IQFeed just blew up on me

Quote from MandelbrotSet:

You made a major mistake here.

I hope you learn from this experience.

You should have the moderators change your thread title to:

"I walked away from my NT ATS, and it Blew Up on Me!" :eek:

P.S. You owe DTN/IQ Feed an apology.
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Actually, I turned away from my trading machine to my development machine to do two hours of back-testing *after* the market closed.

P.S. Maybe you're used to dictating to others, but you certainly don't dictate to me.
 
Quote from MandelbrotSet:

You made a major mistake here.

I hope you learn from this experience.

You should have the moderators change your thread title to:

"I walked away from my NT ATS, and it Blew Up on Me!" :eek:

P.S. You owe DTN/IQ Feed an apology.
More...

Wow, i've never heard of anyone spending 24/7 next to a computer. Props to you man. Glad to hear you have no life.
 
Quote from heech:

Correct. Within Ninja, when setting up the IB connection, I had the "trade outside regular hours" option CLEARED.

My strategy was setup within Ninja for 6:30 AM - 1:00 PM (PST).

I walked away from my system for a few hours, came back, and couldn't even figure out what I was looking at... just completely befuddled.
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That's scary. I'm feeling your pain here a little. Maybe the order got placed during regular hours and only got filled after hours. Maybe the order itself was not marked for real time hours only or something of that nature.. let us know what you figure out there.
 
Quote from athlonmank8:

Wow, i've never heard of anyone spending 24/7 next to a computer. Props to you man. Glad to hear you have no life.
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I hear what you're saying.

But the ATS should not have been left running while unattended.

It's hardly a DTN/IQ Feed problem, what with the complexities of developing a robust ATS involved, working through a a third-party software like NinjaTrader, integration with Interactive Brokers, and the lack of transparency (and knowledge) of what the problem was, or what even went wrong by the OP. :(

Sounds like a big mess to me. :eek:
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Notice the DTN/IQ Feed representative hasn't stopped by to comment while the OP presents his case in the court of public opinion (on ET no less, LOL). :D
 
Quote from Eight:

That's scary. I'm feeling your pain here a little. Maybe the order got placed during regular hours and only got filled after hours. Maybe the order itself was not marked for real time hours only or something of that nature.. let us know what you figure out there.
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Yes, please do. :)
 
Quote from Eight:

That's scary. I'm feeling your pain here a little. Maybe the order got placed during regular hours and only got filled after hours. Maybe the order itself was not marked for real time hours only or something of that nature.. let us know what you figure out there.
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I'm certain that's not the case... I log a *lot*, so I know when different events happened.

I'm certain I got the market update at 5 PM EST, placed the order at that time, and had it filled immediately. (It also conveniently placed my exit order for me, which I had to cancel. Whee.)

I have no idea about how NT marks the orders (re: regular hour order). My guess is that it looks at the timestamps as well, and was therefore "tricked"... so yea, NT deserves some blame here.

Closed out on TYP this morning for $1600 loss.
 
Notice the DTN/IQ Feed representative hasn't stopped by to comment while the OP presents his case in the court of public opinion (on ET no less, LOL). :D
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Well, I will say that IQ Feed is taking my latest complaint more seriously. (As in, they're responding to my emails and promising to look into it.)

But I can't tell if it's just hand-holding an angry customer, or a commitment to get it fixed. In any case, tread carefully until it is fixed.

As far as the "proper" way of handling an ATS... dude, I trade 60 symbols at a time, with total assets this month at $1.2m. This strategy is dynamically hedged/moving every minute of the day. This *only* works as an automated strategy. My eyes would fall out of my head if I some how screened the trades before they happened.

I've been basically bug free for about 2-3 weeks. Hopefully I'll get another 2-3 weeks of clean running now...
 
Quote from heech:

As far as the "proper" way of handling an ATS... dude, I trade 60 symbols at a time, with total assets this month at $1.2m. This strategy is dynamically hedged/moving every minute of the day. This *only* works as an automated strategy. My eyes would fall out of my head if I some how screened the trades before they happened.
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Well, I'm glad the loss was such a small part of your portfolio. It sounds like it's more of an issue of "what went wrong, and I'd better fix it so that it never happens again, as it could be much worse"!

But if you're moving those types of numbers, you should look here: smartquant

P.S. If you trade that size, it's hard for me to believe they weren't responsive. I'm a much smaller retail trader who uses an add-on datastreaming component to excel in my trading, and they have been stellar in their dealings with me.

Good trading
 
Oh wait, I guess your strat was not aware of your computer clock time and you got a time stamp in real hours... never mind.

Ninja scripts can read your computer clock, you can put some code in there to prevent that problem easy enough...
 
Quote from Eight:

Oh wait, I guess your strat was not aware of your computer clock time and you got a time stamp in real hours... never mind.

Ninja scripts can read your computer clock, you can put some code in there to prevent that problem easy enough...
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Yea, *this* bug won't be happening again. It was unexpected and therefore very frustrating, but I put in the code to dodge it.

I'm still concerned about this delayed data. Is it just timestamped wrong, or is it actually late? Can I trust ask/bid coming into OnMarketData() during trading hours as being live, or is it 30 minutes - 1 hour late?

As far as OptionHouse, I've considered both SmartQuant and OpenQuant. From what I've heard, it doesn't give me much more than what I have now... if I do anything else in the future, it'll probably be a gradual replacement of NT with my own C# framework.
 
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