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trader2021 has contributed to 8 posts out of 19808 total posts (0.04%) in 156 days (0.05 posts per day).

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Are the trade conditions on some web page or text file? I'm not setup currently to be able to get commands over the STC?


Thank you so much for the detaled explanation. I understand it much better now. Couple of followup questions:

1. Can a trade and quote update be combined? So will I see Cab or some combination of that?
2. Can you give me examples of what C trades types are and what E or O are? In particular, I'm looking for trades which are current and happen on the current book. Don't want to process trades that are not done in the market at the current time.


Maybe I was not not clear. Let's assume the market has no trade in a 5 minute interval and the bid/ask move 5 times in that interval.

Will I see 5 update messages? What will be in the most recent trade column? How will I know that that these 5 updates were for only book updates and no trades happened in these 5 update messages?


Also, thanks for the clarification on the tickid and where the tickid might be the same for all trades grouped together by CME.

1. If the same update messages groups quote updates and tick updates. How will I know if the update message is for a top of book level 1 update or a tick trade. I can't use tickid since tickid can be the same for new trades as well)

I need a way to know that this is only a quote update/or a trade update or both.


Sorry, I'm still confused. If I wanted to only top of the book quotes and updates. Is that included in the standard package? Or are the top of book quotes an added package? I see that on each tick I get the best bid ask offer? ( i only trade futures so it's only one exchange).

Will the tick updates also get updated when the best bid/ask changes and there is no trade?


Thank you for your reply. Comments/questions below:

1. Ok, so 5009 only does trades (is that what you call a tick?)
2. Do I have to subscribe to market depth or is that included?
3. How do I know what comes from the exchange and what from dtn and most importantly what is calculated from iqconnect on my computer.
4. I don't understand "TickIDs don't necessarily increment" if they get incremented for each tick? for a non forex symbol it should increment with each message?


Couple of questions on:

http://www.iqfeed.net/dev/api/docs//Level1UpdateSummaryMessage.cfm

1. How do I distinguish trade data from level 1 book updates?
2. is the book always provided on a trade update?
3. Is the VWAP for CME calculated in iqconnect.exe or calculated by your server or exchange?
4. What is TickID? Is that a sequence which gets incremented for each quote update? Or is it increment for each trade?
5. If two trades happen at the same price and same time, do you sum them and send them in one message?
6. What about numtrades?

If iqconnects shuts crashes and is not connected for some time, when it reconects will the fields it calculates be correct (in other words) does it fill gaps?

IQFeed Developer Wish List » Support for Linux API for the datafeed? Apr 27, 2020 10:56 PM (Total replies: 26)

+1 here


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