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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »Bid Ask Sizes
Author Topic: Bid Ask Sizes (2 messages, Page 1 of 1)

stargrazer
-DTN Guru-
Posts: 302
Joined: Jun 13, 2005

Right Here & Now

Posted: Feb 1, 2006 02:41 PM          Msg. 1 of 2
For say CSCO, Interactive Brokers is sending me bid/ask sizes in the range of 1200 - 1800. IQFeed is sending sizes in teh 40,000 to 80,000 range. Any one else notice this? Is this an artifact on how often ticks are sent? I've heard IB doesn't send everything, but the way ticks are coming in from both, that doesn't appear to account for the difference in sizes. And I'm pretty sure I'm pulling out the correct fields out of the update record. No other fields make sense for the bid/ask sizes.

nsolot
-DTN Guru-
Posts: 273
Joined: Sep 4, 2004
Posted: Feb 1, 2006 02:54 PM          Msg. 2 of 2
I believe IB sends the sizes and drops the last 2 zeros (since odd lots aren't usually published), while IQ sends the full size, so if the bid size was 1,000 shares IB would show 10 and IQ would show 1000.

It's my understanding that IB doesn't provide a full stream, but sends all bid, ask and last info. Last size and volume are sent "periodically" whatever that means.

Personally, I prefer to use the regional quotes, with emphasis on ARCA and INET (which IQ calls CINN), rather than the Level 1 quotes.
 

 

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