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»Forums Index »NEW IQFEED FORUMS »Data Questions »Bid Size and Ask Size on tick data for options
Author Topic: Bid Size and Ask Size on tick data for options (3 messages, Page 1 of 1)

step999
-Interested User-
Posts: 16
Joined: May 6, 2022


Posted: Sep 15, 2022 01:31 PM          Msg. 1 of 3
I am not seeing Bid Size or Ask Size on tick data for options (on AAPL for example). I am getting Bid and Ask Prices, and the Most Recent Trade Price and Size, but no Sizes for Bid or Ask.

I am using an HTT request for tick data.

Also I am using this:

"S,SELECT UPDATE FIELDS,Symbol,Most Recent Trade,Most Recent Trade Size,Most Recent Trade TimeMS,Most Recent Trade Market Center,Total Volume,Bid,Bid Size,Ask,Ask Size,Open,High,Low,Close,Message Contents,Most Recent Trade Conditions"

Are the Bid Size and Ask Size stored and broadcast by IQfeed for US option tick data?

And if so, how can I access these?

Thanks

DTN_Stephen
-DTN Guru-
Posts: 453
Joined: Aug 22, 2014


Posted: Sep 15, 2022 01:57 PM          Msg. 2 of 3
We do not save Bid Size or Ask Size historically. They can be recieved in the streaming data and you can save them into a database if you would like.

I have provided a screenshot of an aapl option that is showing quotes of bid/ask size in real time. As they become historical they are not saved.

You can utilize our Time and Sales application which can be located on your desktop under IQ Feed Applications to monitor or test this. Please make sure to go into settings and check the box "Enable Quote Updates"

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net



File Attached: bid-ask.png (downloaded 339 times)

step999
-Interested User-
Posts: 16
Joined: May 6, 2022


Posted: Sep 15, 2022 03:45 PM          Msg. 3 of 3
Hi DTN Stephen,

Thanks for your prompt reply. It is helpful to know the option history ticks do not have Bid Size or Ask Size.

Yes I am aware that the real time data would have these Sizes, but I do not yet have the code to store this info, so I was looking for a historical source.

Thank you very much for your information and your PNG file.

Best regards
 

 

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