMessage in IQFeed.cs was null. After subscribing to iqFeed.IQFundamentalMessage, it is working as expected.

Thanks, Duane


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