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Data Capture of IQFeed Market Depth
http://www.smartquant.com/forums/viewtopic.php?f=41&t=10839
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Author:  peek [ Mon Sep 22, 2014 2:36 am ]
Post subject:  Data Capture of IQFeed Market Depth

Hi
I am subscribed to Market Depth for futures in IQFeed.
I can see for NYMEX say the 10 best bids and offers.

Yet in OpenQuant when I run Data Capture or Quote Viewer, no Market Depth is displayed or recorded.

I cross checked that OpenQuant can do this for IB FX data successfully.

Why is Market Depth not recording in OpenQuant? Is it not enabled? Please advise.

Thanks

Author:  Dr. Anton Fokin [ Mon Sep 22, 2014 9:44 am ]
Post subject:  Re: Data Capture of IQFeed Market Depth

Hi,

historically IQFeed plugin was developed by a third party developer and it doesn't support Level2 data. One of the reasons is the fact that IQFeed Level2 feed is a collection of best bid/ask quotes from different market makers, but not aggregated order book http://forums.dtniq.com/index.cfm?page= ... picID=2588 . Perhaps this situation has changed and we should look back into Level2 support.

Regards,
Anton

Author:  Dr. Anton Fokin [ Mon Sep 22, 2014 10:10 am ]
Post subject:  Re: Data Capture of IQFeed Market Depth

Hi again,

actually I've misleaded you. Level2 is implemented in the adapter. We will check that it works when US markets are up and let you know.

Regards,
Anton

Author:  Dr. Anton Fokin [ Mon Sep 22, 2014 5:23 pm ]
Post subject:  Re: Data Capture of IQFeed Market Depth

We've checked it with futures market depth and it works. Could you try to get the order book view for futures?

Image

Author:  peek [ Tue Sep 23, 2014 5:31 am ]
Post subject:  Re: Data Capture of IQFeed Market Depth

I can see depths in IQ Market depth viewer application that comes with IQfeed.

In Quote Monitor I can see best bid price, best bid size, best ask price and best ask size.

I can open Quote Monitor / right click symbol -> view order book. This shows an empty order book pop up that never updates.

Can you specify your complete symbol definition for @ESZ14.

Author:  skuvv [ Tue Sep 23, 2014 8:28 am ]
Post subject:  Re: Data Capture of IQFeed Market Depth

Hello, Peek.
I will try to help you with L2.
First of all you should verify that parameter UseLevel2=true in IQFeed adapter settings.
For ESZ ticker you should enter symbol only.

Attachments:
File comment: ESZ settings
esz14.png
esz14.png [ 11.81 KiB | Viewed 9177 times ]

Author:  peek [ Tue Sep 23, 2014 3:09 pm ]
Post subject:  Re: Data Capture of IQFeed Market Depth

Issue solved : parameter UseLevel2=false in IQFeed adapter settings changed to UseLevel2=true

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