Hlp.Pls. Urgent! Which Data Feed Has True Fut. I.Bid/Ask Data?
- Thread starter Cy_M
- Start date
I'm using the NT real-time ver. 4.10 (build 38) and IQFeed client ver. 4.1.2.0. It was easy to set up, and I've had no problems at all (except for the second-stamp limitation mentioned previously).
Yes, this will keep me away from IQfeed as well....I need not only real-time-streaming Bids, Asks and Trades, but also Tick-history of at-least the current day.
A simple stop and restart for some minutes, makes it impossible to re-fill this gap (without time-stamps), and makes it impossible to create correct Buy/Sell on Bid/Ask analyses.
I have a system which looks through the day's history of ticks to determine whether a trade went off at the bid or the ask. For each tick, IQFeed will tell you what the trade was, what the bid, ask, bid size, and ask size was.
I believe the realtime data is "synchronized" as you suggest, and I'm positive the historical data is.
Please clarify what you mean by "synchronized".
Are you asking whether or not each record where volume > 0 also includes the bid/ask prices?
http://www.iqfeed.net/index.cfm?displayaction=developer§ion=main
Hi, thanks very much for responding. It seems finally I might be getting somewhere
I,ll mostly be interested in live tick data and, the history would be an added plus.
Now, when you say you have a system, you mean your own program? or a feature of IQFEED?
Synchronizing trades to Bids & Asks must be the most difficult task ever without the availability of miliseconds. Unless, the exchange supplies the associated bid and/or ask with each trade (as is the norm with the volume of each trade that is attached to the trade data), do they? and, if so, does IQFEED then deliver the data as such? if this is the case, then all will be OK.
On the other hand, what if IQFEED receives the , trade and, it's associated volume together as one object and, then receives an stream of Bids & Asks? I'm sure they receive seconds or ms timestamp from the exchange and, so they can somehow synchronize the Bid & Ask with the trade but, if their data feed to us users does not have a second/ms time stamp, how could we associate the trade with it's correct Bid/Ask data?
Unless IQFEED would IDEALLY supply the user with trade tick that already has it's volume and, Bid/Ask associated and, we would receive it as 1 object. Do they?
I don't know if I made myself clear or not but, at the end of the day, all I need to do is to identify if a trade was made at Bid or At Ask, can I do that with IQFEED???
thanks all
Cy
yes.
OK, hereâs a better presentation of what I need:
With the following data, one could identify if the trade was made at Bid or at Ask if and, only if the below data supplied by the exchange(Merc.) was sent to IQFEED as 1 object where all the Ordinals below where synchronized(all associated together through a millisecond time stamp).
Also just talked to the tech support who says, the data comes synchronized already from the exchange and, the IQFEED Time & Sales data does identify if the trade was at Ask or Bid and, that info can be exported.
Would anyone else know and, confirm this please.
Ordinal Fiels Name
4 Last
8 Last Size/Incremental Volume
11 Bid
12 Ask
13 Bid Size
14 Ask Size
15 Tick
With the following data, one could identify if the trade was made at Bid or at Ask if and, only if the below data supplied by the exchange(Merc.) was sent to IQFEED as 1 object where all the Ordinals below where synchronized(all associated together through a millisecond time stamp).
Also just talked to the tech support who says, the data comes synchronized already from the exchange and, the IQFEED Time & Sales data does identify if the trade was at Ask or Bid and, that info can be exported.
Would anyone else know and, confirm this please.
Ordinal Fiels Name
4 Last
8 Last Size/Incremental Volume
11 Bid
12 Ask
13 Bid Size
14 Ask Size
15 Tick