Lately, I have been toying with MBO data streamed from IQFeed and it seems to me there are instances, where the data is bugged.
Example #1
On 09.01.2023, up until 02:50:15 I am getting a message that a specific order (id=6412324004953) was last changed at "08.31.2023 15:59:31".
Then all of a sudden at 09.01.2023 2:53:52, Im notified that the order was last updated on "08.31.2023 15:59:59.654", with its price and volume being changed
The problem is that the summary message informing me of this last update came a couple of hours after the said update.
Example #2
On the same date, two consecutive MBP events happening on the same microsecond give the following picture
MBP UPDATE,Ask,4528.50,5 Orders for a total of 7 contracts
MBP UPDATE,Bid,4528.50,1 Order for a total of 1 contract
The problem is that before 4528.50 became the new Bid, there should have been an MBP DELETE and all the remaining orders sitting on the Ask were supposed to be deleted. But this didnt happen and as a result, I see a crossed book at a time of day where I would not expect it.
I contacted support with both of these issues and while for historical data, Gary is usually trying to help as best he can, this time his responses we're as dodgy as can be.
IQFeed offers this data really cheaply, so this is not complaining. I'm just quite surprised by this so in case someone else has expeirence with IQFeed MBO, I want to ask
Is this normal, that MBO data dont always make sense?
have other people found a workaround?