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20 Most recent posts:
IQFeed Developer Support » Question about Price Stream Data Structure Sep 13, 2004 03:34 PM (Total replies: 2)

Hi Jay,

yes, exactly, we would just compare the trade price against the bid ask values within the same string to see if the trade went off at the Bid or Ask and that would so flag the trade fo us as a buy or sell.

followup Question 1)
also from what i saw - the way for us to know it is a TRADE insead of a QUOTE is the number 18 data stream field on the data strucutre page - right...

followup Question 2)
(HH:MMc) with the little c being replaced with a t for trades so we know to keep that string as a trade and anything else is a bid quote or ask quote update... right???

I agree, every trade is both a buy and a sell but this tells us who initiated the trade who was the aggressor in the trade -

thanks...

cj

IQFeed Developer Support » Question about Price Stream Data Structure Sep 13, 2004 08:57 AM (Total replies: 2)

Interested in signing up for your API developer feed...

have question about the data structure string supplied in your feed

We need this data structure info for each ascii string received

symbol, timestamp, price, size(volume), bid, ask & trade only (no quotes - just trades) or flag something to filter the trades from the quotes

definitely NEED bid price / ask price on SAME line as last price or something showing trade was a buy or sell...

cj


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