Sep 12, 2013

DTN.IQ / IQFeed Caveat Emptor

I started working on a new strategy about a month ago and needed a cheap source of historical data for testing. DTN.IQ seem to fit the bill and budget, until yesterday I discovered that historical quotes data set that DTN.IQ provides foes not include all quotes, but only quotes at the time of a trade. For example, you have an illiquid stock that does not trade frequently.

made-up example

time,bid,ask,last
12:03:00,55.01,55.07,55.01  <- reported by the feed
12:04:00,55.02,55.08            <-no trade, not reported by the feed
12:05:00,55.05,55.16            <-no trade, not reported by the feed
12:06:00,55.05,55.16,55.10  <- reported by the feed

Even though quotes may be updating in between the trades, DTN.IQ does not provide that data.

Otherwise, my experience with the service has been satisfactory, and I will continue using the product for testing live data and historical data. 

2 comments:

  1. Michael9/12/2013

    Also, their data does not have delisted names. I am really not sure who to use for a decent cheap source of data.

    I was thinking of trying quantquote. What made you choose DTN?

    ReplyDelete
  2. also when you will get trade only u can miss a trade here and there and it sums up by end of day. only later at night you could back fill your data as history....

    ReplyDelete