dxFeed Level II screen capture videos comparing IQFeed

[timtrader]

FYI, I did some screen capture videos this week to show Level II in action for dxFeed and comparisons to IQFeed and TD Ameritrade.  Its nice to be able to pause the video and take a closer look at things.  Looking at the Level 1 quotes at the top of the Level II windows, you can pause the videos below and see the total volume stays very close between dxFeed and IQFeed, but dxFeed seems to be a tiny bit faster quite a bit of the time.  The TD Ameritrade Level II is significantly slower….I used it when trading NYSE stocks, because it was better than nothing.

 

I currently have the dxFeed TotalView Level II option, so, you’ll notice that you can see NASD quotes at more than one price level (I have some videos with and without the aggregation turned on….aggregation shows the total of the NASD bids and offers at each price level…. without it turned on, each individual NASD bid/offer is displayed). 

 

dxFeed’s Level II really beats IQFeed’s version (OpenView) hands down because it shows the true Best Bid/Offer on NYSE stocks, not just NASDAQ stocks.  Jerry pointed out that  the regular dxFeed Level II (Not TotalView) also shows the Best Bid/Offer for NYSE stocks, you just won’t see the NASD Bids and Offers at the other levels. Total View is interesting, and you can see if there are some large Bids and offers at the other price levels, but its probably not needed for most traders….I’m planning on turning it off before the next billing cycle.

 

Currently dxFeed won’t show trades in the raw data window if the volume of the individual trade is less than 100 shares.  It also won’t show these trades in the Level 1 quote section an the top of the Level II window for “LAST” trade....these trades do show as part of the total volume at the top of the Level II window though.  Jerry has emailed dxFeed about this and really wants to show all of the trades that are less than 100 shares….especially important for higher priced issues.

 

Here are the videos I have:

 

NASDAQ Symbol SPRB, 3 Level II windows, Aggregated TotalView for dxFeed: (dxFeed, IQFeed, and TD Ameritrade Level II windows)

https://vimeo.com/658051240

 

NYSE Symbol RBOT, Aggregated TotalView for dxFeed: (dxFeed, IQFeed, and TD Ameritrade Level II windows).  Notice that NYSE bids/offers show for the dxFeed Level II, but not for IQFeed.  At about 1:25 into the video NASD is not part of the best Bid, so the best Bid price is not showing at all on the IQFeed Level II window.

https://vimeo.com/658051227

 

Stress test using AAPL, the Level 1 Raw data feed is dxFeed with tick data.  dxFeed Level II data is not aggregated (dxFeed Level II is on left side, IQFeed Level II on the right)

https://vimeo.com/658051322

 

Stress test comparison using AAPL, the Level 1 Raw data feed is IQFeed with tick data.  dxFeed Level II data is not aggregated (dxFeed Level II is on left side, IQFeed Level II on right). Raw data shows the trades less than 100 shares on this video, since the source is IQFeed.

https://vimeo.com/658051278

 

FYI, if you pause the AAPL videos above, you can see that the total volume is often a tad higher in the dxFeed Level II windows, just edging out IQFeed.

 

At a minimum, I’ll be dropping IQFeed’s Level II service before the next billing cycle ($80 plus taxes - $20 for Level II service, $60 for OpenView) dxFeed did not charge any taxes for me.  If everything is to my liking, I’ll drop IQFeed entirely once the kinks with dxFeed are worked out.  I don’t say that lightly since I’ve used IQFeed for well over 10 years.

[wilburpost2]

Thanks for the good comparison and information. I trade many fast moving stocks. I find that placing an order and trying to predict the results is somewhat unreliable. The ASK can show 100 but your order for 10K shares gets filled. And conversely, ASK of 10K and your order gets only a few hundred and the ASK is gone. And sometimes you try to buy at the ASK and you get filled at the BID. So how important is it to you if one feed is <1 second slower than another? Also, regardless of the feed latency, when your broker gets your order how quickly does their order router find the dark pools and other shares resulting in a price improvement or at least a good fill?

[timtrader]

I certainly find charts more helpful than Level II, though I do often look at Level II aggregate totals when a chart may be nearing a reversal in direction, or a breakout to a new high.  In these cases, the quote speeds are critical for you to "possibly" have a bit of an edge. I experience your examples all the time and just have to be ready to close the position when things don't go as expected.  The majority of my trades last for seconds, not minutes or hours, so speed is very important for me. 

[wilburpost2]

Most of my trades are very short too. Very common to try and catch a price just before it jumps. The diligence is rewarded with a few pennies on 10K shares. It can really add up. I like the trading setup to be fast and repeatable. There's more than enough stress when things are going well to not have tech issues add uncertainty. Unfortunately for you, being in WA, you have to deal with speed of light issues. That and the low velocity factor of fiber, a few routers, and you're at ~100ms to get your order to the NASDAQ data center in NJ. And add the time for the quotes to go from the market servers to your feed and then to you. Your world is seconds behind! I'm in NYC, I can almost see the data center! Hopefully our brokers do a good job processing our orders. It would be interesting for you to make a video showing the instant you click "BUY" and then see how long it takes for your order to be reported on the feeds. Doesn't have to be a marketable order, just as long as it shows up on L2. And then you could move to NJ......

Edited December 20, 2021 by wilburpost2