Strategy Monitor & IQFeed: hourly strategy update in infinite loop
Author: ClockDrift
Creation Date: 8/17/2020 9:01 PM
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ClockDrift

#1
Hello, and thanks for reading this post. I recently migrated from WLP to WLD and have been running fine until late last week when WLD strategy monitor indicated my one and only hourly strategy running an update in an infinite loop (not really infinite, I stopped it of course). It just keeps trying to update over and over. It's repeatable, happening every day since late last week.

It's odd because right clicking the strategy and selecting 'run now' works as expected. Ditto manually opening the strategy and running it. Also, my 15 minute and daily strategies (which are minor variations of the same code) work just fine too. I tried the old delete the stock group and recreate it trick, no joy. The SCLog.txt file says "All Updates Returned. Still need to update," and then more attempts. Very odd; just to repeat, running manually works no problem.

The data provider is IQ Feed. Update on demand is enabled, etc.. I noticed that IQ Feed hourly bars are on the hour; while WLD is on the half hour. I have IQ Feed extended trading hours suppressed. I doubt that has anything to do with it, as manual runs and other scales work fine.

I am attaching a strategy monitor screen shot and SCLog files for Thursday, Friday, and today.

In the meantime, I am running my hourly strategy manually, ugh! Any help, thoughts or work-arounds would be appreciated.


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Eugene

#2
Stocks like ACA, AMPH etc. are pretty illiquid. The "Skip Update (not current)" message may be caused by this. Just updated the Wiki Errors section on St.Mon. with a workaround.

However, the fact that it happens on Hourly bars is quite odd. Maybe Robert has an idea?
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Cone

#3
QUOTE:
I noticed that IQ Feed hourly bars are on the hour; while WLD is on the half hour.
Yes, that's the problem.

Background:
The Wealth-Lab hourly bar convention ends with the first hour of trading (there was no negotiating with the architect on that one) so the Strategy Monitor is looking for bars on the "half hour" at 10:30, 11:30, 12:30, ... 15:30, and finally 1600 at market close.

Most data providers - even Fidelity - use the "on the hour" convention, however, WLP's Fidelity provider for WL Pro "built" the hourly bars from the 30 minute bars in the background to match "on the half-hour" convention. (You may have noticed this difference between WLP and ATP 60-minute bars.)

Probable solution: Use Scaling
Instead of pointing the S. Monitor at a 60-minute DataSet, point it at a 15 or 30 minute DataSet and set the scale to 60 minutes in the Strategy Monitor activation settings.

Please let me know if that works. Eventually, we can offer another IQFeed Provider option for native 60-minute bars with the half-hour convention.
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ClockDrift

#4
Thanks for the guidance and additional information above. I recreated my production stock group today following details above. Same result. Strategy monitor continually retrying with display and log files indicating "All updates returned. Still need to update." Also, I created a test stock group using only very high volume, very liquid securities just to make sure there wasn't some weird empty bar issue. All bars were populated for sure. Same result, "All updates returned. Still need to update." Oddly, I think it worked on the very last run today (hourly bars). So I will delete my two stock groups, delete strategy monitor settings and saved workspaces, close WLD; and then re-launch WLD and recreate everything and try again tomorrow. I'll post again tomorrow with the results.
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Cone

#5
QUOTE:
Oddly, I think it worked on the very last run today (hourly bars).
Actually, it's expected for what's occurring. The problem is that the bars are coming in with the hourly timestamp which looks a half-hour old to the S. Monitor. The last bar for both conventions should be timestamped 1600, so it works for that last market interval.

You're sure that that you selected a 1,2, 3, 5, 10, 15, OR 30-minute DataSet and then set the scale to 60-minutes in the S. Monitor Activation settings?

If the data from the lower timeframe are actually scaled (and not read from the 60 Minute folder), it will work correctly to end the hourly bars with the "on-the-half-hour" convention. You can verify this in a chart window.

In any case, I'll be looking at making IQFeed 60-minute bars work with the "Wealth-Lab" convention as I continue to upgrade the Provider to the latest IQFeed protocol. Improvements are coming!



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ClockDrift

#6
QUOTE:
You're sure that that you selected a 1,2, 3, 5, 10, 15, OR 30-minute DataSet and then set the scale to 60-minutes in the S. Monitor Activation settings?
==> Yes, absolutely. I created a new stock group being very careful to select minute scale and interval of 15 in the create stock group prompts; and then select 60-minute scale in the strategy monitor dialog). I did so again this morning, repeating the process just in case somehow I made a mistake, and the result was the same: non-stop update retries. Attached is the log file from this morning. Based on the explanation, this should have worked without trouble (I get the WLD/IQ Feed on the hour/on the half hour issue). I like my 60-minute strategy, so I look forward to the improvements. In the meantime I guess I'll run my hourly strategy manually or just abandon it.
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Cone

#7
Much appreciated! The results are certainly unexpected, so I'll be working on that (along with about a dozen other issues).
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Cone

#8
Hi ClockDrift,
I've got a solution ready to test. If you're interested in beta testing it before the official release of the upgrade extension (more features are still in work), please create a support ticket: IQFeed Beta Test 60-minute bars.
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