NexusFi: Find Your Edge


Home Menu

 





DTN IQFeed's Dave Forss (Business Development Manager) - Ask Me Anything (AMA)


Discussion in Brokers

Updated
      Top Posters
    1. looks_one Robert Carrillo with 84 posts (167 thanks)
    2. looks_two Big Mike with 52 posts (114 thanks)
    3. looks_3 IQFeed James with 31 posts (49 thanks)
    4. looks_4 josh with 19 posts (37 thanks)
      Best Posters
    1. looks_one Big Mike with 2.2 thanks per post
    2. looks_two Robert Carrillo with 2 thanks per post
    3. looks_3 josh with 1.9 thanks per post
    4. looks_4 IQFeed James with 1.6 thanks per post
    1. trending_up 135,508 views
    2. thumb_up 531 thanks given
    3. group 53 followers
    1. forum 316 posts
    2. attach_file 20 attachments




 
Search this Thread

DTN IQFeed's Dave Forss (Business Development Manager) - Ask Me Anything (AMA)

  #21 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,322 since Jun 2009
Thanks Given: 33,143
Thanks Received: 101,476


PositiveDeviant View Post
Why are they different?

Discussed in great detail here:


You can also see here some info:


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.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
The following 6 users say Thank You to Big Mike for this post:

Can you help answer these questions
from other members on NexusFi?
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
NexusFi Journal Challenge - April 2024
Feedback and Announcements
Request for MACD with option to use different MAs for fa …
NinjaTrader
ZombieSqueeze
Platforms and Indicators
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Retail Trading As An Industry
58 thanks
Battlestations: Show us your trading desks!
50 thanks
NexusFi site changelog and issues/problem reporting
47 thanks
GFIs1 1 DAX trade per day journal
32 thanks
What percentage per day is possible? [Poll]
31 thanks

  #22 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,322 since Jun 2009
Thanks Given: 33,143
Thanks Received: 101,476


PositiveDeviant View Post
I'm on a 30 day trial with DTN IQ Feed, using it with Multicharts, and so far I'm impressed.

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.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
The following 4 users say Thank You to Big Mike for this post:
  #23 (permalink)
 
Robert Carrillo's Avatar
 Robert Carrillo 
Omaha NE
 
Experience: Intermediate
Platform: IQFeed compatible
Trading: ES
Posts: 271 since Jun 2012
Thanks Given: 234
Thanks Received: 376



PositiveDeviant View Post
I'm on a 30 day trial with DTN IQ Feed, using it with Multicharts, and so far I'm impressed.

...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.

Why are they different?

Hi PositiveDeviant,

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

Reply With Quote
The following 8 users say Thank You to Robert Carrillo for this post:
  #24 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,322 since Jun 2009
Thanks Given: 33,143
Thanks Received: 101,476

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.

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
The following 4 users say Thank You to Big Mike for this post:
  #25 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,322 since Jun 2009
Thanks Given: 33,143
Thanks Received: 101,476

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?

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
The following user says Thank You to Big Mike for this post:
  #26 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,322 since Jun 2009
Thanks Given: 33,143
Thanks Received: 101,476

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)?

Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
  #27 (permalink)
 
Robert Carrillo's Avatar
 Robert Carrillo 
Omaha NE
 
Experience: Intermediate
Platform: IQFeed compatible
Trading: ES
Posts: 271 since Jun 2012
Thanks Given: 234
Thanks Received: 376


Big Mike View Post
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.

Mike

Hi Mike,

We did tweak the compression of the data in 4.9.0.3, so it likely does appear faster. Results will vary depending on individual setups, ISP, etc.

Thanks.

Robert

Reply With Quote
The following 4 users say Thank You to Robert Carrillo for this post:
  #28 (permalink)
 
Robert Carrillo's Avatar
 Robert Carrillo 
Omaha NE
 
Experience: Intermediate
Platform: IQFeed compatible
Trading: ES
Posts: 271 since Jun 2012
Thanks Given: 234
Thanks Received: 376


Big Mike View Post
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?

Level 3 is for market makers to enter orders to the NASDAQ matching engine.


Quoting 
Is there any other way for us retail guys to get this advantage?

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

Reply With Quote
The following 6 users say Thank You to Robert Carrillo for this post:
  #29 (permalink)
 
Robert Carrillo's Avatar
 Robert Carrillo 
Omaha NE
 
Experience: Intermediate
Platform: IQFeed compatible
Trading: ES
Posts: 271 since Jun 2012
Thanks Given: 234
Thanks Received: 376


Big Mike View Post
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.

Trade Reporting Frequently Asked Questions - FINRA


Quoting 
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?

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.


Quoting 
Does this practice occur only in equities, or is it "legal" in the futures market (ie: CME)?

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

Reply With Quote
The following 5 users say Thank You to Robert Carrillo for this post:
  #30 (permalink)
 
CFuture's Avatar
 CFuture 
cologne, europe
 
Experience: Advanced
Trading: Futures
Posts: 234 since Mar 2011
Thanks Given: 350
Thanks Received: 197


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?

Reply With Quote
The following user says Thank You to CFuture for this post:





Last Updated on August 22, 2021


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts