As it stands now when you query historical tick data you only get trades, no quotes. I understand NxCore has this, so surely you have access to the right data. I really shouldn't have to go to the more expensive NxCore to get the missing quotes that goes with the trades for historical.

Many thanks.

Thank you for your request. We will make note of it and continue to monitor demand to determine if it makes sense to dedicate our IQFeed server resources to storing historical quote data for our IQFeed service. Further explanation is available in your other post at http://forums.dtn.com/index.cfm?page=topic&topicID=2572.

I want to make sure we have clearly communicated that we do store the quote information "with the trades". In other words, our history includes the bid and ask price at the time of the trade, which is what the majority of traders out there are looking for.

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Jay Froscheiser
DTN

Yes I understand this, however this is not sufficient for the kind of analysis I'm doing. I appreciate your situation. The best thing I can think of is to just offer it on a different server and only tell those who ask for it. That would mean the server could be much cheaper. I don't even need it to be that performant for backfilling. I am at a crossroads where if I can't find it elsewhere for reasonable fee in addition to what I'm paying for IQ, I'll have to move on to a fully different vendor.

Thank you for the posts above, they are the answer to the questions I was about to present to tech support.

I am a new costumer to whom this detail didn’t occur checking BEFORE subscribing IQFeed + API services. To me it just didn’t make sense that the best historical data that one could retrieve had a lower quality that the real time data.

AFTER subscribing these services I am now facing this fact: if for some small reason like loosing internet connection I stop collecting real time data, part of the information is gone forever, even if I try to retrieve it a couple of minutes later.

I have to agree with ArgyleSocks on the following: offering this option on a different server and only tell those who ask for it wouldn’t be that hard and costly for the time being. Moreover, I also think that one should always have a second chance to get ANY peace of data, regardless of how many people are interested in it. Therefore I think this should have high priority as an enhancement of the following version of IQFeed.

I also just signed up for IQFeed and I am disappointed to find that you don't provide all bid ask quotes in the historical tick data. My old vendor provide one week of past bid ask tick data which worked well for me. That would not require a lot of additional storage to provide. It does require about five times the bandwidth over the trade only ticks. I would suggest only making it available when the markets are closed. I need those prices. I may have to go back to my old vendor.

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Paul Sawyer

As you are saying above that you monitor demand, I'd like to add a +1 for storing in-between quotes. Especially with stock options, which sometimes only have a few trades per day, history without these is often not useful. Optionally having quotes between trades would be a great feature, even if available only after hours, and/or only for a more limited time backwards, as suggested above. (Personally, I think I would not need changes in bid/ask size, only changes in bid/ask price. However, that could perhaps be optional, based on the fields asked for, or so).

You could cut down on band width requirements using compression. I store all of my tick data using a simple compression system that yields on average around five to one compression. I am sure that other compression systems would give even greater compression. My system allows me to also keep data sets compressed in RAM and decompress them on the fly while I back test. It does require me to store ask, bid and trades in separate files but that should work well for your business as well.

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Paul Sawyer

Historical bid/ask changes should really be included. Maybe not every bid/ask size change, but at least if the price level changes we should see that in the feed. Maybe coalesce the size changes to some max frequency if necessary.

Adding historical bid/ask quotes is on our roadmap. Unfortunately I cannot provide any specific information on an ETA or how many days of historical bid/ask quotes we will be providing.

When I have more information to share I will post it in our forums.

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Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
stephen.shockey@dtn.com