2006 Dec 23 - Sat
IQFeed Provider for SmartQuant
I've recompiled the IQFeed
Utilities to run with QD 2.3.3 and DC 2.1.5. The OneUnified.IQfeed.dll file is used for
linking up to IQFeed for obtaining real-time Quote/Trade/Depth streams for QuantDeveloper.
The IHistory interface, is as of yet, still unimplemented. I'll see about rectifying
that over the Chrismas Break. Hopefully.
The IQFeed client I'm currently using is
IQFeed Client 4.2.0.2.
In the zip file is a test program called ticker.exe. It provides visibility into
real-time data in three formats:
- A Level I ticker tape stream modelled upon Thomas Carr's 'The Tape-Reading Edge' in
July 2005's issue of Technical Analysis of Stocks and Commodities.
- A Level II chart showing buy-side and sell-side Market Makers.
- A Level II price chart modelled after Interactive Brokers book chart.
IQFeed provides Level II data only on Nasdaq traded instruments.
One usage note, I'm not certain if I've done the simple thing of converting symbols into
upper case yet in the ticker program, so you may need to enter them manually as upper-case
before clicking on one of the buttons on the left hand menu.
In the ticker program, when viewing the Level II price action, there is one bug which
occurs when the Bid overlaps the Ask. The overlapped level will show price counts incorrectly.
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