I am trying to reproduce the overall Bid & Ask size (across all market centers) for the best Bid & Ask prices, respectively, and compare them with those from Interactive Broker. This has been very difficult so far. Partly, from a 2005 post, you do not seem to have all the feeds (no ECNs, still true)? Also, you do not send us all the updates from the market centers.

From your support guy, IQFeed does not send us every bid and ask updates from the market centers but rather only the NBBO quotes are sent. Just to clarify what this means:

1. If we receive an update message: (bid $30, bid size 1000, market center 5). This means the national best bid is $30. Later, market center 5's bid size changes to 800. Will we receive the update message: (bid $30, bid size 800, market center 5)?

2. If we receive an update message: (bid $30, bid size 1000, market center 5). This means the national best bid is $30. Later, market center 10 also offers bid $30, bid size 200. Will we receive the update message: (bid $30, bid size 200, market center 10)?

3. If we receive an update message: (bid $30, bid size 1000, market center 5). Later, market center 10 also offers bid $30, bid size 200. This means the national best bid is $30 and is upholden by both market center 5 and 10. But then, market center 5's bid $30 is gone and the next in line is $25, bid size 500. Will we receive the update message: (bid $25, bid size 500, market center 5)?

I was hoping to use IQFeed for streaming and IB as the broker. It is troublesome if I cannot know the total size offered at the best bid and ask price.
Edited by buscq9421 on Feb 5, 2019 at 11:12 AM

1. Yes, assuming the new $300/800 bid is still the bid side of the NBBO.
2. No, when given the same price, larger size wins so the NBBO hasn't changed.
3. You will receive a new message with $30/200 for MC 10 because that is the new NBBO.

It sounds like you are trying to derive depth of market information from the feed. Unfortunately, you cannot accurately build depth or order book from the NBBO that we provide in the Level1 feed. Additionally, you can only get a limited glimpse of depth even from regional data or the Level 2 data we provide because you cannot determine if a single region/market maker has the top 3 levels of depth (for example) or not.

Thanks Steve. I do not think I am deriving the depth. All I want is for any given point in time, I know the NBBO prices and also their respective bid & ask sizes aggregated from all MCs. I believe this is what level 1 should offer.

It's probably way easier to aggreagate from your end than we try to derive.

I guess my problem can be reworded as: can IQFeed level 1 data feeds give us info about NBBO's bid & ask sizes aggregated from all MCs? If not, why? If so, how?
Edited by buscq9421 on Feb 5, 2019 at 12:14 PM

Bump.

So, is it possible to get the overall bid and ask sizes that are similar to those from IB (as shown in the picture)?

I don't believe this is possible with IQFeed because we don't provide the regional equity options data (we only provide the NBBO quotes for options).

However, have you compared the prices/sizes on that screen with our option chains application that is include with the feed? I'd like to make sure we aren't simply dealing with terminology differences before confirming for sure that we can't provide you the data you need. Assuming that we are simply talking about availability of data differences here, if you compare the two displays side by side, I would expect that the prices on the contracts to match but the sizes to be different (ours being smaller since IB is aggregating sizes for you).

That's right. Prices are the same but IQFeed sizes are smaller.