Hlp.Pls. Urgent! Which Data Feed Has True Fut. I.Bid/Ask Data?

Now, when you say you have a system, you mean your own program? or a feature of IQFEED?
My own program built on top of IQFeed.

For the sake of clarity, here is a typical historical tick (for WFMI):

2006-07-31 16:00:00,57.54,400,2701862,57.5300,57.5400

In other words, at 16:00:00, a trade for 400 shares went off at 57.54. At the time, the bid was 57.53, the ask was 57.54. As you've read, DTN doesn't currently supply second resolutions on these ticks. But, the data comes as a correlated set.

In realtime, a packet arrives as a single unit which contains the bid, ask, trade, etc. I've found this data to be quite accurate, particularly for options. Again, it comes to you as a single unit, so you don't need to do any correlation.

Beyond that, you'd have to quiz DTN as to how they maintain "millisecond accuracy".
 
Thanks a lot FA, I have just signed up with them for a Trial and, am looking forward to using it.

Cy

p.s.
one other question, do you need the API to write a software on top it or can be done without it?
 
one other question, do you need the API to write a software on top it or can be done without it?
I think it depends on how you intend to process the data. If you're going to use COM through .NET or TCP/IP through Java or something similar, the API (and more importantly, the support and documentation) is definitely worthwhile.

If you're going to do it in Excel through DDE, then it probably isn't.

Good luck!
 
Quote from Aok:

Next Iqfeed version should be time stamped. No ETA though.
More...


iqfeed, can you please provide some more definitive info on the expected timing of this update?
 
Quote from JangoFolly:

iqfeed, can you please provide some more definitive info on the expected timing of this update?
More...

As you saw in an earlier post, we have been talking about it for a couple years. Unfortunately, it continues to get pushed due to other high priority work. This doesn't mean adding second resolution is a low priority, but exchange changes and other critical issues have kept us from getting this completed.

What I can say is that we DO have second resolution running in our Pre-Production system (as it has been for about 6 months) as you can see here:
secondresolutionwatchlist.jpg


We haven't gone through final QA and debugging of the new server system yet, because we are finishing up a few other projects (namely continuous daily charts) and need to make sure things are either backward compatible or all users get upgraded to the latest IQFeed before we roll out.

Because we haven't hit the last few dates I have given, I have stopped providing estimated release dates. However, as you can see, it is on its way...

Jay
 
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