Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"I'm very glad I switched to IQFeed. It's working perfectly with no lag, even during fast market conditions." - Comment from Andy via Email
"Everything is working amazing now. I'm already impressed with the true-tick feed of IQFeed and it's ability to support my 480 symbol layout." - Comment from Tyler via Email
"I ran your IQFeed DDE vs. my broker vs. a level II window for some slow-moving options. I would see the level II quote change, then your feed update instantaneously. My broker's DDE, however, would take as much as 30 seconds to update. I am not chasing milliseconds, but half a minute is unacceptable." - Comment from Rob
"DTN has never given me problems. It is incredibly stable. In fact I've occasionally lost the data feed from Interactive Brokers, but still been able to trade because I'm getting good data from DTN." - Comment from Leighton
"I am enjoying the feed very much - so superior to the broker provided feed I was previously using." - Comment from George
"Everything is working great with the API. I love it." - Comment from Calvin
"Thanks for all of your help. Great customer service deserves to be recognized which one the reasons I've been a customer of DTN for over 10 years!" - Comment from Stuart
"Its working FABULOUSLY for me!! Holy cow...there has been so much I've been missing lately, and with this feed and Linnsoft software...I'm in the game now." - Comment from Chris R.
"You have an excellent product !!!!!!" - Comment from Arely
"I just wanted to say how happy I am with your service. I was able to download the API docs last week and I was able to replicate Interactive Brokers historical bar queries and realtime bar queries over the weekend. That was about one of the fastest integrations that I've ever done and it works perfectly!!!!" - Comment from Jason via Email
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »NEW IQFEED FORUMS »IQFeed API Questions »Reqeusting opinions about using L2 Market by Order vs Market by Price (where applicable)
Author Topic: Reqeusting opinions about using L2 Market by Order vs Market by Price (where applicable) (1 messages, Page 1 of 1)

mkvalor
-Interested User-
Posts: 24
Joined: Oct 6, 2020

Keep your tools sharp.


Posted: Jul 18, 2023 11:31 PM          Msg. 1 of 1
tl;dr: If you use L2 Market by Order messages for CME/ICE futures, do you feel your systtem greatly benefits from the broader range of updated price points and/or the ability to correlate the OrderId with the L1 messages?

I'm asking because I coded my system under an older protocol so I only have L2 Market by Price. It works fine. But I'm trying to gague whether it's worth it to go back and update my custom software system (a fairly invasive change).




---- Original message below ----
I'm an IQFeed API programmer who mostly analyzes CME/ICE futures and I joined DTN well after the older forum posts which initially requested something like the L2 MBO data. Yet I also joined before protocol 6 was out of beta. As such, I originally coded my apps using protocol 5.2 to pull in the L2 MBP data and 'it wasn't broke so I didn't fix it'. I did upgrade my IQFeed client and protocol once 6.x came out and my apps do use the latest of each (though still only pull MBP data).

Lately, out of curiosity about whether my algorithms might beneifit from more/different data, I've been wondering what the main benefits of MBO data are over MBP. Here's what I believe I understand about the differences:
  • MBO data doesn't have the same limitation on number of levels per side (buy, sell)

  • As a consequence of the first point, MBO summary messages may be of high volume while the initial state of all(?) prices are transmitted (with a consideration in the documentation to perhaps throttle these requests to avoid saturating the network connection and perhaps stalling other watches).

  • There's an OrderId with MBO messages that lets you correlate(?) these messages with the OrderIds of L1 messages

  • MBP updates replace the previous message you received at that price with a new aggregated total

  • MBO updates are only deltas and you must maintain the structure of the price levels yourself and mathmatically apply the deltas as they come in

  • Equity L2 (NASDAQ) comes through as MBO messages and includes MMID but not Order Id

If I made any errors or significant omissions above, please comment to correct them. So , focusing on futures -- I think the main benefits of MBO are the expanded price levels and using the OrderID to correlate with the L1 messages. Yet the cost would be recoding my apps to maintian the structure of the L2 data by applying the updates mathematically as well as potentially ingesting a bunch of price points far(?) from the current price activity. There is a potential fragility if MBO updates are somehow lost.

Please comment with your thoughts about switching from MBP levels to MBO updates (for markets that offer it). Do you make much use of the Order Id correlation and the broader price range (which may include prices far from the current price action)? Does an app analyzing L2 MBO data suddenly start consuming 3X the memory (vs MBP) to hold all the new price levels? If you switched, do you feel it was worth it? etc.


-Mark D. Valor
Edited by mkvalor on Jul 20, 2023 at 10:54 PM
 

 

Time: Fri March 1, 2024 12:55 PM CFBB v1.2.0 8 ms.
© AderSoftware 2002-2003