Hi, I have an issue whereby the number of ticks for ASX futures data being received via IQfeed is significantly less than expected.

I have checked both the SPI and AX symbol's data and both seem to be between 20% and 30% down on the number of expected ticks, yet the total volume of contracts traded matches very closely. I am comparing IQfeed data to Tickdata.com historical tick data to which I subscribe. You can see in the screenshot attached the significant difference I am talking about with the SPI.

When I perform the same comparison between IQfeed and Tickdata.com for CME futures markets, the tick volume difference is nearly always less than 1%.

I noticed an example on the AX where multiple ticks appear to have been aggregated in IQfeed's output:

Timestamp - 13JAN2014 16:09:38 - Tick Volumes as follows:
Tickdata.com: 3,14,10,1,5,5,5,8
IQfeed: 3,40,8

You will note the first and last ticks 3 and 8 are the same. Also, the SUM of all the Tickdata tick volumes in between these two ticks is 40, the same as the volume reported in the IQfeed tick.

Any help on how this issue can be resolved would be appreciated.

Hello Bludev, I will forward this over to our Market Data Services Dept. to have them take a look. As soon as we have an answer for you we will let you know.

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

Update: We are still waiting for a response back from our contact at the ASXCM as we are seeing similar aggregation here when it should not be from what we were told.

Will update as soon as we can.

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

Thanks for the update Curtis. It would be great to get to the bottom of this asap as it has a significant impact on our trading of this market.

Hi Curtis

I have not heard anything for a week now and was wondering if there is any update?

I am concerned that I am trading based on inaccurate data and it is costing me money. Do you know how long the data has been inaccurate for? And more importantly, when it is going to be resolved?

Thanks

Hello Bledev, I have another email into our Market Data Services Dept. in regards to this. I am hoping they will have answer for me tomorrow.

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

Hello Bluedev, we have not heard back from our contact as of yet, but the data is aggregated but the data itself is correct. At this point in time there is not much that we can do to fix this as that is how the data is being sent to us. If you have any other problems or questions please let us know.

Thanks.

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

Hi Curtis,

While I appreciate you getting back to me, I find this response very unsatisfactory.

IQFeed promotes itself as a "TRUE, tick-by-tick datafeed. This feed is completely unfiltered, allowing you to see EVERY TRADE that occurs in real-time."

Unfortunately the situation that we have here flies in the face of these claims as we are certainly not seeing every trade that occurs in real-time.

The response 'there is not much we can do to fix this' concerns me greatly and to be honest, after several years of great service from IQFeed, I am somewhat surprised.

Modelling of ASX markets by anyone using tick-based bars (such as myself) is no longer going to be receiving accurate results.

Clearly there are other 3rd party vendors out there that continue to access true tick-by-tick data from the ASX every day. I would kindly ask that you escalate this issue with the appropriate people, while it appears it is currently not currently a priority for IQFeed, it is a priority for our business.

Best Regards

Thank you bludev,

We appreciate you bringing this data issue to our attention. We are not closing this topic, but because IQFeed is not filtering the data on our side we are not able to provide an ETA to this problem. We are continuing to escalate the issue and we appreciate your patience as we work through it. Feel free to contact me directly if you would like

Thank you for your business.

Sincerely,

Mike Driscoll
DTN Active Trader
402-255-8018
mike.driscoll@dtn.com

Hi Mike

Many thanks for the clarification. Lets hope this is able to be resolved soon. In the meantime I will work to approximate the data aggregation % and adjust our market modelling accordingly.

Many thanks