Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"I am enjoying the feed very much - so superior to the broker provided feed I was previously using." - Comment from George
"I use IQ Feed, Great stuff as far as data analysis information, storage and retrieval is concerned." - Comment from Public Forum
"The service is great, I see a noticeable improvement in my volume profiles over [broker]'s data feed" - Comment from Larry
"I noticed that ******* quotes locked up shortly after the interest rate announcement yesterday while yours stayed stable." - Comment from Ron in Utah
"And by the way, have to say this. I love the IQFeed software. It's rock solid and it has a really nice API." - Comment from Thomas via RT Chat
"I was with ******* for 4 years at $230 a month, this is a huge savings for me, GOD BLESS YOU PEOPLE," - Comment from T.S. via Email
"IQFeed version 4 is a real screamer compared to anything else I have seen." - Comment from Tom
"Its working FABULOUSLY for me!! Holy cow...there has been so much I've been missing lately, and with this feed and Linnsoft software...I'm in the game now." - Comment from Chris R.
"I am very happy I changed. I love the product, but more so I am thrilled with Tech Support. You are knowledgeable, polite, pleasant and professional." - Comment from Pat
"After all the anxiety I had with my previous data provider it is a relief not to have to worry about data speed and integrity." - Comment from Eamonn
Home  Search  Register  Login  Blogs Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTN_IQFeed on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »IQFeed Developer »IQFeed Developer Support »Tick trade side
Author Topic: Tick trade side (7 messages, Page 1 of 1)

Ariloum
-Interested User-
Posts: 20
Joined: Oct 22, 2014


Posted: Apr 26, 2016 02:09 AM          Msg. 1 of 7
Hello, is there any possibility to get the tick trade side - I mean how to know it was buy or sell?
Because Multicharts could detect this side pretty well when it's used with iqfeed, how is it possible?

DTN_Tim Walter
-DTN Guru-
Posts: 1222
Joined: Apr 25, 2006


Posted: Apr 26, 2016 08:14 AM          Msg. 2 of 7
We do not provide a flag for this. Each trade message does come through with the bid and ask size immediately preceding the trade. You can then discern this flag, if the trade was at 100.00 and the bid was 100.00, while the ask was at 100.25, the ask clearly had to move for the trade to have occurred.

In short, if last price == bid price, the trade occurred on the bid, else it occurred on the ask.

Tim

Ariloum
-Interested User-
Posts: 20
Joined: Oct 22, 2014


Posted: Apr 27, 2016 03:14 AM          Msg. 3 of 7
What protocol version should I use to obtain previous trade size and how did you call the names of fields for that?

Is it still possible to deal with trades which comes exactly at the middle between ask/bid?
For example, lets say SPY bid = 202.51 and ask=202.52 and there are many trades with price = 202.515.

DTN_Tim Walter
-DTN Guru-
Posts: 1222
Joined: Apr 25, 2006


Posted: Apr 27, 2016 08:11 AM          Msg. 4 of 7
Every protocol has this data. The fields are the Bid, Ask, and whichever Last price you are looking at. I

Choosing your fieldsets is a process detailed here. http://www.iqfeed.net/dev/api/docs/DynamicFieldsets.cfm

On futures markets, I don't believe this should happen. On equities, no I do not have a way to guarantee in that circumstance.

Tim

Ariloum
-Interested User-
Posts: 20
Joined: Oct 22, 2014


Posted: Apr 27, 2016 02:56 PM          Msg. 5 of 7
I know about bid and ask PRICE, but you told about bid and ask SIZE and that confused me because it's different things.
So, on just shares like nyse/nasdaq there is no way to know the true trade side?
That way you descrbed not working for SPY and others because SPY, for example, do have 30% of trades in the middle (prices like 202.515 like in example I told earlier).
But then how did Multicharts could know the trade side with such precision?

DTN_Tim Walter
-DTN Guru-
Posts: 1222
Joined: Apr 25, 2006


Posted: Apr 27, 2016 03:06 PM          Msg. 6 of 7
Sorry for the confusion, there are probably using some algorithim to deal with those scenarios, but what it is I do not know, you would need to ask them to be sure.

Tim

Ryan
-Interested User-
Posts: 14
Joined: May 17, 2012


Posted: Aug 10, 2016 03:00 PM          Msg. 7 of 7
If you really want to re-construct buyers v sellers at the tick level, start here:

https://www.acsu.buffalo.edu/~keechung/MGF743/Readings/Inferring%20trade%20direction%20from%20intraday%20data.pdf

and then search for "Lee and Ready (1991) Algorithm" for more recent follow-up studies.
 

 

Time: Wed September 19, 2018 5:33 AM CFBB v1.2.0 47 ms.
© AderSoftware 2002-2003