A month ago I was trying to decide between several vendors... most looked roughly comparable, so I ended up going with IQFeed + NinjaTrader. I've been having strange problems with the IQFeed feed for several days, with one single symbol: TYP. Bars for TYP would arrive about 15 minutes late (compared to the timestamp) 5-10 times throughout the course of the day. I realize TYP is thinly traded, doesn't explain the timestamp issue though. I had already had this trip me up befor... so I was filtering them out within OnBarUpdate(), didn't think much about it. Well, at about 5:00 PM EST just now, I had a call into OnMarketData() for TYP in my strategy, with the time stamp of 3:50:00 PM. (I shit you not.) I was *not* filtering within OnMarketData (just never occurred to me), and as a result... my strategy ended up placing a buy order after hours on a thinly traded symbol, and now I'm probably out at least $1k. I have my strategy configured to only accept bars until market close, but it's not smart enough to filter out market data. I'm pissed at IQFeed, especially since I just sent them an email asking about TYP a few days. How many times am I going to get tripped up by these stupid fucking bugs. I guess I'll try to ask for a busted trade, but not holding my breath.
Oh I just realized, based on my logs, that the problem is worse than I thought it was. The bar wasn't just delayed, it was completely timestamped wrong. It was giving me actual *after-hour* ask/bid prices, except marked with a *before-close* timestamp. Bottom line for anyone thinking about it: STAY AWAY FROM IQ-FEED. Their customer service is non-existent (again, I brought this issue up 4 full days ago), and their product is garbage.
IQFeed support is trying to track it down now. And I probably only lost $400, not $1k+... so I'll get over it. Still annoying, but I'll get over it.
Sorry to hear of your loss - sucks. Is your program supposed to enter orders in the aftermarket? Is there anyway you could add more checks to avoid this type of problem in the future? This is the kind of thing that makes me fear the day I fully automate.
Where's your check of the realtime clock ? If Time > 1600 Then bStoptrading = true End If If Not bStoptrading then PlaceTrades() End If
Well, I guess both NinjaTrader and I deserve some blame too. NinjaTrader has a configurable setting, where you specify the beginning/end of your session... and no bars arrive before/after that point. I already had a check in my "bar" code that looks for and rejects stale bars arriving 10+ minutes late from the timestamp (similar to what you have here), but it never occurred to me that ask/bid prices could arrive late.
No, not supposed to be entering any after-market orders. There's even a specific option in NinjaTrader that you have to select for orders outside of regular trading hours... but even that didn't save me. I have a lot of pretty depressing stories when it comes to autotrading. But every bug I catch means one less bug left in my app... hopefully...
DTN offers a more expensive feed that includes the exchange time stamps and their own timestamps. With that you can instantly know who is messing up, for all you know, the exchange is sending that stuff out late or mismarked. You're saying that Ninja was not even supposed to trade after the session but your strategy did so?
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.
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.