|
|
Home
Search
Register
Login
Recent Posts
»Forums Index
»Archive (2017 and earlier)
»IQFeed Developer Support
» Bid/Ask volume
|
|
| Author | Topic: Bid/Ask volume (7 messages, Page 1 of 1) |
 jbesada -Interested User- Posts: 4 Joined: Feb 8, 2012 |
Posted: Feb 8, 2012 11:25 AM
Msg. 1 of 7
Hi,
I want to get Bid/Ask Volumes from streaming data coming from the exchange but I cann't find it in the Update/Summary Message Format. Thank you in advance |
|
DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004 
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Feb 8, 2012 11:34 AM
Msg. 2 of 7
Bid Size and Ask Size are the fields you are looking for in the feed. This is the volume (or size) at the best bid/Ask.
Jay Froscheiser Telvent DTN |
|
jbesada -Interested User- Posts: 4 Joined: Feb 8, 2012 |
Posted: Feb 8, 2012 12:31 PM
Msg. 3 of 7
Hi,
No, it is not the same. Volume that occurs at the bid price is known as bid volume, volume that occurs at the ask price is known as ask volume and it is not related to Bid/Ask size. So, from your answer I understand Bid/Ask Volume is not available, is it right? Regards |
|
DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Feb 8, 2012 01:04 PM
Msg. 4 of 7
I think I understand what you are asking now. We provide the bid and ask price at the time of the trade, so if you look at the trade volume associated with trades at the bid or ask it will tell you what you are looking for. Thus, If the bid price = Last trade price then L Vol = Bid Volume. If the Ask = Last then L Vol = Ask Volume. We don't provide this as a field in any ways since it is easy for client software to calculate and analyze it however they want. Bid and Ask volume isn't something that is sent from the exchange. It is derived in the feed. The bid and ask price at the time of the trade is included in historical tick data as well so if you are looking for a cumulative number you can add it up by using history in conjunction with the stream.
Jay Froscheiser Telvent DTN |
|
13homer -Interested User- Posts: 1 Joined: Jul 16, 2012 |
Posted: Jul 16, 2012 01:25 AM
Msg. 5 of 7
Quote: The bid and ask price at the time of the trade is included in historical tick data as well May I ask what does it mean then (quote from api documentation): Quote: Request: HTX,MSFT,10,1,TESTREQUEST,2<CR><LF> TESTREQUEST,2008-09-30 16:32:51,26.5600,100,105615650,26.5500,26.6000,2837820,0,0,E,<CR><LF> TESTREQUEST,2008-09-30 16:34:02,26.6900,1171444,106788063,26.5500,26.6000,2837910,0,0,E,<CR><LF> TESTREQUEST,2008-09-30 16:37:28,26.6875,21200,106809363,26.5500,26.6000,2838255,0,0,E,<CR><LF> How last can be > ask (or < bid or between them)? This is extended data, but it happends in normal trades too (HTT,@EUU12,20120612 000000,20120613 000000,,,,1,,): Quote: 2012-06-12 00:09:22,1.2514,1,3536,1.2512,1.2513,1396127,0,0,C, 2012-06-12 00:12:02,1.2515,3,3586,1.2516,1.2517,1399169,0,0,C, 2012-06-12 05:09:48,1.2518,1,15992,1.2517,1.2519,1689096,0,0,C, |
|
joky -Interested User- Posts: 1 Joined: Sep 2, 2012 |
Posted: Sep 2, 2012 06:01 AM
Msg. 6 of 7
Hi everybody!
I got Ask/Bid size: 0,0 for all lines . how to get ask/bid sizes in my data file? |
|
DTN_Steve_S -DTN Guru- Posts: 2096 Joined: Nov 21, 2005
|
Posted: Sep 4, 2012 08:38 AM
Msg. 7 of 7
We only store bid/ask price (not size) at the time of the trade.
|
|
|