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»Forums Index »IQFeed Developer »IQFeed Developer Support »Message Contents in Historical Data
Author Topic: Message Contents in Historical Data (6 messages, Page 1 of 1)

karthikkrishnan
-Interested User-
Posts: 22
Joined: Nov 4, 2015


Posted: Feb 27, 2021 05:01 PM          Msg. 1 of 6
Does historical tick data include a way to be able to tell if there was a bid/ask update without any trade happening. I see a relevant discussion in http://forums.iqfeed.net/index.cfm?page=topic&topicID=5722

Specifically, I am trying to assemble a data set that includes trade data as well as NBBO (not looking for depth). Is this possible in historical data ?

DTN_Stephen
-DTN Guru-
Posts: 358
Joined: Aug 22, 2014


Posted: Mar 1, 2021 07:25 AM          Msg. 2 of 6
There is not a way to see if there was a bid/ask quote happening between the trade historically.

We do not store historical bid/ask data on Quotes. We only store bid/ask data historically on the trade.

Please keep in mind you can capture streaming bid/ask quotes in real time as they happen for later review.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

karthikkrishnan
-Interested User-
Posts: 22
Joined: Nov 4, 2015


Posted: Mar 1, 2021 12:16 PM          Msg. 3 of 6
Ok. Thanks. One follow up question specific to how historical data is constructed. When you say "bid/ask data historically on the trade, does the data arrive as-is from the exchange or is it constructed by you at the time of trade from quote data. For example, say historical data has a data point
timestamp = 09:30:00.043403
last_price = 241.25
bid = 241.21
ask = 241.3

Is it guaranteed that the bid/ask data here is not from the future ? I guess, I am trying to find if the timestamp corresponding to bid/ask quote is *guaranteed* to be on-or-before the trade tick

DTN_Stephen
-DTN Guru-
Posts: 358
Joined: Aug 22, 2014


Posted: Mar 1, 2021 01:46 PM          Msg. 4 of 6
Please be more specific, what type of market data are you referring too, Equities or Futures?

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

karthikkrishnan
-Interested User-
Posts: 22
Joined: Nov 4, 2015


Posted: Mar 1, 2021 01:58 PM          Msg. 5 of 6
Equities only. Not looking into anything else

DTN_Stephen
-DTN Guru-
Posts: 358
Joined: Aug 22, 2014


Posted: Mar 1, 2021 02:46 PM          Msg. 6 of 6
Concerning Equities the bid and ask come in a separate message from the BBO feed. IQ history is nothing more than what the best bid and ask from the BBO feed were at the time that the trade took place.

I hope that answers your question.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net
 

 

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