Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"IQ feed works very well, does not have all of the normal interruptions I have grown used to on *******" - Comment from Mark
"I cannot believe what a difference it makes trading with ProphetX!" - Comment from Bruce in Los Angeles
"I have to tell you though that using the IQFeed API is about the easiest and cleanest I have seen for some time." - Comment from Jim
"You are much better than lawyers or the phone company because you answer the phone when I call! I just love your customer service." - Comment from Isreal
"DTN has never given me problems. It is incredibly stable. In fact I've occasionally lost the data feed from Interactive Brokers, but still been able to trade because I'm getting good data from DTN." - Comment from Leighton
"Thank you so much - awesome feed, awesome service!" - Comment from Greg via Email
"There is no doubt that IQFeed is the best data provider. I am very satisfied with your services. And IQFeed is the only one that I would recommend to my friends. Now, most of them are using your product in China." - Comment from Zhezhe
"Thanks for following up with me. You guys do a great job in tech support." - Comment from Phelps
"Can I get another account from you? I am tired of ******* going down so often" - Comment from George
"Just a quick one to say I'm very impressed so far :) The documentation for developers is excellent and I've quickly managed to get an app written to do historical downloads. The system is very robust and pretty quick considering the extent of data that's available. The support guys have been very helpful too, in combination with the forums it's been plain sailing so far!" - Comment from Adam
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »Product Support »IQFeed Datafeed Wish List »Sequential Level1 and Level2 updates.
Author Topic: Sequential Level1 and Level2 updates. (2 messages, Page 1 of 1)

aQuant
-Interested User-
Posts: 40
Joined: Jul 20, 2012


Posted: Oct 17, 2014 02:50 PM          Msg. 1 of 2
Hello,

one thing that may be beneficial to sophisticated individuals with a limited budget (below NaNex prices) would be if Level1 updates and Level2 updates could come in a single sequence just as they do from CME for example. In other words the two feeds which are now 'independent' entities would come in a single sequence so that synchronization is guaranteed. For sophisticated orderflow analysis one needs to see certain events in the sequence they happened (trades interleaved with bid/ask size/orderbook updates). It is practically impossible to synchronize two independent L1 and L2 feeds even with millisecond timestamps-other than assuming neither of the feeds has any errors/omissions. Is an implementation of this feature conceivable?

aQuant
-Interested User-
Posts: 40
Joined: Jul 20, 2012


Posted: Oct 23, 2019 08:18 PM          Msg. 2 of 2
I requested this 5 years ago... but I understand the separation of L1 and L2 feeds is probably important and convenient organization of the feed data.

However, can we request the messages to contain a new field, message sequence ID, that comes directly from the exchange for both L1 and L2 update messages? This would allow the client to synchronize on their end. And you must be already parsing those from say CME in your data processing anyway. You could just pass them along (as optional field) to the client.
See
https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+FIX+Tag+Library
and tag 83 message field described as:
Tag: RptSeq
FIX Type: Int
Description: MD Entry sequence number per instrument update. Reset weekly.
 

 

Time: Fri November 22, 2019 1:12 AM CFBB v1.2.0 47 ms.
© AderSoftware 2002-2003