Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"You have an excellent feed. Very few spikes for Spot Forex." - Comment from Public Forum Post
"Previously I was using *******. IQFeed is WAY more economical, and for my charting needs is just as good, if not better." - Comment from Public Forum Post
"I "bracket trade" all major news releases and I have not found one lag or glitch with DTN.IQ feed. I am very comfortable with their feed under all typical news conditions (Fed releases, employment numbers, etc)." - Comment from Public Forum
"The service is great, I see a noticeable improvement in my volume profiles over [broker]'s data feed" - Comment from Larry
"I am keeping IQFeed, much better reliabilty than *******. I may refer a few other people in the office to switch as well." - Comment from Don
"I was with ******* for 4 years at $230 a month, this is a huge savings for me, GOD BLESS YOU PEOPLE," - Comment from T.S. via Email
"I've been using Neoticker RT with IQFeed for two months, and I'm very happy with both of the products (I've had IQFeed for two years with very few complaints). The service from both companies is exceptional." - Comment from Public Forum
"I used to have *******, but they are way more money for the same thing. I have had no probs with data from DTN since switching over." - Comment from Public Forum Post
"IQ feed works very well, does not have all of the normal interruptions I have grown used to on *******" - Comment from Mark
"Everything is working amazing now. I'm already impressed with the true-tick feed of IQFeed and it's ability to support my 480 symbol layout." - Comment from Tyler via Email
Home  Search  Register  Login  Blogs Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTN_IQFeed on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »Product Support »DTN.IQ Client Software Support »Time&Sales, Options Tick info, missing 'Mkt Center', 'A Size', 'B Size' data.
Author Topic: Time&Sales, Options Tick info, missing 'Mkt Center', 'A Size', 'B Size' data. (6 messages, Page 1 of 1)

AMA
-DTN Evangelist-
Posts: 179
Joined: Aug 1, 2007


Posted: Mar 26, 2010 04:18 PM          Msg. 1 of 6
Hi - I've expanded some of the Time & Sales Tick data I'm collecting for equity options.
Vanilla companies, such as some Dow 30 (IBM-ish type common options).
Added 'Mkt Center', 'A Size', 'B Size', which correspond to the traded exchange,
Ask size lots and Bid size lots.

When I run this live in a tick window, I get data for all three of these fields.
Works fine, no problemo...

BUT, at the end of the day, if I click on the green refresh button, all of the other
tick data I collect, such as TickID, etc, show up fine, but these three fields come
up either empty or all zeros.

What's up with this? This data should be retrievable, along with all of the other
info that's refreshed.

Running Win7, latest cuts of DTNIQ and the IQFeed, so software shouldn't be an issue...

DTN_Steve_S
-DTN Guru-
Posts: 2036
Joined: Nov 21, 2005


Posted: Mar 26, 2010 04:21 PM          Msg. 2 of 6
Hello AMA, when you click the green arror to refresh, new data is pulled in from our history servers. Unfortunately the market center, bidsize, and asksize fields are not available in historical data.

sma202
-Interested User-
Posts: 24
Joined: Nov 20, 2010


Posted: Dec 5, 2010 05:49 PM          Msg. 3 of 6
Hi, is there any plan to add BidSize, AskSize to the historical data requests?

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1748
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Dec 5, 2010 09:51 PM          Msg. 4 of 6
Are you looking for the Bid and Ask Size at the time of the trade, or historical quotes (bid/ask updates between the trades)? I am not sure of the value of providing the bid/ask size at the time of the trade but would be willing to listen if you have information that would justify adding this. We don't have any plans to provide historical quotes (between trades) within IQFeed since this is currently available via our NxCore service.

Jay Froscheiser
DTN

sma202
-Interested User-
Posts: 24
Joined: Nov 20, 2010


Posted: Dec 6, 2010 08:46 AM          Msg. 5 of 6
Jay,

Either one, bid/ask size at quote or trade would be better than nothing. You can't really backtest (without assuming very conservative assumptions) the liquidity and slippage during that period, i.e. the bid/ask size could be 10 but my strategy would be looking to fill 100 contracts.

Thanks

stargrazer
-DTN Evangelist-
Posts: 243
Joined: Jun 13, 2005

Right Here & Now


Posted: Dec 6, 2010 09:01 AM          Msg. 6 of 6
Based upon what I've encountered in terms of real time quote, market depth, and book walking, I think trying to make use of any quote information at the time of trade is an exercise in futility.

If you are trying to back test strategies based upon quote level information (which implies book level information), you are probably best off recording quote/trade changes through a trading day, and then back testing based upon what you've recorded as being important.

Bid/Ask values and sizes are very nebulous/transient in nature. You also have to be aware of the your round trips: the time to get the order to market, and when it gets executed (ie slippage), which is highly variable. And are you simulating market orders or limit orders? Simulations can have a hard time simulating 'touch' scenarios.

In the end, for my simulations, I record quotes during the day, and simulate off that stream, pretty much ignoring trades but for their trending and volume indications.
 

 

Time: Mon June 25, 2018 2:58 AM CFBB v1.2.0 15 ms.
© AderSoftware 2002-2003