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»Forums Index »Product Support »Data and Content Support »Aggregation
Author Topic: Aggregation (2 messages, Page 1 of 1)

bob7123
-Interested User-
Posts: 24
Joined: Sep 5, 2012


Posted: Oct 21, 2016 06:45 AM          Msg. 1 of 2
Hi,

I recently heard in a webinar that IQFeed is starting to work to re-aggregate orders using CME tag 346. Also I was shown this web page:

http://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Trade+Summary+Order+Level+Detail

Are there fields associated with this effort that I can use now to try to reconstruct large orders?

If not, is this something that you guys are working on? Maybe see something will be in an upcoming beta?

Thanks in advance,
-Bob

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1736
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Oct 21, 2016 08:47 AM          Msg. 2 of 2
Bob, we don't have any plans to provide a bundled/summary feed. Our customers overwhelmingly prefer the fact that we unbundle the information provided in the MDP 3 protocol.

We are however working to bring additional information to our customers that will give them more insight into the makeup of trades. This includes Tag 346 as well as a few others. I don't have timing for when this will be made available, but it is on our roadmap and will be implemented along with other enhancements we are working on for IQFeed.

Right now, a user can determine trades that we unbundled from the exchange by looking at the TickID field as all trades that we unbundled will have the same TickID.

Jay Froscheiser
Vice President, Active Trader Products
 

 

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