Hi,

I would like to get a better understanding of how to refresh market depth data from iqfeed.

Let's say the current bid price of depth level 5 (MD05) is 1138.5. Now, I got a new MD05 update and the price of this new depth level 5 (MD05) bid price is 1138.25. Should I remove the bid information at the 1138.5 (i.e. the old MD05) before I update the bid price 1138.25? If I remove the bid price at 1138.5, I have concern that I had removed valid data as 1138.5 is MD04 now. If iqfeed doesn't give me an MD04 update afterward, I will leave a hole in the DOM.

In IB api, their level 2 data give us instruction whether we need to insert or remove a particular row. Unfortunately, we don't have that in iqfeed and thus we would like to clarify the update strategy.

Thanks,

Hello, when dealing with IQFeed's Level 2 feed, you can always assume that what we send is a replacment for the previous value. We will send every row that needs updated due to a change.

In your example, if you receive only an MD05, then only the MD05 row should be updated. We will send a new MD04 along with the MD05 if both need updated.

Steve,

Thanks for the reply. If we just update without delete, we will leave old values at the edge of market depth in the DOM when the whole market depth shift up or down. It will be helpful if the reason code can really inform us to do a delete but it seems that it is still unused according to the documentation.