If I connect to IQFeed delayed and run a strategy that just prints out the time and ochl and volume, the first strange thing that happens is that it prints it out up to the current time now - i.e. without the delay. I guess that may be because it's classed as historic data, rather than real time.
Next, onbarupdate doesn't fire until 15 mins later, that makes sense if your previous bar was 'now', which it was. The problem is, that when it first fires, the open/close are correct, but the high, low, volume aren't. I can't tell exactly what they are - at first I thought they may apply exactly to the 15 min period, but on looking at the values, the high/low don't seem to. The volume looks like it could well apply to the 15 mins. Here is an example for Z contract (format is timestamp|open|close|high|low|vol):
04/11/2009 12:39:00|5053.5|5053|5053.5|5053|16
04/11/2009 12:40:00|5053.5|5053|5054|5051|118
04/11/2009 12:41:00|5054|5052|5060|5051|909
04/11/2009 12:42:00|5052.5|5052.5|5053|5051.5|82
in the above case, strategy was started, printed up to and including the 12:40 line. 15 mins later, the 12:41 line was printed - the volume is far too high, as is the high low range.
Any ideas what's going on here?
thanks
Dave
Comment