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IQFeed speed
Started:August 17th, 2012 (01:52 AM) by josh Views / Replies:1,138 / 4
Last Reply:August 17th, 2012 (08:08 AM) Attachments:0

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IQFeed speed

Old August 17th, 2012, 01:52 AM   #1 (permalink)
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IQFeed speed

So we all know that IQFeed is unfiltered tick-by-tick data. But when observing the ticks roll by on the tape, which is coming from IQFeed, and comparing that with the DOM, which is coming from TT, it seems that the DOM updates are faster, which seems to me to indicate that TT may in fact be a "faster" feed.

I have read about the TT feed being 250ms bursts, but it does not really seem that way when I look at the tape, but maybe I just can't tell.

Does anyone have any opinion on speed of IQF versus other feeds? In particular, I would be interested to know if a Rithmic unfiltered feed is indeed faster than IQF.

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Old August 17th, 2012, 01:52 AM   #2 (permalink)
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Old August 17th, 2012, 02:31 AM   #3 (permalink)
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I use IQFeed for charting and IB as broker. I look at a DOM based upon IB's data.

As has been discussed here IB delivers a snapshot feed at every xx milliseconds. I don't know the actual number.

My charts are updated every 100 milliseconds - I'm using Sierrachart - and usually there is no difference between the two. I'm talking about Eurex tickers.

When the market goes crazy, like it did last autumn, then I see differences of up to several minutes: IQFeed lags IB then.

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Old August 17th, 2012, 05:26 AM   #4 (permalink)
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I also use DTN IQFeed and Interactive Brokers.

In another message, and for other reasons (programming), I have compared IQFeed continuous best bid/best ask information (at the moment of and between actual transactions) with Interactive Brokers' DOM. Instrument was DAX (EUREX). They seemed synchronous. Note: it was a moment when DAX was quiet.


Last edited by Nicolas11; August 17th, 2012 at 08:09 AM.
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Old August 17th, 2012, 08:08 AM   #5 (permalink)
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I believe in this big thread:

This was already discussed.

The short version, in my opinion, the ticks coming from IQFeed are very slightly behind ticks coming from Rithmic, Zen Fire, etc. This is because IQFeed sends out every depth update, while others do not. You will see other popular feeds occasionally print orders that are above the bid or below the ask. Never happens with IQFeed. Again, just my opinion.

Personally, the IQFeed reliability and and features more than make up for it, so I never worry about it.


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