Hello, I'm interested in getting historical tick data with bid/ask into Amibroker. Since the Amibroker IQfeed plugin doesn't retrieve bid/ask, I was planning to import it as ascii. Does IQfeed not provide a way to get this raw historical data? I've read some posts on this forum referencing a Downloader installed with IQFeed but don't see this in my installation.


Thanks.

Hello Chud, we do not provide a way to download data directly from IQFeed as many of the 3rd party charting software's will do this. As to Bid/Ask Data, IQFeed only saves Bid & Ask Prices that occurred at the time of the trade. Any Bids or Asks that did not occur with a trade are not stored in history and the only way to see these would be as they come through the streaming data.

If you have any other problems or questions please let us know.

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Curtis Thompson
support@iqfeed.net
support@dtniq.com
Trading Markets Customer Service
1-800-397-7000 x3614

how do you determine how to associate a bid/ask with the trade given they're on separate feeds cqs vs cts, and trade reporting can be delayed?

Hello Sma202,

I am going to need some help on this answer - I am asking and will be back here with the response. Thank you.

Hello,

The bid and ask prices that are displayed at the time of an actual transaction are the bid and ask prices saved in historical data. . . even if/when the bid/ask quotes from the exchange are slightly delayed.

so how does it work for streaming realtime?

I am not sure what you are asking - could you please elaborate?

You said "The bid and ask prices that are displayed at the time of an actual transaction are the bid and ask prices saved in historical data."

If it is streaming real-time trades that you're looking at, then bid/ask are not saved in historical data, then how is the bid/ask obtained shown with the trade?

Hello,

I have included a screenshot of time and sales below for IBM to help explain. In IQFeed's real-time data, bid and ask prices come from the exchange and stream by in the feed - some bid and ask prices show up at the same time as actual transactions and many other bid and ask prices show up in-between trades. Not all of the bid and ask prices are saved in historical data - only the bid and ask prices at the time of an actual trade are saved in historical data. You can see in the screenshot that I included that there are many bid and ask prices that show up between trades, but those are not save in historical data. Only the bid and ask prices at the same time as trades are saved (which you can see in the example). Does that help answer the question?

Sma202,

This may also help -

We direct the streaming data into a level 1 record and update the bid and ask fields in that record as they come in so that when a trade comes in we send the bid/ask prices along with the trade to our historical system and that is how it has the bid/ask at the time of the trade.

Todd,

When you say "bid/ask at the time of the trade" is it the bid/ask before the trade or after the trade? (as the trade can interact with and change the bid/ask)

For example, say the bid - ask before the trade was 101 - 102. The trade occurs at 102 (removing the ask) and after the bid - ask is 101 - 103. Does your historical tick data report bid/ask of 101/102 with this trade or 101/103?

Hello jonnyb,

Unfortunately, the answer is not so easy because of how the feeds work -

As mentioned earlier in that thread, the Bid/Asks come on a different feed from the exchange than the Trades and they are merged together based on when they arrive from the exchange (not based on message timestamp because doing so would delay one feed or the other).

As a result, whichever bid/ask arrived from the exchange immediately prior to the trade is the one that gets stored with history for that trade. However, there is no way to actually know if the bid/ask that is stored in history is the bid/ask that resulted in the trade or if it is the bid/ask that resulted from the trade.

Thanks Todd. If I'm understanding correctly, this is exactly how it's done in the live feed and the historical ticks are simply saved trade messages from the live feed?

Yes.

If I understand these posts/answers correctly, at busy times of the day for heavily traded securities, the calculation of indicators such as Cumulative Delta - which relies on identifying whether a trade was on ask or on bid - will not be 100% accurate.

Please can you confirm.

Or, the alternative, it could mean that you cannot re-calculate such an indicator from the historical tick data, but you could, correctly, from the live feeds.

QuickTick
This will mostly depend on how the charting software/indicator actually processes the data.
The time/data should be the same.

One could argue the generation of historical data should be slightly delayed in order to use the bid/ask based on the time stamps (not arrival time). If one wants the data as fast as possible, one would observe the live stream, not the historical data, I'd think.

And if indicators such as the one described above are generated using the bid/ask time stamp as well (meaning correct yet slightly delayed), then it cannot be re-calculated from historical data, only from the live stream. If, however, it is calculated in the same manner as historical data, then in can also be re-calculated from historical data.

If that makes sense, I'm new to this.

(I suppose we are talking about an indicator that is part of the IQFeed.)

Hello,

I wonder if IQFeed still synchronizes ticks (trades) and quotes (ask/bid) in historical data by the time they arrive to IQFeed server. Or it is now synchronized by exchange timestamps.

Thanks

Hello,

Everything is stored in the order it was received.

Tim

Thanks Tim,

So if quote feed is delayed vs trade feed, ask/bid prices after the trade enter into IQFeed historic records. And there is no way to know that it happened (when I use historic tick data). Am I right?

Thanks