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jbesada has contributed to 4 posts out of 21251 total posts
(0.02%) in 4,893 days (0.00 posts per day).
20 Most recent posts:
IQFeed Developer Support »
Level II depth May 7, 2012 01:08 PM
(Total replies: 3)
Hi, Thank you very much for the answer. So, there is not real Level II data for stocks, only for futures, isn’t it? I have not found this behavior in the documentation or in the web, I think it is important information because I have taken a decision of feed data with your service without be aware of this issues. Regards
IQFeed Developer Support »
Level II depth May 7, 2012 11:43 AM
(Total replies: 3)
Hi, From documentation: "NOTE: for Market Depth data the [MMID] will be in the form MDxx where xx is a number indicating the "depth" of the data the update message represents." But I receive MMID without depth number: "U,CSCO,BATS,19.15,19.16,17600,1800,12:33:06,2012-05-07,20,52,18,12:33:06,T,T,\r\n" So, how can I guess the depth of this update? How can I build a coherent Order Book without this information? I have tried to mix Level I bid and ask size with level II data, but I have gotten wrong best Bid&Ask sizes. Are the best Bid&Ask sizes of Level I data the aggregate sizes of all Markets for that quote? Thank you
IQFeed Developer Support »
Bid/Ask volume Feb 8, 2012 12:31 PM
(Total replies: 6)
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
IQFeed Developer Support »
Bid/Ask volume Feb 8, 2012 11:25 AM
(Total replies: 6)
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 |
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