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»Forums Index »IQFeed Developer »IQFeed Developer Wish List »Depth of Market From CME
Author Topic: Depth of Market From CME (3 messages, Page 1 of 1)

swhitney
-Interested User-
Posts: 21
Joined: Nov 3, 2005


Posted: Nov 9, 2005 09:16 PM          Msg. 1 of 3
I would also like to see the depth of market and outside bid/ask postings for CME commodities such as ES, NQ etc...

Right now I can import that from the IB TWS API...But Jay has indicated you have the data on your side...

I am by heart a tape reader-programmer...

The dodges, head fakes pull backs and reposts are key bits of data for my style of programing-trading.

PLEASE GIVE US CME MKT DEPTH AND OUTSIDE BID-ASK UPDATES

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1741
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Nov 14, 2005 08:15 AM          Msg. 2 of 3
Market depth from CME is on our "to do" list, but it is going to be a ways out. We are in the middle of increasing our CME line capacity and making changes to keep up with their protocol changes. Unfortunately, until that is done, we won't be able to look at adding the market depth information.

Jay Froscheiser
DTN - Trading Markets

swhitney
-Interested User-
Posts: 21
Joined: Nov 3, 2005


Posted: Nov 18, 2005 12:19 AM          Msg. 3 of 3
Just to be clear...

I don't care if its packaged up in an L2 style block...

I am more than happy to consume and process the data via simple L1 stream.

All I would like is to see the 'outside' posts.

If we know that the tick type==bid || ask && !trade, we can craft the rest of it up on our end.

The game is rigged for the mkt makers, brokers and specialists.

This tidbit of information, no matter how abstract, is very useful for tape readers.

Thanks Jay...
 

 

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