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jphiggs has contributed to 6 posts out of 20979 total posts
(0.03%) in 1,562 days (0.00 posts per day).
20 Most recent posts:
Still interested to know what may have come from DTN's discussion about this topic.
For those familiar with the 3rd party product BookMap, it requires MBO data for certain functionality related to displaying the entire market depth and their iceberg and stops detectors. BookMap only supports Rithmic MBO data, not IQFeed’s MBO data, for displaying the full book and indicators on its heatmap. With regard to BookMap’s support of IQFeed MBO data to provide the same functionality, their support replied “Unfortunately, at the moment there is no such technical possibility - to have full market depth with IQFeed in Bookmap. If it will be possible to change this IQFeed connection in the future - there is no such information yet.” Does anyone know why this would be the case, even if an IQFeed developer license is required to process MBO data? I really don’t care to switch to or add Rithmic, or build my own process to do the same with IQFeed MBO data.
What was the response to this?
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A couple questions:
1) I see bad tick data on a regular basis, in downloaded tick data, in instruments like the S&P 500 sector ETFs. I assume the same for individual stock data though I don’t gather that. I don’t see the same thing for liquid futures coming from the CME for example. See below for a sample. Do your clients have to write their own algorithms to eliminate these programmatically?
2) I’ve often noted a discrepancy between volume data for tick downloads that I’ve summed myself and the Total Volume reported in the IQFeed tick data. See below for an example from 2/22/19 business day that began 2/21/19 at 6pm ET. Seems like some records were dropped that totaled 7 contracts in this single example. At the end of the day the difference can be quite substantial. I downloaded this data three times over several days and all results were identical. Can you explain what may be happening here?
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