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                                                   Custom Plugin to get Live Market depth data from IQfeed

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M808
2016-05-12 17:35:05


Hi Quatshare,

Is it technically possible for me to write a custom plugin (probably in C#?) that would allow my trading algorithm to receive/analyze live level 2 data from IQfeed while my algo is live trading?

If so, what would be the best method to make sure the IQfeed Market Depth data stays in synch with the IQfeed Level 1 data?
For instance, would I get the best "synch" results if I received the IQfeed Level 1 data from your current IQfeed feed integration and the IQfeed Market Depth data from my custom plugin?
Or would i get better "synch" results if didn't use your IQfeed integration at all and used by custom plugin to receive both Level 1 and Market Depth data from IQfeed?

thanks



QuantShare
2016-05-13 04:39:30

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The IQFeed already gets Level 2 data. The problem is how to pass that data to the trading algorithm. I don't think there is a way to do this.
We need to first implement a new OnMarketDepth event in the money management script.



M808
2016-05-20 22:12:45

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Great, would really appreciate it if you added the "new OnMarketDepth event in the money management script" you mentioned.


QuantShare
2016-05-21 05:16:31

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We will add it to our todo list.


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