I guess what I was really asking in last question was what is the best way to receive bid and ask updates?

Should I always update my "current" price and size statistics for both ask and bid when I receive a "HH:MMt" TRADE update using the bid, bid size, ask and ask size fields?

Should I always update my "current" price and size statistics for both ask and bid when I receive a "HH:MMb" BID update using the bid, bid size, ask and ask size fields?

Will I ever receive a "HH:MMa" ASK update?

Hope this clarifies a bit...

"HH:MMt" would always be a trade and you should only update the trade fields, not the quote fields.

"HH:MMb" would be for quotes and you should update the bid, ask bidsize and asksize and not the trade fields.

Steve mentioned in his email that since these are the BEST quotes only (IQ feed only sends the best quotes), so if there is a bid then there will also be an ask, so you update all quote fields. The BEST is from the BBO appendages and are sent from the exchanges (at the current time) in unison. This is not to say that both sides have *changed*, only that you will receive both sides for every best quote.

My only request for IQFeed is that at some point in time I would like to see the individual exchanges for both sides (IE were the best bid is from and where the best ask is from).

- Jeff

It is "possible" that the last, bid, and ask fields will all update in the same message. To be honest, I don't know if it ever happens or how frequently without doing quite a bit of research but it is definately possible if the exchanges ever send them in the same message.

The information in an update message (Q) is always the most current information.


Concerning the request to add the market center from which the best bid and best ask are applicable to, this is certainly possible to add in the future (not in this current release). I will research this further.

In the meantime, it is possible for you to obtain this information through the Regional data that IQFeed provides. Although I would warn that, when you turn on regionals for a symbol, you will be receiving the best bid/ask individually for EVERY regional exchange that symbol quotes on. This will be a very large amount of data. The last time I tested it (about 9 months ago), I saw approximately 3 times the amount of data (overall bytes processed) than just watching a symbol normally.

Oh yea of course....and don't forget the redundant NASDAQ regional-BBO quotes....

- Jeff