IQfeed API question:
I only want the top two Level 2 levels for SPX options data in my application. Assuming I have real time level 2 data enabled, is there a way to limit the data broadcast from IQfeed to just the top 2 depth levels?
I see in the documentation:
WPL,[SYMBOL],[MaxPriceLevels]<CR><CR><LF>
Begins watching a symbol for depth Price Level updates.
[SYMBOL] - The symbol that you wish to receive updates on
[MaxPriceLevels] - Optional - Limits the number of price levels you will receive to only those within the top
[MaxPriceLevels] levels of depth.

Would it be possible to get an example command for "watching" only the two top depth levels for level 2 SPX option data?
Is it as simple as this?:
WPL,SPXoptionSymbol,2<CR><CR><LF>

Thanks

Update: It's been 14 days - is there anybody in here?

Edited by step999 on Jan 19, 2024 at 05:19 PM
Edited by step999 on Jan 19, 2024 at 05:37 PM
Edited by step999 on Jan 19, 2024 at 05:38 PM
Edited by step999 on Jan 19, 2024 at 06:38 PM
Edited by step999 on Jan 25, 2024 at 02:06 AM
Edited by step999 on Jan 31, 2024 at 05:12 PM
Edited by step999 on Feb 4, 2024 at 05:52 PM

I don't have a subscription for options. However, when I tried your example during off hours for a futures contract, the summary lines returned comprised only two levels of bid and two levels of ask, as expected.

T,20240210 17:58:29
S,CLEAR DEPTH,@ES#,B,
S,CLEAR DEPTH,@ES#,A,
7,@ES#,B,5041.50,51,6,2,16:59:02.811840,2024-02-09,
7,@ES#,B,5041.25,22,3,2,16:59:00.820439,2024-02-09,
7,@ES#,A,5042.00,9,3,2,16:59:58.043198,2024-02-09,
7,@ES#,A,5042.25,20,3,2,16:59:03.275683,2024-02-09,

Looks like you might need to subscribe to data or find someone who has options data to be completely sure about those instruments.

-mkvalor

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-Mark D. Valor

I apologize for missing your message - my notifications were set up wrong, so I didn't know your message was waiting. In a word, yes, it's just WPL,symbol,2. We're also addressing an issue that will improve the working of price levels in general.

ADDED: I should clarify that options may not have price levels available, just order levels. See https://www.iqfeed.net/dev/upgrade.cfm?protocol=2 for a breakdown.

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Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist
Edited by DTN_Gary_Stephen on Feb 13, 2024 at 10:29 AM

Hi mkvalor,

Thanks very much for your reply. I will add the commands to my L2 code, and I think it should work based on your test. I was looking to see if I missed anything. It looks like Gary Stephen has replied also confirming the syntax and operation.

I appreciate your help, mkvalor.

Thanks

Hi Gary,

Thanks very much for confirming the syntax and operation.

Glad you have fixed your notifications, and I appreciate your reply.

I don't quite understand how the price levels will be improved, but perhaps you can issue an explanation when the changes have been made.

Thank you.

Yes, the update notes will include a detailed explanation of what was improved.

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Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist