I'm not a developer on their forum and the $300 developer fee is steep, so I'm posting here since a lot of apps that I use connect to IQFeed. For better or for worse, I'm dependent on IQFeed to make a living. Here's some sample historical data from IQFeed (for CSCO this morning), ripped straight off the socket: ... REQ1,2011-08-16 09:13:01,15.8900,434,53634,15.8800,15.9100,1318,0,0,E, REQ1,2011-08-16 09:13:01,15.8900,100,53734,15.8800,15.9100,1319,0,0,E, REQ1,2011-08-16 09:13:01,15.8900,100,53834,15.8800,15.9100,1320,0,0,E, REQ1,2011-08-16 09:17:34,15.8900,100,53934,15.8800,15.9100,1358,0,0,E, REQ1,!ENDMSG!, Feature Request 1: I get 0 and 0 back for the bid/ask sizes. Maybe they do this because there are multiple equities exchanges, but even the best bid and best offer would be useful. Maybe even a best-guess "snapshot" of it would be useful. Feature Request 2: Would it kill you guys at IQFeed to list the exchange where the trade happened on the historical data? Just use your existing exchange list that you have for the level2 data. Even this would be more useful than a 0 bid size and 0 ask size. Thank you.