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» Option Level 1 stream, cannot get the actual bid & ask sizes
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| Author | Topic: Option Level 1 stream, cannot get the actual bid & ask sizes (1 messages, Page 1 of 1) |
 buscq9421 -Interested User- Posts: 10 Joined: Jan 26, 2019 |
Posted: Feb 4, 2019 10:14 PM
Msg. 1 of 1
When streaming level 1 quotes for option contracts, IQFeed sends bid and ask info from each market center. But only the most recent update message is reliable. Any prior update messages (about other market centers) received might have become stale without us being told so. That makes us unable to get the overall (across all market centers) bid and ask sizes available at the best bid and ask price.
An equity/stock example that demonstrate the point: The first bid update for the market center 80 is (30.7500,200,12:36:40.361614,80) and the next bid update is (30.7000,100,12:44:09.891965,80). So, between 12:36:40.361614 and 12:44:09.891965, one would thought there are 200 shares @ 30.75 in market center 80 and that the offer is live for the 8 minutes. However, by looking at updates from other market centers, the bid price have lowered in these 8 minutes. Ex. In market center 5 at 12:43:55.500793, bid info is (30.7000,100,12:43:55.500793,5) and the ask info is (30.7100,300,12:43:55.500793,5). This falsely suggests that there is an arbitrage opportunity. As per IQFeed support, the issue here is that not all updates in market center 80 are sent by IQFeed; only NBBO quotes are sent. For stock, we can use regional quote to alleviate this issue but it's not gone completely. Plus, regional quotes are not available for options and staleness is a bigger issue for option contracts than stocks because options tend to be less frequently updated. So my understanding is: for options, the only reliable quote is the most recent update message received. Any prior update messages (about other market centers) received might have become stale without us being told so. That makes us unable to get the overall (across all market centers) bid and ask sizes available at the best bid and ask price. Does anyone else notice this issue? What are some possible workaround? Edited by buscq9421 on Feb 5, 2019 at 08:51 AM Edited by buscq9421 on Feb 5, 2019 at 08:51 AM Edited by buscq9421 on Feb 5, 2019 at 08:52 AM Edited by buscq9421 on Feb 5, 2019 at 08:53 AM Edited by buscq9421 on Feb 5, 2019 at 09:07 AM |
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