NEW! IQFeed supports MBO & unlimited order book levels

[latnemele]

Hi everybody, I just found this gem on the IQFeed website changelog:

IQFeed 6.2 (2020/10/02)

• IQConnect and all Display apps are now 64bit.
  
• New Depth Protocol to support Futures Market By Order data and unlimited price levels in Market By Price data.
  
• Trade correction messages in Level 1 data.
  
• Several stability and general quality of life fixes.
  

EDIT: this is currently only available via the developer API, support told it'll be live for all users March 2021

Previously only Rithmic supported MBO, and IQfeed was limited to 10 order book levels.

source: http://www.iqfeed.net/index.cfm?displayaction=developer&section=main
(scroll down to "What's new")

The IQfeed client for the MBO connection + unlimited levels is in beta and can be downloaded here: http://www.iqfeed.net/index.cfm?displayaction=support&section=download

Can anybody from the bookmap team look into this, and verify that we'll be able to view MBO & unlimited order book levels in bookmap?

This is potentially a huge breakthrough, as IQFeed offers nasdaq total view (like dxfeed) so maybe we can have API access with the iqfeed data.

[latnemele]

I was able to test this earlier today - bookmap can connect to the new IQfeed client, but it still only gets 10 levels of depth, even though the native depth viewer provided by IQfeed displays more than 10 levels.

Furthermore, the tick size for all IQfeed stocks is messed up and cannot be changed.

Here's a comparison between dxFeed (top) & IQfeed (bottom) for AAPL:

[latnemele]

Update: IQfeed MBO & MBP updates are still not available for normal users. Only developers have access to the new data. IQfeed will release the new data to all within 30 days according to their support. Here's the email I got:

Currently 6.2 is in BETA for API users.  It will be going live to ALL customers hopefully within 30 days. However keep in mind when we release 6.2 for MBO if they charting software for example Ninja Trader has not developed their charting software to support and receive the MBO data it will not work in NT.  That would be a question for NT support to see if they are working on an update for MBO with IQ Feed?

Please let us know if there is anything else we can assist you with.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

[sujaym]

Hello,

I am able to get MBO/Full depth data with IQfeed 6.2 and Bookmap 7.3 build 17, however bookmap is only displaying depth information for futures and not equites. i was able to verify with the IQFeed Market depth tool that i am getting the L2 data for stocks.

Is the feature (MBO/Full depth) supported only for futures in bookmap?


Thanks
 

[jphiggs]

I brought this up with BookMap about 3 weeks ago, before I saw this post, and received a response that this is not supported for IQFeed.  I got no explanation why.  I spoke with IQFeed about it and they knew of no reason why it wouldn't be supported.  So I'd like an answer from Bookmap why it's not.  BTW, I have an IQFeed dev license so have no problem with that either.  BookMap, please respond.

[Kelko88]

It is an exchange thing.  The CME offered MBO data a few years back which was a big jump up for data quality accessible by retail traders but only Rithmic adopted it at first.  That level of detail is simply not available to retail traders for US stock exchanges because of how they price different tiers of data so it has nothing to do with Bookmap, it's out of their hands.  A couple years ago I looked into getting that quality of data for US stocks and I can tell you that it does exist (remember the MM's have that kind of access)... however it is really only viable for institutions as it costs well over $20k/month and yes it does give a huge advantage if you know what you're doing.  I don't see it being accessible to retail traders any time in the foreseeable future because the costs are so high and you would need the top tier data from so many exchanges to make it worthwhile which is very expensive.