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»Forums Index »Product Support »IQFeed Datafeed Wish List »Sequential Level1 and Level2 updates.
Author Topic: Sequential Level1 and Level2 updates. (1 messages, Page 1 of 1)

aQuant
-Interested User-
Posts: 28
Joined: Jul 20, 2012


Posted: Oct 17, 2014 02:50 PM          Msg. 1 of 1
Hello,

one thing that may be beneficial to sophisticated individuals with a limited budget (below NaNex prices) would be if Level1 updates and Level2 updates could come in a single sequence just as they do from CME for example. In other words the two feeds which are now 'independent' entities would come in a single sequence so that synchronization is guaranteed. For sophisticated orderflow analysis one needs to see certain events in the sequence they happened (trades interleaved with bid/ask size/orderbook updates). It is practically impossible to synchronize two independent L1 and L2 feeds even with millisecond timestamps-other than assuming neither of the feeds has any errors/omissions. Is an implementation of this feature conceivable?
 

 

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