DTN IQ has a Level II feed for NASDAQ. I wouldn't classify it as a complete Open Book type of feed. Interactive Brokers has something a bit better in that regard. The draw back with Interactive Brokers Level II Feed is that they will only provide a maximum of three instuments simultaneously. They do provide Level II for NASDAQ as well as for NYSE.
Anyway, back to IQFeed. They provide a type of LevelII for NASDAQ, but nothing similar
for NYSE. And as mentioned before, it is not a full OpenBoook. Instead, they supply the
best inside price provided from each Market Maker.
I've provided a sample
LevelIIOrderBook.cs module to show how to process IQFeed's Level II stream.
I use that code in the demo ticker program I mention in my post at IQFeed Provider for
SmartQuant. If there are non-SmartQuant users interested in trying this utility, I'll
look at licensing the dll's into the distibution.
There is an interesting Elite
Trader chat room
capture from a while back as it relates to scalping, program trading, and how to make
use of Level II type data. I'm not sure if the strategies still hold, but there were some
ways mentioned that could be used to beat some of the automatons on the small scalps.
I'm realizing that for we mere mortals, we'll have to work with slightly larger ranges,
but with some sort of decent short term predictor and good money management, it should
still be realizeable goal.
The chat was sponsored by Genesis
Securities, who have a data/trading interface in QuantDeveloper.