How Reliable is IQFeed Exactly?

Discussion in 'Data Sets and Feeds' started by qtrader9, May 5, 2020.

  1. qtrader9

    qtrader9

    So I know IQFeed has a reputation for being reliable, but after being disappointed with another comparable US equities data provider that seems to be generally viewed positively here, I'm beginning to suspect the concept of reliable may be very relative and would like to get more specific about reliability before I go switching to IQFeed. Perhaps the issue is that I just expect too much for the price point or that I'm more focused on historical data while everyone else is focused on live/feed data?

    Anyway, here's a list of the sort of issues I've had in the last month with my current data provider that's making me consider switching, and hopefully you all can give me some perspective on whether this is just par for the course for a $100+/month data provider or not.

    1.) Multiday period in which API requests for historical data would occasionally return incomplete results but in a way that gave you no easy way to tell the results were incomplete without repeating the request and noticing more data being returned. According to status everything was A-OK when partial results were returned.

    2.) About a third of the time I manually check the Historical NBBO data against another source like IB, I quickly notice stretches of time missing NBBO updates that last for multiple seconds and sometimes minutes.

    3.) Identical API calls occasionally (~once every 150 calls) returning different values. E.g. AMZN volume on date 2020-04-01 being reported as 4121875 and then seconds later an identical call reporting it as 282532153. So far this has lasted for at least a day, no word from vendor.

    4.) Split adjustments for a few symbols I checked were backwards (e.g. multiplied by 2 when should have divided by 2, seemed systemic). For certain bar sizes the volume weighted price field would be adjusted and for others it wouldn't. Although it's been at least a month, the problem has not been fixed. Currently it seems selecting adjustments does nothing. For example the "adjusted" value for AAPL goes from the 600's to the 90's in one day after last split.

    5.) volume weighted average bar prices that are larger than the bar's high or lower than the bar's low.

    This is what I've noticed in just a little over a month of using the data provider. Is this normal for the price point? Does IQFeed have similar random problems?

    Rant: honestly, for $100+/month is it too much to ask that the developers put in some basic unit tests so that they don't break what's already working and notice obvious problems in the data? Maybe I just don't recognize the inherent difficulty at doing all this at such a large data scale, but this seems crazy -- I don't see how people are comfortable trading on this data and really hope it's not the norm.
     
    Last edited: May 5, 2020
  2. Metamega

    Metamega

    Don’t know about IQFeeds API. In Amibroker I always had NBBO reflect in real-time but the plug in for Amibroker only recorded NBBO for historical use on a trade. Historical data like tick only offers NBBO at a trade, not every change in between (huge amount of data if it did).

    Their intraday data also isn’t split adjusted. Their API does offer I believe to retrieve splits and their adjustment values. It’s been asked on their forum why they split adjust daily but not intraday and seems it’s what the community wanted as they wanted real price values.

    Only used it via Amibroker so I had two databases, one EOD and one intraday. The plugin only requested current bar and minimum backfill required as pulling whole history would be against their standards. So if I noticed a big gap, I’d have to force a backfill to adjust and the database in Amibroker adjusted.

    That’s their plugin though and I idea how API works.
     
  3. qtrader9

    qtrader9

    Hmmm, thanks for some perspective. Their data may not be split adjusted, but at least that's their intention. With my current data provider they let you set the parameter for split adjustment and then don't do it. Thinking I'm going to switch to IQFeed
     
  4. One

    One

    qtrader9,

    Can you tell us who is currently providing the data in which you saw these errors? Providers can make errors, systematic and isolated, and users make mistakes evaluating quality, but if the provider is generally well regarded, it would be useful to know the current source. At least other potential users would know to ask for a test file before subscribing.

    Thanks.
     
  5. qtrader9

    qtrader9

    Data provider is Polygon. I feel bad because they seem like small startup that's trying hard and are generally pretty responsive, but their greenness shows. Maybe their trying to roll out new features too fast, but their code clearly lacks tests.
     
  6. Polygon.io

    Polygon.io Sponsor

    Thank you for the kind words, qtrader9. We are definitely a startup and trying very hard to provide a quality service. We have stopped working on any new features and all development energies are being focused on stability and performance. I hope you will give us a chance to fix the issues we are seeing. We have created a public github for reporting issues so everyone can report issues, and see the status on them as we continue to fix them.
     
    pragmatic-trader and qtrader9 like this.
  7. That is lovely.
     
  8. One

    One

    qtrader and polygon,
    thank you both for the info.
     
  9. trend2009

    trend2009

    I like what you provide. will subscribe to your service in the future. currently I can not find examples how to use your service in c++/c.

    I need whole market coverage, and historical nbbo+trade. do you have historical nbbo+trade? and for how many years?
     
  10. qtrader9

    qtrader9

    I think IQFeed has some of that data too for a lot cheaper than Algoseek, but unfortunately their historical NBBO data is only reported when a trade occurs and only goes back 6 months. I say "I think" bc it's the best I can glean with their API documentation annoyingly behind a $444 developer paywall (why?).

    Algoseek does offer a cheaper option of "renting" the data using QuantGo, but with a one year minimum you're still running $2k+ and that doesn't come with live data.
     
    #10     May 6, 2020