Market depth by IQFeed ?
Author: BarisKaya
Creation Date: 3/3/2014 10:07 AM
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BarisKaya

#1

3/3/2014 10:07 AM

hi,

Could you please show me a way to get market depth into WL(from IQ Feed)?
Dont know if its possible but would be great if we could see the best bids and asks printed and updated on chart? ;) am i asking too much?
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Eugene

#2

3/3/2014 10:14 AM

Bid/ask data is not tracked/collected by the majority of Wealth-Lab data providers including IQFeed. This is not supported. Further, they're not required with the way Wealth-Lab processes Strategies:

FAQ: Is it necessary to have access to intra-bar tick data to daytrade with Wealth-Lab?
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Cone

#3

3/3/2014 10:22 AM

It's not out of the question, though, for backtesting. You can pull in bid/ask series with an ASCII DataSource, for example. Bid/ask wouldn't really mean much without tick data, so you're talking about heavy processing. Once you have that ASCII DataSet, though, you can access those bid/ask DataSeries using the Bars.FindNamedSeries function. Then it's a cinch to plot it like any other series.
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