Does DTN.IQ Coalesce Data?

C

cgeorgan

Not sure which part of "Technically Speaking" this goes but since I work on automated systems I figured I'd insert here.

One of the models I developed used DTN.IQ feeds for all futures data (CME, CBOT, NYMEX, ICE stuff). Everything is front month outrights.

I've coded everything locally for our proprietary system, except here I use TT feeds (Price Updates from TT) to record the same tick data I was getting from DTN.

What I've found - at least so far - is that I get up to 40% *more* ticks using TT than I do using DTN.

Right now I'm running tests to see how much volume I'm capturing in either feed, but to anybody's knowledge - does DTN coalesce tick data in any way?

Thanks in advance-
 
Quote from cgeorgan:

Not sure which part of "Technically Speaking" this goes but since I work on automated systems I figured I'd insert here.

One of the models I developed used DTN.IQ feeds for all futures data (CME, CBOT, NYMEX, ICE stuff). Everything is front month outrights.

I've coded everything locally for our proprietary system, except here I use TT feeds (Price Updates from TT) to record the same tick data I was getting from DTN.

What I've found - at least so far - is that I get up to 40% *more* ticks using TT than I do using DTN.

Right now I'm running tests to see how much volume I'm capturing in either feed, but to anybody's knowledge - does DTN coalesce tick data in any way?

Thanks in advance-
More...

No they do not. From their website.

While most quote feeds on the Internet provide a snapshot of real-time data, IQFeed provides a TRUE, tick-by-tick datafeed. This feed is completely unfiltered, allowing you to see EVERY TRADE that occurs in real-time. Because many symbols trade dozens of times per second, you could be missing more than 50% of the actual trades with your current datafeed!
 
We have never coalesced or filtered data. The difference back in 2008 was that the exchange had multiple feeds that sent different data. We are now on the Fix/Fast feed (the best the exchange has) and continue to send every trade the exchange puts out.
 
Quote from iqfeed:

We have never coalesced or filtered data. The difference back in 2008 was that the exchange had multiple feeds that sent different data. We are now on the Fix/Fast feed (the best the exchange has) and continue to send every trade the exchange puts out.
More...

Thanks for the response fellas-

Turns out to be "user error" on my part; part of my code was resulting in an extra 20-25% tick count being added across the board.

Problem solved -
 
You must log in or register to reply here.
Back
Top