12-16-2004
I plot ES#F on both Tick and Vol charts, currently with Esignal feed.
I am doing a comparison between eSignal data feed and IQFeed.
I have noticed that:
- Vol charts e.g 5000V charts looks identical on both feeds
- Tick charts e.g 777T charts , iqfeed creates much lesser number
of bars than Esignal. ( I have refreshed many times and plot for
a number of days)
This is strange because if Vol charts are identical, it means that
the ticks receive from both feeds must be identical since vol is
build from ticks, then how come the 777T charts which also builds
from
ticks are different?
thank you
Answer:
IQFeed and eSignal are paying for different levels of service from
the exchange.
For the higher level which is more expensive used by eSignal, the exchange
sends every tick
which as an example might have tick volumes of 10, 3, 1 all at the
same price of 1105.
The lower level less expensive feed used by IQFeed, the exchange chunks
the above to
be a single tick at 1105 with volume 14. Thus the lower level feed
takes less bandwidth
to output the trade information, 1 tick instead of 3 ticks. I am not
sure the logic for making
a chunk, whether the 3 ticks had to all be within a certain period
of time, like in the same
second or two of each other. They do always seem to be at the same
price. If the price
changes then they would sent as separated ticks.
Or another possibility is counting which side of the trade the ticks
take place. If for example
I put in an order to trade 14, and it gets filled piece-meal as 10,
then 3, then 1, is that a single
trade by me with a volume of 14, or is that three trades by others
at volumes 10, 3 and 1 ?
So, this is why you will have identical volume charts. All volume is
accounted for.
Yet counting ticks will be different. The same issue affects counting
ticks on DTN satellite
which matches ticks on IQFeed, and counting ticks on IB feed (even
lower tick count).
Sincerely, Howard Arrington
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