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Just to clarify, IQFeed does provide bid/ask quotes in the stream. We send every trade, as well as every bid/ask price and volume update. We don't store each bid/ask update in history however. Instead, we only store trades, and the bid/ask price at the time of the trade which allows 3rd party software to determine if a trade occured at the bid or the ask. Trades are often interpreted as a buy or a sell based on if the trade hit the bid or ask and we provide the information needed to determine this.
--- In amibroker@xxxxxxxxxxxxxxx, "Potato Soup" <potatosoupz@xxx> wrote:
>
> I'm working with IQFeed tick data. They don't seem to provide bid/ask quotes, just trades. What's the consensus on whether this matters? I've seen it argued that a lot of games go on with quotes, fakeouts, etc. And that trade ticks are all that matter. Seems though for less liquid instruments you'd really want updated quotes, or the true price could be quite far from the last trade.
>
> I realize most AmiBroker users don't trade on ticks, but thought I'd ask here for comment anyway.
>
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