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» Time&Sales, Options Tick info, missing 'Mkt Center', 'A Size', 'B Size' data.
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| Author | Topic: Time&Sales, Options Tick info, missing 'Mkt Center', 'A Size', 'B Size' data. (6 messages, Page 1 of 1) |
 AMA -DTN Evangelist- Posts: 183 Joined: Aug 1, 2007 |
Posted: Mar 26, 2010 04:18 PM
Msg. 1 of 6
Hi - I've expanded some of the Time & Sales Tick data I'm collecting for equity options.
Vanilla companies, such as some Dow 30 (IBM-ish type common options). Added 'Mkt Center', 'A Size', 'B Size', which correspond to the traded exchange, Ask size lots and Bid size lots. When I run this live in a tick window, I get data for all three of these fields. Works fine, no problemo... BUT, at the end of the day, if I click on the green refresh button, all of the other tick data I collect, such as TickID, etc, show up fine, but these three fields come up either empty or all zeros. What's up with this? This data should be retrievable, along with all of the other info that's refreshed. Running Win7, latest cuts of DTNIQ and the IQFeed, so software shouldn't be an issue... |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005 
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Posted: Mar 26, 2010 04:21 PM
Msg. 2 of 6
Hello AMA, when you click the green arror to refresh, new data is pulled in from our history servers. Unfortunately the market center, bidsize, and asksize fields are not available in historical data.
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sma202 -Interested User- Posts: 24 Joined: Nov 20, 2010 |
Posted: Dec 5, 2010 05:49 PM
Msg. 3 of 6
Hi, is there any plan to add BidSize, AskSize to the historical data requests?
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Dec 5, 2010 09:51 PM
Msg. 4 of 6
Are you looking for the Bid and Ask Size at the time of the trade, or historical quotes (bid/ask updates between the trades)? I am not sure of the value of providing the bid/ask size at the time of the trade but would be willing to listen if you have information that would justify adding this. We don't have any plans to provide historical quotes (between trades) within IQFeed since this is currently available via our NxCore service.
Jay Froscheiser DTN |
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sma202 -Interested User- Posts: 24 Joined: Nov 20, 2010 |
Posted: Dec 6, 2010 08:46 AM
Msg. 5 of 6
Jay,
Either one, bid/ask size at quote or trade would be better than nothing. You can't really backtest (without assuming very conservative assumptions) the liquidity and slippage during that period, i.e. the bid/ask size could be 10 but my strategy would be looking to fill 100 contracts. Thanks |
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stargrazer -DTN Guru- Posts: 302 Joined: Jun 13, 2005 
Right Here & Now |
Posted: Dec 6, 2010 09:01 AM
Msg. 6 of 6
Based upon what I've encountered in terms of real time quote, market depth, and book walking, I think trying to make use of any quote information at the time of trade is an exercise in futility.
If you are trying to back test strategies based upon quote level information (which implies book level information), you are probably best off recording quote/trade changes through a trading day, and then back testing based upon what you've recorded as being important. Bid/Ask values and sizes are very nebulous/transient in nature. You also have to be aware of the your round trips: the time to get the order to market, and when it gets executed (ie slippage), which is highly variable. And are you simulating market orders or limit orders? Simulations can have a hard time simulating 'touch' scenarios. In the end, for my simulations, I record quotes during the day, and simulate off that stream, pretty much ignoring trades but for their trending and volume indications. |
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