Tell IQFeed what you need for Icebergs

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Tell IQFeed what you need for Icebergs

Post by zowski » Sun Sep 17, 2023 11:59 am

It would be great to be able to use IQFeed instead of Rithmic for Stops/Icebergs analysis, but
I understand that they do not provide the ability to precisely align the level1 trade execution
history and the level2 order book updates. There was a proposal ... picID=3911

by aQuant to ask them to add a synchronization field based on tag 83:

and tag 83 message field described in CME docs as:
Tag: RptSeq
FIX Type: Int
Description: MD Entry sequence number per instrument update. Reset weekly.
ref: ... +Tag+Usage

Would the Bookmap developers please chime in on that IQFeed forum thread and tell IQFeed if the
proposed solution would suffice for being able to do Iceberg/StopRun analysis with IQFeed, or
if a different/further enhancement is needed to enable IQFeed to be used?  Only by asking
for what we need will they be able to provide it.

Thank you very much.

p.s. Rithmic can be very late (minutes) in delivering data, hence I would like an alternative like IQFeed.