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»Forums Index »Product Support »IQFeed Datafeed Wish List »Sequential Level1 and Level2 updates.
Author Topic: Sequential Level1 and Level2 updates. (2 messages, Page 1 of 1)

aQuant
-Interested User-
Posts: 40
Joined: Jul 20, 2012


Posted: Oct 17, 2014 02:50 PM          Msg. 1 of 2
Hello,

one thing that may be beneficial to sophisticated individuals with a limited budget (below NaNex prices) would be if Level1 updates and Level2 updates could come in a single sequence just as they do from CME for example. In other words the two feeds which are now 'independent' entities would come in a single sequence so that synchronization is guaranteed. For sophisticated orderflow analysis one needs to see certain events in the sequence they happened (trades interleaved with bid/ask size/orderbook updates). It is practically impossible to synchronize two independent L1 and L2 feeds even with millisecond timestamps-other than assuming neither of the feeds has any errors/omissions. Is an implementation of this feature conceivable?

aQuant
-Interested User-
Posts: 40
Joined: Jul 20, 2012


Posted: Oct 23, 2019 08:18 PM          Msg. 2 of 2
I requested this 5 years ago... but I understand the separation of L1 and L2 feeds is probably important and convenient organization of the feed data.

However, can we request the messages to contain a new field, message sequence ID, that comes directly from the exchange for both L1 and L2 update messages? This would allow the client to synchronize on their end. And you must be already parsing those from say CME in your data processing anyway. You could just pass them along (as optional field) to the client.
See
https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+FIX+Tag+Library
and tag 83 message field described as:
Tag: RptSeq
FIX Type: Int
Description: MD Entry sequence number per instrument update. Reset weekly.
 

 

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