I am a new developer. For the last couple of days, I have been watching pre-market Quotes. I notice there is a problem with Q message. take QQQQ as an example, if I start to send request for level 1 at the time of 8:32:23am, the Q message reports the volume correctly but the traded price (field 33) incorrectly. The field 33 only reports the last price of the previous day until a new trade occurs. the following are the messages I received (I added eastern local time stamp ahead of each message followed by |). the following messages showed the premarket traded price was 45.15 (yesterday's close), with pre-market volume 1720985. the pre-market traded price was updated at eastern time 08:32:39am when a new trade occurred.

localtime=20070420:083223| F,QQQQ,F,,87210000,45.5500,35.5400,45.5500,42.0600,0.2,,0.09,10/31/06,09/15,,,,,,,1.53,,,,POWERSHARES QQQ TR SR 1,OOF QAV QQQ UQQ,,1.82,OZC WD YWZ,,,,,555500,,0.50 03/20/00,,,t,14,4,6726,12.61,1,1,02/22/2007,07/18/2006,02/22/2007,03/05/2007,
localtime=20070420:083223| P,QQQQ,F,45.1500,0.,,1720985,800,0,0,45.4000,45.4100,7200,8100,,173,0.,08:31t,,0,45.1500,0.01,,,,t,N,,,,04/19/2007,,45.1500,,,,0.,0,,-0.980266197,,,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,539,,,45.4151,,N,
localtime=20070420:083225| Q,QQQQ,F,45.1500,0.,,1720985,800,0,0,45.4000,45.4100,8200,8100,,173,0.,08:31b,,0,45.1500,0.01,,,,p,N,,,,04/19/2007,,45.1500,,,,0.,0,,-0.980266197,0.,0.,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,539,,,45.4151,,N,
localtime=20070420:083227| Q,QQQQ,F,45.1500,0.,,1720985,800,0,0,45.4000,45.4100,55200,8100,,173,0.,08:31b,,0,45.1500,0.01,,,,p,N,,,,04/19/2007,,45.1500,,,,0.,0,,-0.980266197,0.,0.,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,539,,,45.4151,,N,
localtime=20070420:083227| Q,QQQQ,F,45.1500,0.,,1720985,800,0,0,45.4000,45.4100,56200,8100,,173,0.,08:31b,,0,45.1500,0.01,,,,p,N,,,,04/19/2007,,45.1500,,,,0.,0,,-0.980266197,0.,0.,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,539,,,45.4151,,N,
localtime=20070420:083227| Q,QQQQ,F,45.1500,0.,,1720985,800,0,0,45.4000,45.4100,66200,8100,,173,0.,08:31b,,0,45.1500,0.01,,,,p,N,,,,04/19/2007,,45.1500,,,,0.,0,,-0.980266197,0.,0.,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,539,,,45.4151,,N,
localtime=20070420:083227| Q,QQQQ,F,45.1500,0.,,1720985,800,0,0,45.4000,45.4100,67000,8100,,173,0.,08:31b,,0,45.1500,0.01,,,,p,N,,,,04/19/2007,,45.1500,,,,0.,0,,-0.980266197,0.,0.,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,539,,,45.4151,,N,
localtime=20070420:083227| Q,QQQQ,F,45.1500,0.,,1720985,800,0,0,45.4000,45.4100,77000,8100,,173,0.,08:31b,,0,45.1500,0.01,,,,p,N,,,,04/19/2007,,45.1500,,,,0.,0,,-0.980266197,0.,0.,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,539,,,45.4151,,N,
localtime=20070420:083227| Q,QQQQ,F,45.1500,0.,,1720985,800,0,0,45.4000,45.4100,84200,8100,,173,0.,08:31b,,0,45.1500,0.01,,,,p,N,,,,04/19/2007,,45.1500,,,,0.,0,,-0.980266197,0.,0.,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,539,,,45.4151,,N,
localtime=20070420:083229| Q,QQQQ,F,45.1500,0.,,1720985,800,0,0,45.4000,45.4100,83400,8100,,173,0.,08:31b,,0,45.1500,0.01,,,,p,N,,,,04/19/2007,,45.1500,,,,0.,0,,-0.980266197,0.,0.,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,539,,,45.4151,,N,
localtime=20070420:083239| Q,QQQQ,F,45.1500,0.,,1720985,800,0,0,45.4000,45.4100,83400,6100,,173,0.,08:31b,,0,45.1500,0.01,,,,p,N,,,,04/19/2007,,45.1500,,,,0.,0,,-0.980266197,0.,0.,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,539,,,45.4151,,N,
localtime=20070420:083239| Q,QQQQ,F,45.1500,0.,,1720985,800,0,0,45.4100,45.4200,100,24000,,173,0.,08:31b,,0,45.1500,0.01,,,,t,N,,,,04/19/2007,,45.1500,,,,0.,0,,-0.980266197,0.01,0.01,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,539,,,45.4151,,N,
localtime=20070420:083239| Q,QQQQ,F,45.1500,0.,,1722208,1223,0,0,45.4100,45.4200,100,24000,,173,0.,08:32T,,0,45.1500,0.01,,,,t,N,,,,04/19/2007,,45.4100,,,,0.26,0.26,,-0.980252173,0.01,0.01,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,540,,,45.4151,,N,
localtime=20070420:083239| Q,QQQQ,F,45.1500,0.,,1722434,226,0,0,45.4100,45.4200,100,24000,,173,0.,08:32T,,0,45.1500,0.01,,,,t,N,,,,04/19/2007,,45.4100,,,,0.26,0.26,,-0.980249581,0.01,0.01,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,541,,,45.4151,,N,
localtime=20070420:083239| Q,QQQQ,F,45.1500,0.,,1722704,270,0,0,45.4100,45.4200,100,24000,,173,0.,08:32T,,0,45.1500,0.01,,,,t,N,,,,04/19/2007,,45.4100,,,,0.26,0.26,,-0.980246485,0.01,0.01,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,542,,,45.4151,,N,
localtime=20070420:083239| Q,QQQQ,F,45.1500,0.,,1724704,2000,0,0,45.4100,45.4200,100,24000,,173,0.,08:32T,,0,45.1500,0.01,,,,p,N,,,,04/19/2007,,45.4100,,,,0.26,0.26,,-0.980223552,0.01,0.01,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,543,,,45.4151,,N,
localtime=20070420:083239| Q,QQQQ,F,45.1500,0.,,1728804,4100,0,0,45.4100,45.4200,100,24000,,173,0.,08:32T,,0,45.1500,0.01,,,,p,N,,,,04/19/2007,,45.4100,,,,0.26,0.26,,-0.980176539,0.01,0.01,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,544,,,45.4151,,N,
localtime=20070420:083239| Q,QQQQ,F,45.1500,0.,,1728804,4100,0,0,45.4100,45.4200,100,20800,,173,0.,08:32b,,0,45.1500,0.01,,,,t,N,,,,04/19/2007,,45.4100,,,,0.26,0.26,,-0.980176539,0.,0.,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,544,,,45.4151,,N,
localtime=20070420:083239| Q,QQQQ,F,45.1500,0.,,1728804,4100,0,0,45.4100,45.4200,22100,20800,,173,0.,08:32b,,0,45.1500,0.01,,,,t,N,,,,04/19/2007,,45.4100,,,,0.26,0.26,,-0.980176539,0.,0.,,,,25080825.,14,4,,95510366,AMEX-BSE-CSE-CHX-NYSE-PSE-NMS-PHLX,,,,,544,,,45.4151,,N,

The "Last Sale" indicator is only for trades that occur during regular market hours. To get the extended session (pre and post market) you must check the timestamp of the trade. The format of the time string is HH:MMc where "c" is the trade indicator. If the trade indicator character is a "t" then the trade is normal, if an uppercase "T" then it's a Form T trade (extended trading pre and post market).

If the trade is from the extended session then the data will be in the "Extended trading last", "Extended trading change" and "Extended trading difference" fields (fields 33, 37 and 38 in the update message data) and you can determine all the current pricing from these fields.

NOTE that on the new pre-server the timestamp is HH:MM:SS:c as IQFeed has now added a seconds field to the timestamp.

Hope that helps....

- Jeff

IQ....should probably be a FAQ on this...seems to come up very frequently.
Edited by JDonovan on Apr 20, 2007 at 08:57 AM

This is correct and it is by design (as Jeff mentioned). I mentioned to you yesterday via email that (as stated in the documentation), for the Summary message, the "ET Last" = "Last". This is because the Server does not send the "ET Last" field on the initial snapshot of data when watchin a symbol.

What I failed to mention in that email is that the ET Last field would not change until a new "ET Last" is sent from the server. The only time the server is going to send a new "ET Last" is when a trade occurs.

It is entirely possible that in, in the future, the server will start sending the "ET Last" field in the initial snapshot.
Edited by DTN_Steve_S on Apr 20, 2007 at 12:35 PM

I do not understand the rationale why the server uses previous day's close for field 33 instead of using the current actual price, while at the same time reporting volume? this is very confusing. Suppose it is an illiquid symbol, only one trade occurs, and i send the query afer the trade happens, I would never know at what price the trade takes place. I only know from the volume that some trades take place, but no idea the traded price.

My post wasn't intended to imply that the way it is currently done is the best way to do things. I simply was saying that this is done by design and not due to a bug in the system.

I am also not saying that this won't change in the future, but right now it is not a high priority for our server team.

Generally speaking it's so "official" net change prices can be matched. The pre-post market trades are tagged as "Form-T" when they are recieved. This indicates a new last sale, but not a sale that occured during "normal market hours" and should not effect the official last sale price.

So in effect, if you want to report the "official" net change, you need to know the closing price and the "official" last sale price. Official net-changes are always reported only for normal market hours. If you wanted to ignore the "official" price or also post a pre-post market net change then you can simply do it yourself with the extended trade information. I personally could not accept it any other way, our clients want the official close and net change during the pre-market along with an "un-official" net change based on the pre-market pricing.

If you recieve a Form-T trade message, the size is reported with that message so I'm not sure what you mean by matching the size to that price?

- Jeff
Edited by JDonovan on Apr 20, 2007 at 03:19 PM