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» Any way to tell PRECISELY what exchange a trade just occurred on?
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| Author | Topic: Any way to tell PRECISELY what exchange a trade just occurred on? (1 messages, Page 1 of 1) |
 jazzfusionb -Interested User- Posts: 14 Joined: Feb 18, 2005 |
Posted: Feb 15, 2006 03:24 PM
Msg. 1 of 1
For purposes of this discussion, assume that just US equities are under consideration.
I am assuming the information should be embedded in IQFeed's update messages somewhere. The documentation for these messages is here: http://www.iqfeed.net/dev/api/docs/UpdateSummaryMessageFormat.html Assuming that --the message Type is Q (update) --the "Time" field ends with 't' or 'T' (i.e. a trade occurred) then where in the message is the exchange info stored? Note that the "Exchange ID" codes seem to be worthless: for US Equities, the main values that should be returned are either F (NASDAQ) D (NYSE) according to http://www.iqfeed.net/dev/api/docs/ExchangeCodes.html But the above exchange code list has no values for the various ECNs, and the ECNs in aggregate are a big source of liquidity! Similarly, the "Market Center" field seems like it might store this info, but its possible values http://www.iqfeed.net/dev/api/docs/MarketCenterCodes.html again say nothing about ECNs, mainly just regional US exchanges. Am I missing something, or is this a huge limitation with IQFeed (no ECN info)? |
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