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Dave Forss, Global Account Manager at DTN Trading Markets, will be monitoring this thread so that he may answer any questions that you post here relating to Telvent DTN IQFeed products and services.
Please keep in mind that some customer service/technical support issues are best handled through proper channels at DTN.
DTN IQFeed is well known as being the industry leader in market data, providing the most accurate and reliable data feed available to retail traders. IQFeed is compatible with all major trading platforms, products and services, and includes true tick-by-tick data from all major exchanges. Futures, Equities, Options, and Forex data are all available, most with vasts amounts of historical data available for retrieval.
You'll also find options for fundamental data, real-time market stats/breadth symbols (like TICK, TRIN, and hundreds of others), plus real-time news from RTT, PR Newswire and Business Wire.
In addition to this thread, I will also be asking Dave Forss to stop by on occasion for a casual webinar where he can answer questions via audio while also sharing his screen to visually demonstrate any points as needed. The date/time of those sessions will be announced here in this thread. These sessions will be limited to questions only, there is no prepared presentation. After the session ends, the recording will be posted in this thread.
(Note: That URL is a landing page for futures.io users, but futures.io does not receive any referral compensation).
Feel free to ask any questions below and we'll do our best to get them answered.
The futures.io "AMA" (Ask Me Anything) series is by invitation only. It is part of a new program we are launching shortly called "Certified Trustworthy", something that has been months in the making. I will provide all the details of this new program as soon as it is ready for launch.
Site Administrator Swing Trader Data Scientist & DevOps
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Robert, I have two questions for you One easy, one not so much...
When will IQFeed 5.0 be formally released?
and..
Can we please have more than 120 days of tick data? At least for popular futures instruments (making up majority of users here on futures.io (formerly BMT)). I'd love to see a couple of years of tick data for say 10-15 of the most popular futures instruments, like indices, commodities and currencies.
No official release ETA for 5.0 as developers are still working on it, but I'm confident it will be sometime in March.
Increasing tick historical is a priority for us as well. I've heard talk of offering 12 mos of tick as our next next jump from the current 4 mos, but it may be 2014 before we see that.
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OK timeframe sounds good on both. I realize that providing a year or two of tick data across the board would be monumental, that is why I was hoping if we narrowed the scope just to the most popular futures instruments it would be an acceptable request.
I'd like to see two years, but will take one as a good improvement
SARdynamite asked for the difference between the IP ranges, a very good question.
We only have 2 server farms so the pings to each server on the same farm would be the same. Pinging the following 2 IP addresses will give you latency to each of our server farms:
66.112.156.220
66.112.148.220
I'm sorry my first response was neither complete nor clear.
Robert
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Will Iqfeed ad hong kong futures exchange to their exchanges offered. Highly liquid and heavily traded indices from the worlds second largest economy, what is dtn waiting for?
We are always interested in adding new exchanges. HKFE is high on our list. We keep a record of individual requests for exchange additions, so I would encourage you and anybody you know who wants IQFeed to add HKFE to email robert.carrillo@dtn.com and request it.
The only way to make it happen is if enough potential users of the data make their desires known. That's how we make a business case to justify the additional expense of thousands per month.
Thanks in advance.
Robert
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I'm surprised that you would offer Singapore and not hong kong, when hong kong is where the deeply liquid products are trading.. Equally surprised that you would want see a petition of interested persons seeing as you already offer SIMEX. Given the huge number of day traders in china it might be a good strategy for dtn to pursue.
If anyone is interested, pats systems data does run on ninjatrader and is offering hkfe futures through Phillip Futures in Chicago, or go through their head office in Singapore if you prefer.
I agree one hundred percent. The reason we offer SIMEX, BM&F and SFE is because large customers needed them for another DTN platform (ProphetX). When those were added for PX, they became available for IQFeed customers.
It isn't necessary that IQFeed customers wait for PX exchanges to be added, simply that there is a big enough demand. The only way IQFeed customers can make their desires known is to email and request them. "I know 10 guys that want HKFE" won't do it. We need individuals requesting.
Thanks again.
Robert
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I try out Kinetick and IQ feed for Bursa Malaysia Derivatives in Sept 2012. Both Kinetick / IQ Level 1 are identical but they were different from that of the local data vendor(s).
Rationale:
If you tabulate all the ticks from an IQ feed for a specified trading day...the total tick volume of contracts for a future contract month does not add to the same contract volume figure as published by the exchange.
I learned from a Kinetick support colleague that there are trades marked "as non-qualifying" trades based on a criteria list that are excluded from the L1 feed. But I understand from IQ Support that there is a project to include these trades emanating from the exchange. Just like to know how is the progress on this project.
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Progress is going very well. Properly identifying non-last-qualifying trades is part of the IQFeed 5.0 project which we are close to releasing publicly, likely sometime in March.
Thanks.
Robert
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do you have any plan to offer connection to Osaka Securities Exchange?
please look at attachment for daily volume for the big Nikkei and the mini Nikkei.
especially the Nikkei mini has half of ES daily volume, surely a lot of asian market traders would benefit if IQFeed would offer it.
other option i know for quality datafeed connecting to OSE would be either thru japanese brokerage (which i believe having trouble for english suppport), or CQG which is a little bit steep. CQG Connects to the Osaka Securities Exchange J-GATE Derivatives Trading Platform - News
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There hasn't been much demand for OSE that I'm aware of, but it starts with individual requests. Please email robert.carrillo@dtn.com and ask that IQFeed provide it. Please ask others who also want IQFeed to offer OSE to email me as well.
Regards,
Robert
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I'm on a 30 day trial with DTN IQ Feed, using it with Multicharts, and so far I'm impressed.
Up until now I have used ZenFire and that has served my needs however recently I have been looking at trading using cumulative delta - ask traded versus bid traded and now I see that on some days there is a very marked difference between what Zen-Fire is telling me is happening and what DTN IQ Feed tells me is happening. My instinct tells me I think I know which one is correct but I have no evidence for this.
The following chart is from 6th February and shows E-Mini Dow Jones futures intraday 5 min with DTN IQFEED's Cumulative Delta ask traded vs bid traded and then below that ZenFire's depiction of Cumulative Delta ask traded vs bid traded.
Now I should make it clear that when charting Cumulative Delta on most days both data feeds appear broadly similar but critically some days are markedly different. I've checked the settings several times and they are the same for both data feeds so it's not something I've selected within Multicharts, as I say most other days are broadly similar. Both of these are charting March contract for E-Mini Dow Jones futures.
Why are they different?
"The primary thing required to obtain what you want from life, is simply the will to pursue it, and the faith to believe it is possible." - Author Unknown
"The ability to maintain discipline and stick to the rules is the hallmark of the experienced successful trader" - Curtis Faith
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I wil try here to do an analysis and comparation on different data feeds and platforms to perfom studies involving bid/ask data, like comulative bid/ask difference or delta bars and footprint like.
I keep seeing these advertisements for unfiltered data.....
Isn't the whole point of filtering the data to ensure that a rogue/erroneous data point won't ruin your day? If you have a stop in place and a bad piece of data comes in, that exceeds …
My experience is simple: Zen Fire is a latency-sensitive execution feed for brokers where speed is paramount. IQFeed is instead focused on accuracy and offers a lot more in terms of data feed services than any execution feed is capable of.
I've seen trades (last) come across the wire on a ZF feed that were above the offer or below the bid. That means they were out of order. I've never seen that with IQFeed.
Both services are good depending on what you are trying to do with them.
We'll see if Robert is able to offer more of a technical answer as to how IQFeed assures ticks are delivered in order and etc.
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BTW, you might want to try duplicating your results on another platform that has been around a while. It's my understand that MC has only very recently added such tools, so you would want to verify their accuracy against known-good platforms.
The nice thing about IQFeed is also that you can power multiple platforms concurrently with it with a single instance of the service running on your computer.
It comes down to the delivery protocol used to provide the data. ZF and other broker data use UDP send data out, a protocol in which delivery of data packets isn't guaranteed, in order to emphasis speed. IQFeed uses TCP, which does guarantee delivery at the cost of some latency. That's why comparisons like yours show broker data with fewer ticks and lower volume than IQFeed, and not the other way around.
Robert
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Robert,
I recently upgraded my IQFeed client to 4.9.0.3. Is it my imagination, or are historical downloads of large amounts of data significantly faster now? I had to do a double take when I was downloading 120 days of tick data for a bunch of instruments, it seemed to be orders of magnitude faster when I was using QCollector.
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Robert,
I've heard that NASD members have access to "Level III" data. Does this mean that these member firms can see the entire order book, and not just 10 levels of depth like us mere mortals?
Is there any other way for us retail guys to get this advantage?
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Robert,
Regarding dark liquidity pools -- in the case where firms are legally required to publicly disclose trade information, they tend to do so at the maximum interval legally allowed.
Can you give me an example of how such a transaction would come across the tape? Is it marked somehow to specify the trade did not occur in real time? Is it timestamped in the past, or is it timestamped at the time the trade is reported even though the trade occurred in the past?
Does this practice occur only in equities, or is it "legal" in the futures market (ie: CME)?
Level 3 is for market makers to enter orders to the NASDAQ matching engine.
No, a retail trader would need to become a registered market maker and post collateral for trading and make a market in the securities, post a bid and ask at all times during market hours.
Thanks.
Robert
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The trade is generally reported through NASDAQ or NYSE Trade Reporting facility NTRF, the timestamp is when the trade occurred not when it was reported.
There are OTC swaps and forward transactions, but there are no dark pools for futures contracts as there are in the equity markets. The OTC transactions are not reported through a “Trade Reporting Facility” like the equities. For example ICE has several OTC contracts that they do not report in their ICE Impact data feed.
Thanks.
Robert
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What additional information do marketmakers have with "Level III"?
Do you see the possibility to deliver access to data like the "stop orderbook" or infos at which prices who (marketmakers and institutions) are asking or offering size as "add-on" for your existing services? Or are those infos an industry secret?
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No, I don’t see the possibility to provide stop orderbook.
The NASDAQ Level 2 data does provide the market makers’ best bid and ask price and size. However the full size of all orders by a market maker is not provided in Level 2.
Thanks.
Robert
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quantitatively speaking, how much demands would you deem enough to offer connection to new exchanges?
also, I would suggest to add something like "new exchanges petition/vote" on IQFeed site where you can also capture potential clients contacts to be noted when their product of interest has any update.
here's some of the leading asia-pacific exchanges we would like to be added:
HKFE, OSE, KRX
The following user says Thank You to Harlequin for this post:
A couple hundred would likely be enough to justify the cost. I like your idea of an exchange wish list on the IQFeed site. We have that now in the DTN forum: IQFeed Datafeed Wish List
I received an email on Mar 5 from a Joseph requesting those exchanges. Is that you?
Thanks.
Robert
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thanks for listening to your customers. it means very much for us. especially the KRX/KSE is a bit tricky to handle because i believe their license is pretty expensive.
regarding the wish list i believe using lead generation (like aweber.com / getresponse.com) is easier for you to handle and track how many have been actually voting for each exchanges. also non forum users will be eager to vote for their opinion without having to register first which would make leads conversion higher. i can also help spreading the words easier by pointing to an exact lead generation page rather than having someone to register to the forum first.
and no i'm not Joseph but i will send email to you asap regarding the new exchanges.
i opened a new thread about the asia pacific exchanges here if you have anything to add please participate as well
thanks and have a good day!
The following user says Thank You to Harlequin for this post:
I can't believe this really. Retail trading is an enormous market in Asia, especially in Hong Kong. And you need a hundred people on futures.io (formerly BMT) to make a business case for this! Ok......
It costs a minimum of $10,000/mo to add a new exchange. So, yes, we need to know we'll have a subscriber base for the exchange before we invest in it. They don't have to be futures.io (formerly BMT) members.
Robert
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Robert, why is your basic service for US futures data 88$ per month while Kinetick offers the identical product under their brand name for only 50$? Would you consider matching Kinetick's prices for Ninjatrader users?
Kinetick is the best retail data feed in the industry, IMHO, but can be used ONLY with NT, does not provide data for ICE (TF, DX.X, etc), intraday historical is limited to 2 years according to their website (IQFeed back to May 2007 for stocks/futures/indexes and back to Sept 2005 for minis), does not offer an API for development, and Kinetick Support is limited to email during normal business hours (IQFeed has Live Support Chat, toll-free phone support and 24 hrs/day email Support M-F...critical for customers outside U.S.). Finally, while Kinetick subscribers can view news in NT, IQFeed subscribers can use data in NT but still have access to IQFeed News Client at no additional charge, which some consider a more intuitive news interface.
Let me know if you have any other questions.
Regards,
Robert
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Id like to see the ability to look at back months of futures contracts in weekly, monthly etc time frames.
eg, if I wanf to look at a weekly @edU16 (Eurodollar Sep 2016) chart, I just get the front month weekly chart. This is the same for all futures contracts with a decent curve - crude, nat gas etc.
Why is this? It is a bug? At first I thought it was an issue with my charting package, but it turns out it's an IQ Feed issue.
I checked with Support as well as the Market Data Integrity department to be sure, but weekly and monthly time frames are set up for continuation contracts. The continuation contracts look at the current front month that is trading. So, it won’t show up for an individual contract that is not the front month.
You can however look at daily, and intraday time frames to see the charting for @EDU16 (Eurodollar Sept. 2016).
Thanks.
Robert
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Thats what I thought when I first encountered the problem. Alas no, it's an IQ Feed issue - as Robert agrees.
As for Eurodollars, U16 does around 50-60k a day.
In our current rate environment, the front months are dead. Also, there are too many HFT's trying to be market maker and gaming the pro-rata matching algorithm. You have to go further out to get a position on IMO. The upside is that there is always ample liquidity to put what ever size you want on. More than enough for me and anyone else here I assure you!
Well after eleven years I continue to learn something new. The fact is the weekly and monthly charts are driven by a legacy process and are automatically “continuation charts” for that contract. It has been this way since inception, and because most software in the market only requests daily bars then builds any other time frames off of that, we have never put the development resources into changing it, and likely won't.
With daily bars, you can request (n)days. Thus, you could effectively request 7 day bars and get a “weekly” or 30/31 day bars and get a “monthly”.
Perhaps not the answer you were hoping for, but I hope not too cumbersome a work-around.
Robert
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OK Thanks Robert - kinda makes sense. So we're back to the charting software - they should be able to make a weekly bar from daily data. Their response was 'we just chart what were given'.
Thanks for looking into this anyway.
Ive been using IQ feed for years and years. I've never had an issue with the feed being down or any other issue (apart from the bug bear above ). I used to use e-signal, and never looked back. You guys blow them out the water!
It is my pleasure to welcome back Jay Froscheiser, Robert Carrillo, and several other members of the IQFeed team, for a webinar presentation on Wednesday, April 10th @ 4:30 PM ET.
IQFeed will be covering a variety of topics this webinar, …
Good webinar today too. Learned things about IQFeed Connection Manager that I didn't know (like the news feed)!
Thanks and have a good one!
-AT
"Is it hard? Not if you have the right attitude. It's having the right attitude that's hard." - Robert Pirsig
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Site Administrator Swing Trader Data Scientist & DevOps
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In the webinar today it was mentioned IQFeed has COT elements data available for charting etc. Can you remind me the symbols? Does IQFeed have a sample Excel spreadsheet that would re-create something like this:
I would like to have more historical data on screen and a more clear overlay (this one is somewhat hard to read). It seems like all of this data is available with IQFeed, I just need to use Excel to get at it.
Also, I am a bit unclear (should have asked in the webinar). Is the Excel DDE functionality available to all IQFeed clients, or only if you subscribe to the API?
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Can I interest you in creating the Excel spreadsheet to create a similar chart as what I posted but with more historical data and easier to read overlay?
DDE functionality is available to all IQFeed users. Open IQLink Launcher like so (notice Sample DDE Spreadsheet there as well):
The DDE interface directly supported with IQFeed provides streaming data on a symbol basis only. We don't include an interface for T&S, chains, etc. If you want more advanced functionality feeding data into Excel, I would suggest looking at XLQ or QuoteIN (3rd party apps) as they both provide a more efficient feed from IQFeed into Excel as well as advanced functionality and formulas.
While Kinetick subscribers are receiving IQFeed data, they do not have IQLink Launcher since they haven't installed IQFeed Client (yet another difference between the services).
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I'm just playing with it at the mo - deciding which newswires to listen too. Im not so interested in stocks - more macro issues, commodities and fixed income.
I havent upgraded to v5.0 Beta yet, so Im on the old version. I wish I knew about this earlier - its a great selling point for you.
Im half way through the seminar recording, wondering what other stuff there is that Ive totally disregarded over the last 5-6 years or so!
It’s a 3D graphical presentation of the data for the ES. The top graph is the trades and the depth of market. The bottom two graphs are the depth levels 1 -10. Just a different way to display than the standard DOM window.
Pretty cool stuff.
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Robert, can you comment concretely on how IQFeed performed on April 23 from 13:08:07.583 onward? I suppose you measure your lag both in absolute terms and relative to your competitors, and I think it will be informative to learn how IQFeed performed since this will probably not be the last 'mini flash crash'-event.
You probably can't answer this due to competition concerns but since this is a 'ask me anything'-thread, one cannot be blamed for trying right?
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We didn’t experience any issues on 4/23 within our systems nor did we receive an increase in customer contacts. We don’t compare our feeds to competitors on an ongoing basis either. We also don’t “measure lag” outside of our internal systems since doing so would only give a measurement for a single scenario when in reality our customers all have unique systems (ISP, Internet path, bandwidth, modems, routers, PC’s, antivirus software, analytics software and symbols being watched).
Thanks.
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Ah okay, that's good to know. Just for the record (before I give readers of this thread a wrong expression), I didn't experience problems with IQFeed. But since these events (probably?) put a large strain on your infrastructure, I was wondering how that went from your side. Good to know it was business as usual.
True. I used the more popular word "lag" when "internal latency" would have been more accurate.
Thanks btw.
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Unfortunately, DTN MA is a legacy service we no longer have the infrastructure nor support for. Investor/RT customers still have that option (directly through IRT), but it’s something we can no longer offer to developers, including existing partners such as MultiCharts. IQFeed Basic Service does provides the same historical data found in DTN MA, but also over 600 real-time indexes/indicators updated every one second, real-time streaming news, the ability to use multiple software and world-class support.
Kinetick is the best retail data feed available, IMHO, but can be used only with NT, does not provide data for ICE (TF), intraday historical is limited to 2 years according to Kinetick site (IQFeed back to May 2007 for stocks/futures/indexes and back to Sept 2005 for minis), there is no API available, and Support is limited to email during normal business hours (IQFeed has Live Support Chat, toll-free phone support and 24 hrs/day email Support M-F...critical for customers outside U.S.). Finally, while Kinetick subscribers can view news in NT, some feel that NT's news reader is not intuitive. IQFeed subscribers can use data in NT (or any other software) and also have access to IQFeed News Client at no additional charge.
Thanks!
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I realize the majority of members here trade futures, and quite a few have made it known they want IQFeed to add HKFE data. Thank you for the emails so we could officially log your requests.
I'm wondering how big a demand there is for TSE & OSE data, not only from current IQFeed/Kinetick customers but also from those not using IQFeed/Kinetick because they aren't offered.
Are there other Asian exchanges desired, either futures or stocks?
As always, thank you for your feedback!
Robert
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Hi Robert
Thank for the recent trial userid. I tested the Bursa Malaysia Derivatives price feed and find that the current trade conditions as in your IQFeed version 5.00 exclude calendar spread trades. Do consider adding them as well... eric
Cheers...eric
The following 2 users say Thank You to yongthanyee for this post:
Just a thought...do consider adding these Asian "8" stock exchanges as mentioned in the attached url...it will help you capture a larger pool of traders turned subscribers....eric Asean Exchanges Asean Exchanges
Cheers...eric
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Great idea, we will definitely do that. In the meantime, I'll ask that any exchange requests be sent to robert.carrillo@dtn.com, along with your full name so we can create a record of the requests. Names and emails stay with us and are not used for marketing purposes.
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It would be fantastic to get OSE and HKFE, the two major Asian exchanges, and the Shanghai/Shenzhen exchange whenever trading in mainland China futures opens up to foreigners. HKFE and access to the Hang Seng and HSCEI indices would be awesome for starters......
Can you explain (in newbie terms please - I'm only asking out of curiosity) why my TICK (JTNT.Z) data starts right at the ES market open but it takes about 1 minute for the S&P Net Issues (JI6T.Z) to begin?
Thanks,
-AT
"Is it hard? Not if you have the right attitude. It's having the right attitude that's hard." - Robert Pirsig
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When we started calculating stats 20+ years ago we configured any that are ratios (TRIN, etc) and those requiring data from multiple exchanges (S&P, Dow, etc) to display at 9:31 EST to allow time for stocks on those exchanges to trade.
Now we both know!
Robert
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I've just downloaded the newest version of IQ (5.0.13?)
There is something called Link Launcher, which I assume is some Excel tool as it launches a big red DDE app in the start bar.
Can you provide a link to a manual or online description of how to use this - I cant see anything on the IQfeed website. It would be pretty useful if I could download quotes directly into Excel.
Click here for a tutorial on DDE Link. If you use Excel regularly, consider a software designed to move IQFeed into Excel efficiently and with more functionality, such as QuoteIN or QCollector.
By the way, we have released IQFeed ver 5.0.0.14 which fixes an issue for SC users of all pre/post market quotes showing 4:00 timestamp.
Robert
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I have started an IQFeed free trial last week and I have been testing it.
My broker is IB and I am currently using Sierra Chart.
Up to now I am finding IQFeed very good. It is notorious the difference of speed on the tape and the accuracy on the charts.
However, there is something very strange when comparing Time & Sales data with both data feeds (IB and IQ T&S windows) side by side: there are no high volume trades registered with IQFeed.
For example on CL, with IQFeed the individual trade volume is very low – very rarely more than 20, 30 contracts – while with IB data feed we can observe very often trades with hundreds, even thousands of contracts.
Could you please explain the reason for that?
Thanks.
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Site Administrator Swing Trader Data Scientist & DevOps
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My guess, it's because IB is not sending true tick data. They are bursting. That means they are sending "groups" of data at fixed intervals, they might be combining the trades during that timeframe into one lump sum. I do know IB is very poor for tick data in general, but I have never used T&S on IB so I am only guessing on that front.
Another possibility would be if they are somehow counting their own darkpools that are executing off book in the T&S, like for all their own customers. You might be able to ask them if that is the case. It would seem odd but just guessing.
Regarding your first possibility, I thought about that too, but it also happens when the market is with low liquidity and I could confirm that watching the tape from IQfeed. The difference is too big.
As to the second possibility, I read before that Futures don't have dark pools, just stocks... Am I wrong?
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One easy, one not so much...
