How can I download Level 2 historical Tic data from yestereday?
Opened this issue · 1 comments
CBrauer commented
Hey,
I have the following test program that I can run when the market is open.
It downloads 10 current trades for "AAPL":
using IQFeed.CSharpApiClient;
using IQFeed.CSharpApiClient.Lookup;
using System.Diagnostics;
namespace IQFeedSample;
class Program
{
private static async void Run()
{
IQFeedLauncher.Start("1855220", "Foobar112356", "MY_CHARTS", "1.0");
var lookupClient = LookupClientFactory.CreateNew();
lookupClient.Connect();
var tickMessages = await lookupClient.Historical.GetHistoryTickDatapointsAsync("AAPL", 10);
foreach(var message in tickMessages) {
//var message = tickMessages.FirstOrDefault();
Debug.Assert(message != null);
var date_time = message.Timestamp;
var last = message.Last;
var tradeVolume = message.LastSize;
var totalVolume = message.TotalVolume;
var bid = message.Bid;
var ask = message.Ask;
Console.WriteLine($"{date_time}: tradeVol: {tradeVolume,3}, totalVol: {totalVolume,3}, last: {last,7:f3}, bid: {bid,7:f3}, ask: {ask,7:f3}");
}
}
static void Main()
{
Run();
Console.WriteLine("Press any key to exit...");
Console.ReadKey();
}
}
Suppose today's date is 8/17/2023. How can I modify the above code to set the download date to yesterday (8/16/2023)?
Charles
bryaan commented
Level 2 data is not the same as tick data. IqFeed does not provide historical L2 data.