As a simple test, I am collecting each Bid and Ask Message for Apple along with each tick. It's not a very high CPU usage operation with C++ so I don't think I am having any latency issues. However, there are times (like at the open yesterday) when actual trades are occurring well below the Bid that IQFeed is messaging out. Normally I would attribute this to heavy selling but while there is decent volume at this time, most of the trades are one lots. So if the Best Published Bid is there and there must be atleast 100 shares there, how can these trades ignore the Best Bid and trade way lower without first filling the trades at the best bid?

I am just concerned that my data is not right. I have attached a chart screenshot showing the period between 9:30 and 9:31. The red line is the Bid and you can see that it persists as I am getting constant messages reminding me of it's value. The green line is trading well under it. This is a single tick chart and it may be tough to see but there are dots on the line for each data point collected. Thanks...

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scooke

Hello, sorry for the late reply. First a bit of background.

We get bid/ask data on a different feed from the exchange than the trade data and merge the 2 together before they get sent through the system. If you examine the bid time/ask times (now included with the streaming feed in IQFeed 5.0) closely, you can see evidence of this where the best bid or best ask is ever so slightly offset from the trade times occasionally. Unfortunately there isn't any way for us to synchronize this in the streaming feed without delaying one feed or the other to match up the timestamps (and the exchanges will sometimes send data out of order as well which would cause more headaches).

With that said, I did some in-depth looking at the feed for AAPL trades and/quotes for yesterday at market open and the slight difference (never more than about 10ms for the bit I looked at) wasn't the cause of what you were seeing. There was a significant number of times that the trades we received from the exchange were well outside the best bid or ask even after re-sorting the updates chronologically to get rid of the minor discrepancies.

Regarding your statement:

"There was a significant number of times that the trades we received from the exchange were well outside the best bid or ask"

I guess I am just confused as to how this can be. How can someone trade a one lot at 450.00 when the bid is 450.50 and the ask is 450.75? Unless this trade pushed the bid from 450.50 to 450.00 (highly doubtful).

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scooke

Unfortuantely, I don't have an answer to that question. I can only confirm that is what we received from the exchange.