Support Board
Date/Time: Sun, 24 Nov 2024 04:09:47 +0000
"Jumpy" DOM Bid/Ask Prices
View Count: 2139
| [2013-09-23 19:52:08] |
| bfalk - Posts: 33 |
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For high-spread stocks like AAPL, I'm having issues with incorrect bid/ask prices. In the order of them being off by $0.50 or so for very short intervals. I'm comparing the bid/ask prices to my own program displaying L2 data. I'm not sure if IQFeed is providing incorrect L1, or that there is some issue with Sierra Chart. I have no issue with futures or low-spread equities like SPY. -Brandon |
| [2013-09-23 20:59:05] |
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Sierra Chart will definitely display the correct and most up-to-date Bid and Ask values from IQ Feed. Therefore, please contact IQ Feed about this.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2013-09-24 22:30:33] |
| bfalk - Posts: 33 |
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http://i.imgur.com/97xekQ9.png In this image: 2 sources of L2 data, 1 source of IQFeed 5.1 L1, and 1 source of IQFeed 4.9 L1 along with Sierra Chart. IQFeed L2 Reports: Bid 60 @ 489.60 | Ask 100 @ 489.87 IQFeed L1 Reports: Bid 100 @ 489.57 | Ask 100 @ 489.87 Sierra Chart Reports: Bid 100 @ 489.57 | Ask 1200 @ 490.00 IQFeed L1 and L2 seem to differ, however perhaps this has something to do with how exchanges give out data. However Sierra Chart also differs from both versions of IQFeed, even though IQFeed said there was a bid/ask update and Sierra Chart should have pulled these. Any ideas what is going on with Sierra Chart reporting 1200 @ 490.00? Perhaps it is looking for the 'b' after the time stamp saying there was a bid update, however according to IQFeed documentation "b - A bid update occurred (an ask update may also have occurred)". Perhaps it's going with the last reported 'a' price and not updating asks on a 'b' message? Nevertheless, I'll probably work in IQFeed L2 support using the GSP bridge. -Brandon |
| [2013-09-24 22:36:53] |
| bfalk - Posts: 33 |
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The numbers IQFeed reports do happen to be the 'newest' bid/ask prices, but not the best ones. Perhaps that's an issue? I can talk with IQFeed as well, however it seems that neither the L2 nor L1 streams from IQFeed are reporting that 490.00 is the best ask price.
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| [2013-09-24 22:40:26] |
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To be safe Sierra Chart updates the bid and ask provided on every level 1 update message from the IQ feed client software. If you need any help with GSP, just let us know. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2013-09-24 22:46:16] |
| bfalk - Posts: 33 |
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That doesn't explain how the ask is different than the latest L1 ask price from IQFeed (for both 5.1 and 4.9 protocols). However I'm not too worried about it, I'll just use external programs for bid/ask prices until my GSP stuff is done (given I can find time to do it).
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| [2013-09-24 23:45:43] |
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The only logical explanation is that what you see is what is provided by IQ Feed in the latest Level 1 update message. It would be exceptionally unlikely for there to be any other explanation and we do not believe there is another explanation. What you see from IQ Feeds own software is not necessarily showing you the most recent bid and ask price in the latest level 1 message. We would think they would, but are you sure. No need to answer that for us. Just a question for yourself. This is the only reasonable explanation is that they are not showing the latest bid and ask in all cases. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2013-09-24 23:47:46
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