I get this product is for retail customers and that it's not designed to be the fastest thing in the world, but just how lagged can this feed get? I was running a test, where: Market was quoting me (penny offsets) .56 x .57, then the market temporarily became locked .57 x .57, and I let an order sit at .58, for a sell. I get filled at .58, IQ Feed is showing me .57 x .57 still. My code is now thinking it just got a free lunch, so it parks another order at .58, gets hit again. Since I'm getting too many "free lunches", a safety trigger kicks and the strategy turns off, and I'm able to verify that all is not well in Denmark. So I'm asking ET if other people see these temporary lags when the market pops up or down with IQ Feed, and the "true" maximum lag against the exchange that this feed can see, and whether I should buy access to a secondary feed as a cross-check against IQFeed. I see these back ups occasionally during the day, maybe 2-5 times.
Both methods result in the same behavior (direct socket API, or using some off-the-shelf product like NT.) The situation is usually transient, and only lasts for a short period of time. It's just that in 1-2 seconds, it's possible to make a lot of mistakes. Most of the time, lag is not damaging. The crossed/locked-market scenario is where it hurts temporarily, but I can code around that. I can probably avoid using the L1 quote and use the primary listing market quote instead, plucked out of L2 data.
hmmm, well I would add a check based upon on your timestamp thread. IE: T,20110705,12:01:00 Q,stock,last trade timestamp (12:02:00) T,20110705,12:00:00 If the trade timestamp is greater than the timestamps being received by iqfeed then either your pc is lagging or the iqfeed for the stock in question is delayed and you should throw out the signal.
Great suggestion! Thank you, I will try that! I forgot that they included the time stamp in the data.
Let's keep this thread going. I sometimes use Instaquote, and have noticed a lag for about a week. Like you, I was unsure if it was me. Which was silly. See my previous reviews on Instaquote in software. They have had trouble with lag before. It's them. IQ didn't even add the C2 options exchange for months after it opened.
I know from working with poor market data feeds in the past that when people drop packets or when there is a burst of activity, the crappier feeds can take on the order of anywhere from several milliseconds up on over to a few seconds to recover. I expected some issues with IQFeed, but I didn't think the feed quality would lag this far out to where a program could send orders and get fills several times over before the feed caught up. However, I'm not sure it's them yet. I have been doing test on a low end, residential connection and not a real server in a place with a decent network, so it could still be me. If it is IQFeed, I don't feel like the company has incentive to fix these problems. It's a lower tier product aimed at lower tier traders with a cheap fee. There's no way pleading with them would cause them to service a few guys who actually need a great deal more accuracy. The question then is what service to upgrade to as a next step, ... without being charged an arm and a leg. I'll let you know once I do some more solid testing and development.
They generally refer you to their "nxcore" service whenever you need something substantial...in any case I haven't come across this issue much since I don't rely on ms quotes but am curious as this is a basic building blocking of anything automated. Have you tried their support forum? What broker are you using, are you sure the broker isn't delaying their feed so you won't get the fills? The whole problem comes down to normalization. You have 2 timestamps, 1. the trade timestamp that is often pass-thru from the exchange to the data provider then to you, and 2. the timestamp you receive the data. You might decide to have another based on when the feed provider received the quote etc. Should your strategy operate on the data based on the timestamps of when you received it or the exchange's? In my opinion I think it should be the latter as you care about what the market is doing so your strategy should be based off the exchange's timestamps. Then you would pass that to say an execution algo which would determine if it feasible to still execute it in the market based upon the timestamps of when you received the data. If not feasible, then I would look into why that is the case, your network connection could be slow, your data provider is slow, your cpu/hard driver, or the market just moved...could be anything.
I believe IQ is offered by Bank of America. Does anyone know for sure if BAC traders use IQ? Maybe BAC has a better build.