I have a trial account with IQFeed. I’m new to this granularity of data (<1 sec / tick). I’m looking for suggestions for 3rd party software to use in conjunction with IQFeed to: (1) scrape real time, level 1, bid/ask quote data; (2) code a specific algorithm (already determined) to be traded live (preferably in conjunction with IB as the broker). Your answer as to best software for (1) and (2) don’t have to be the same. IQFeed lists numerous 3rd party vendors, but I want opinions as to where to start. (http://www.iqfeed.net/index.cfm?displayaction=data§ion=software) I am not price sensitive, especially if there is a free/cheap (<$100) trial version so I can determine if it is going to meet my needs. (That said, I always like value when it exists, of course - low price is better than high price as long as it meets my needs.) For context, I want to scrape bid/ask quote data (not just trades) on specific exchanges (level 1). eg: IBM NYSE: Bid Price, Bid Size, Ask Price, Ask Size IBM ARCA: Bid Price, Bid Size, Ask Price, Ask Size etc. My algorithm is based on this type of data. It appears IQFeed provides best bid/ask along with the names of the best bid exchange and ask exchange, which is acceptable for now. I received a good reply from IQFeed Support, which included mention that historical data for bid/ask quotes is unavailable, which is why I need to scrape: “Please be aware we do not save bid/ask for quotes historically, only bid/ask on Trades. You can capture them in real time however.” I may also look into Nanex NxCore, but I’m starting with IQFeed. Thanks for your suggestions!
We (medvedtrader.com) allow IQFeed as a source for the for data for our users. But, although we do have a passthru API so that you can write your own software to connect to data sources through Medved Trader, IQFeed asked us to restrict it so that IQFeed cannot be one of such data sources. I presume they do the same with all 3rd party software packages. So if you are going to do the scraping, you'd have to connect to IQFeed yourself (through their "Connection Manager").