I am demo'ing the MarketDelta with IQFeed and I notice that you are able to load historical tick data to backfill the footprint chart. I'm curious if anyone knows how MarketDelta is able to reconstruct a footprint chart with only "post trade" tick data. It was my understanding that you need pre-trade (best bid/offer) to accurately calculate what is an print on the bid or offer, which is what MarketDelta is based upon. Or is it possible that IQFeed also provides the best bid/offer along with the historical tick information? (E.g., time,bid,offer,price,volume).
IQFeed provides best bid/offer with historical tick data. I've only looked at the IQFeed stock historical tick data - not the futures data, but I'm sure it would be the same. I doubt that the MD for stocks is much use for anything. Futures are another matter.
iq feed provides historical BBO, but they only provide the price of the BBO, not the actual size at the BBO (you can make this up).