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