Hello,

one thing that may be beneficial to sophisticated individuals with a limited budget (below NaNex prices) would be if Level1 updates and Level2 updates could come in a single sequence just as they do from CME for example. In other words the two feeds which are now 'independent' entities would come in a single sequence so that synchronization is guaranteed. For sophisticated orderflow analysis one needs to see certain events in the sequence they happened (trades interleaved with bid/ask size/orderbook updates). It is practically impossible to synchronize two independent L1 and L2 feeds even with millisecond timestamps-other than assuming neither of the feeds has any errors/omissions. Is an implementation of this feature conceivable?

I requested this 5 years ago... but I understand the separation of L1 and L2 feeds is probably important and convenient organization of the feed data.

However, can we request the messages to contain a new field, message sequence ID, that comes directly from the exchange for both L1 and L2 update messages? This would allow the client to synchronize on their end. And you must be already parsing those from say CME in your data processing anyway. You could just pass them along (as optional field) to the client.
See
https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+FIX+Tag+Library
and tag 83 message field described as:
Tag: RptSeq
FIX Type: Int
Description: MD Entry sequence number per instrument update. Reset weekly.

Can you send an email to support@iqfeed.net

Attention: Stephen Shockey with your 6 digit Login ID so that I can research this.

Thank you.

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Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
stephen.shockey@dtn.com
Edited by DTN_Stephen on Feb 7, 2020 at 01:22 PM

Done.

Thank you, I have received your email and we are researching your request. I will reach out to you via email by February 12th, 2020.

I appreciate your patience.

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Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
stephen.shockey@dtn.com

What was the response to this?

Unfortunately my response was almost 2 1/2 years ago and without knowing that customers login ID I do not have easy access to the answer that was provided. If you would like to contact us at support@iqfeed.net with you 6 digit IQ Login ID we can begin research on this again.

Please enter in the subject line Attention: Stephen Shockey.

---

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

Protocol 6.2, which became the official release version in September 2021, has improvements to the Level 2 messages that should obviate the need for this feature.

First, keep in mind that there are two different kinds of watches: Market By Order or Market By Price Level. Market By Price Level is similar to how a "watch" worked in protocol 6.1; Order Level is a new command that returns information about each actual orders that makes up the price level. Currently this data is only available for CME and ICE futures; other symbols can be watched by Price Level.

Market By Order messages include an "Order Priority" that tells you how to prioritize orders of the same side (buy/sell) and price. Furthermore, Buy and Sell offers are each their own message, as opposed to one message potentially including both (differentiated by the BidInfoValid and AskInfoValid data points). Both Market By Order and Market By Price Level messages include a precise time/date stamp.

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Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Hello,

as I originally requested this (and subsequently inquired) I thought I would add this note.
It's not true that MBO or any existing enhancements in 6.2 will 'obviate' this request that I posted years ago and never got any good response on it. I can provide specific real examples as to why it's impossible to synchronize the two distinct L1 and L2 (MBO or MBP) data feeds in the current approach-even if they all carry precise time stamps to microsecond (which they currently do for CME). I outlined (in my 10/23/2019 post) how this option could be offered relatively easily (with most burden offloaded to the interested developers-however, making it at least theoretically possible to synchronize the two feeds). Even more so confounding that you must already be parsing this field in the process. In summary, any sophisticated analysis that requires the knowledge of trade match events and their relation to order book changes does need this and to be able to do it deterministically and with guaranteed correctness the two feeds must be obtained with sequential IDs (even if on different channels/threads as is currently the case).

You are correct that "obviate" was a bad choice of words on my part. I meant to say that the new features would be helpful, but they don't make it 100% possible to pair up bids and trades. This is still not feasible with L1 and L2 data as it is now.

Beyond that, DTN is currently having a discussion about this topic. Integrating the "message sequence Id" field will have some complexities, and we have to make sure it will accomplish what you expect it to. I'll post more on this thread when I have an update.

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Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Great, I am glad it's being debated at least. Thank you.

Still interested to know what may have come from DTN's discussion about this topic.

For doing iceberg and stop run analysis using MarketByOrder data, the Rithmic data feed product is superior to IQFeed because of the lack of the feature requested in this thread.

To connect the dots, this post

https://forums.iqfeed.net/index.cfm?page=topic&topicID=6982

in which Gary Stephen says

> Beyond that I'd need to know more about what Bookmap claims IQFeed doesn't do.

is entirely understood to mean that IQFeed lacks the feature requested by aQuant in 2014... i.e.

IQFeed does not allow us, yet (hopefully soon?), to directly correlate the level1 trade execution history with the changes in the level 2 book.

It would be great to give this priority.

Thank you.

I'll ask about it again. I don't have an update on the earlier discussions about this kind of feature.

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Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

It turns out there was an internal discussion about this feature today. It appears to be a large undertaking, so we cannot offer any formal commitments or timelines at this time.

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Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

I've been looking at it, and I think all that is needed is to add the OrderID to the level1 trade prints; as an optional field.

In other words, the same OrderID that appears on the MBO summary, adds, updates, deletes... if that OrderID could be made available on the level1 ticks, then doing the rest at the user end would be pretty straight forward.

So perhaps this would be a much easier ask than the tag stuff. Perhaps? Worth asking at least...

Thank you so much.

Kindest regards.

I don't think adding orderID would solve it, and in any case, it means adding an optional field-which is what I suggested with the sequence ID. They already are parsing the MBO feed and therefore must be having access to sequence ID. Maybe it's a huge undertaking to store/pass to client as an optional field...

I don't know their internal architecture, so I figured it is worth asking. Maybe OrderID is much easier for some reason.

Attaching CME feed documents that show that the OrderID should be available to all new trade messages.[1]

[1] Reference https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Market+Data+Incremental+Refresh+Tag+Usage

@aQuant: feel free to private message me, if you'd like, and we can compare notes. I'm not saying OrderID on level1 trade prints would get you all the additional information that might possibly be available, but for my purposes in analyzing stop runs and icebergs, I think it suffices.

Maybe we'll get lucky, and they will add both the sequence tag AND the OrderID to the level1 trade prints. :)

Our dev team has discussed this and determined neither of these approaches are feasible currently. We understand the importance of needing to be able to synchronize this data easier for market analysis, and will continue to re-evaluate potential solutions to the issue in the future.

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Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist