Robert Carrillo 

Please PM me with your IQFeed Username so we can investigate. Robert

I've forwarded your post to IQFeed Support and asked them to investigate or email you directly to resolve. Thanks again.

Rui S 

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.

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.

Mike

Rui S 

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.

Do not compare IB T&S with IQFeed T&S.

IQFeed is true tick data whereas IB data is not.
The same thing when looking at the DOM. Do not trust the volume traded at each level.

If you want true tick data, which I assume you want since you're using Sierra, there's no better feed than IQFeed.

Big Mike 

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. Mike

Thank you for your reply Big Mike.

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?

arnie 

Do not compare IB T&S with IQFeed T&S. IQFeed is true tick data whereas IB data is not. The same thing when looking at the DOM. Do not trust the volume traded at each level. If you want true tick data, which I assume you want since you're using Sierra, there's no better feed than IQFeed.

Thanks for your reply arnie.

I understand that IQFeed is far better than IB data feed and that's why I'm subscribing it.

Regarding to the DOM, I have them side by side and I can't notice much difference except for a little lag when the market is very fast.

Having true tick data is good but if the volume data is not complete and doesn't show high volume trades it can be very misleading...

Out of curiosity, what symbol are you using?

Robert Carrillo 

Out of curiosity, what symbol are you using?

BAM! I bet he is using the pit only or something.

Mike

Big Mike 

BAM! I bet he is using the pit only or something. Mike

Just occurred to me. We'll find out.

Robert Carrillo 

Out of curiosity, what symbol are you using?

The symbol I'm using is "QCLU13 | September 2013".

Is it wrong?

Rui S 

The symbol I'm using is "QCLU13 | September 2013". Is it wrong?

That's correct. I want Support's input on this. I'm asking them to email you within next 10 min or so to make sure everything's in place.

Update: Curtis with Support just emailed explanation.