I wanted to mention that your idea is really well founded. When doing quantitative analysis of market data, it is very important to have options for market data feeds. I do not engage in HFT trading, so that is not an issue, but for a variety of reasons I can't be tied to a single data source. I hope this idea is explored further.
On Monday, July 15, 2013 4:41:46 AM UTC-4, Miguel wrote: > > I don't think there is any study comparing IB and IQFeed. From the > comments I have read in several forums, it should be more reliable. It is a > company that only does market data, so they should be more committed to > this task than a broker. With the 5.0 version of the protocol you have > millisecond stamped updates, so this is better than the 250ms IB updates > but this currently doesn't matter with Jbooktrader as it is currently doing > 1sec snapshots of order book. For JBooktrader, the main advantage could be > to be able to capture more data in parallel and in a more cost effective > way. In any case it could be integrated in JBooktrader not as a replacement > but as an alternative to IB data. > > As soon as I have time I will do a comparison of the two for the same day > so we can check if the change could alter the behaviour of JBooktrader > strategies. > > On Friday, July 12, 2013 5:36:16 PM UTC+2, Eugene Kononov wrote: >> >> On Fri, Jul 12, 2013 at 7:04 AM, Miguel <[email protected]> wrote: >> >>> Yes, it's just a data feed, you have to keep two connections: brokerage >>> and data feed. It adds another point of failure to the system, but you also >>> have a much better data feed and it is less expensive if you trade several >>> futures at the same time. >>> >>> >> Hello Miguel, >> >> Is there some study out there that compares the quality of the L2 feed >> between IB and IQFeed, or perhaps you compared the two feeds by yourself? >> I'd be interested to see that type of comparison. If there are clear >> advantages of using IQFeed over IB, I'd be very motivated to integrate >> IQFeed with JBT. >> >> Thanks, >> E. >> >> > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/groups/opt_out.
