IQFeed data NOT so true tick or is it?

Discussion in 'Data Sets and Feeds' started by KiwiRoo, Feb 7, 2008.

  1. KiwiRoo


    IQFeed data NOT so true tick or is it?

    I’m just wondering if anyone has ever compared the data feed from IQFeed to another True tick data providers.

    I have done a comparison using the Time and Sales from IQFeed (Sierra Charts) and the Zen Fire (Ninja), (also did one before using Transact data and similar result was found). Clearly from what I’ve found was that, IQFeed consolidated some of the traded contracts. (Examples are highlighted in the attached image - #ESH8).

    Question - is it because IQFeed record a tick as an initiating trade? For example, Trader-A buys at market 10 contracts, which is filled from the other side by 2 offers of 5 contracts each. In this example, a Tick recorded by IQFeed would be one tick of 10 Contracts. In a reverse logic (example of Zen Fire), it would be recorded as 2 separate trades of 5 contracts each. Which is correct?

    If IQFeed isn’t really providing a True Tick data then they are ripping their customers off (including ME!!)?


  2. What time of day did you record the data (there is no time stamp)?

  3. KiwiRoo


    That was around 4am...
  4. Constant Tick charts were destroyed months ago when GLOBEX decided to group transactions (ticks) at will. This is why Tick Charts are no more accurate than minute charts anymore.
    The only consistent chart is a Constant Volume Bar chart which is only limitedly offered through afew software providers.
  5. KiwiRoo


    That explains it. Thanks Prof.
  6. I use DTNIQFeed and QuoteTracker and can find nothing in that time frame which looks like either of your prints. I'm looking at 4:00AM EST +/- 30 minutes. Perhaps in addition to what ProfLogic is talking about there is a further issue with the software? If I understand what he is saying, Globex bundles trades before or as they leave the exchange "floor" and thus the output from Globex although flawed should still be the same for all data feed vendors. If when the data is received by a feed vendor there is further "packaging" and/or missed quotes then that is a separate problem. If then the software that one uses to receive and process data from your feed vendor does further diddling, then there is yet another source of error.

  7. KiwiRoo


    I'll run a comparison again tomorrow during market hour. This time, I will use Transact data so I can use the same charting package – Sierra. But as far as I know, Sierra will print what ever they received from the Feed.


  8. Will check back with you.

  9. KiwiRoo


    OK, I’ve decided to compare the data now instead of during market hour as I want to concentrate on trading rather than doing this. So, as you can see, Transact data matches the feed from Zen Fire while IQFeed clearly consolidated their feed comparing to the prior two!!! (ignore the time stamp on Ninja T&S as it represents my local time).

    This can NOT be a Charting error as Sierra Chart was used for both Transact and IQFeed.

    Do we have an IQFeed REP here?? – Please explain??

    The only reason I am not using Transact data is because during a fast market, I have noticed numerous time, HUGH volume spike on the Tick chart/Time and sales which surely are erroneous. (This affects my trading decision and gives me wrong expression of the tape etc!). And I won’t use Ninja Chart because Sierra is a much better Charting package IMO.

    (would be great if someone can compare T&S from esignal vs IQFeed).


  10. gttrader


    #10     Feb 8, 2008