Hi,
I'm recording all SPY ticks received from IQFeed and a few times I see the following scenario play out where the quoted size changes a few ticks before the price, so in effect IQFeed is displaying an invalid quote (quote sz belonging to one price level and different price displayed).

Example from 4/19 09:30:00.396 am. All numbers are in the format BidSz,Bid,Ask,AskSz

1) Market is 21, 138.62, 138.63, 10
2) Then I see the bid size go up (to 250 lots): 250, 138.62, 138.63, 10
3) I see a couple of ticks where the ask size goes down from 10 lots to 1 lot (but price doesn't change)
4) Market finally ticks up in your feed to 250, 138.63, 138.64, 74

The problem is that the 250 lot bid belongs to the 138.63 price but there are half a dozen ticks from IQ feed where I see it belonging to the 138.62 price. All steps 1)-4) play out in less than 1 ms. The real problem here is that I have invalid quotes being fed into my system. I'm using the latest IQFeed version.

Thanks

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"I hear and I forget. I see and I remember. I do and I understand."
-- Confucius

Hello Illuminatus7,
I apologize for the delay in responding.
We are looking into this and will try to get an answer soon. Thanks.

Thanks for your patience. We have dug through the data for that time period and have determined that there was definately something unexpected going on.

However what we found is that the bid price you have at the start of your scenario is what is wrong.

At point 1) in your scenario, both the bid price and the ask price were 138.63 and they remained that way until point 4) in your scenario where the ask price went to 138.64.

Unfortuantely at this point, we have looked at everything we currently have avialable that will help us determine where the source of the problem was and are not able to locate this. This means that we will have to setup some tools to monitor for reoccurences in order to track this down.

Can you tell me what logic you have in your app that flagged this as abnormal? Are you comparing to another datafeed or was there something unique about the data that indicated a problem? We will need to replicate this same logic to find this.

Hi,
there is no logic inside my code, I manually inspected the first few seconds of trading for several days and I've seen it happen more than once. My guess is that it's just a race condition: you send a tcp packet with trade sz separately from tcp packets for price change and they arrived at the client out of order?

If you want to set up an automated way to catch those, you may want to look for cases where there's a large qty (> 100 lots) at the bid or offer and then the price changes without the qty changing too. That is basically what I did manually.

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"I hear and I forget. I see and I remember. I do and I understand."
-- Confucius

Sorry got at typo, instead of "you send a tcp packet with trade sz", it should have been "you send a tcp packet with the quote sz"

---

"I hear and I forget. I see and I remember. I do and I understand."
-- Confucius

I've looked at this the past couple mornings and haven't been able to find another instance where this occured. Have you seen any such occurrences?

Also, do you monitor other symbols as well or just SPY?

Since you asked, I went and looked at the SPY data from this morning 5/1. I see this suspicious quote sequence around 09:30:03.989 am . All numbers are in the format BidSz,Bid,Ask,AskSz

410,139.81,139.82,24
1,139.81,139.82,24
2,139.81,139.82,24
3,139.81,139.82,24
... a dozen other quotes in between where only the BidSz is changing...
2,139.82,139.82,24
2,139.82,139.83,20

I'm guessing here the bid moved from 139.81 to 139.82 but I only see the bidSz changing (while the ask side seems frozen), then the market gets locked at 139.82 and then finally the ask changes too. Start to finish this sequence is 51 ms long.

My guess is that the first 5 seconds of trading is a good place to look for those. I'm also recording the 1200 most liquid US stocks but obviously I don't have the time to go look at them individually.

Thanks

---

"I hear and I forget. I see and I remember. I do and I understand."
-- Confucius

I'm not seeing the same on our end for this one. I've followed this data all the way through our system and the data matches at each step.

Here is the IQFeed output (including trades) in the following format:
Total Volume,Trade Size,Bid,Ask,Bid Size,Ask Size,Last Trade Time,Extended Trading Last,TickID,Trade Market Center,Bid Market Center,Ask Market Center

For that group of messages.
Q,SPY,2852935,100,139.8100,139.8200,41000,2400,09:30:01b,139.8200,3289,11,8,11,
Q,SPY,2853235,300,139.8100,139.8200,41000,2400,09:30:01t,139.8100,3290,28,8,11,
Q,SPY,2853235,300,139.8200,139.8200,100,2400,09:30:01b,139.8100,3290,28,5,11,
Q,SPY,2853235,300,139.8200,139.8200,200,2400,09:30:01b,139.8100,3290,28,5,11,
Q,SPY,2853235,300,139.8200,139.8200,300,2400,09:30:01b,139.8100,3290,28,5,11,
Q,SPY,2853235,300,139.8200,139.8200,400,2400,09:30:01b,139.8100,3290,28,5,11,
Q,SPY,2853235,300,139.8200,139.8200,300,2400,09:30:01b,139.8100,3290,28,5,11,
Q,SPY,2853235,300,139.8200,139.8200,400,2400,09:30:01b,139.8100,3290,28,5,11,
Q,SPY,2853235,300,139.8200,139.8200,300,2400,09:30:01b,139.8100,3290,28,5,11,
Q,SPY,2853335,100,139.8200,139.8200,300,2400,09:30:01t,139.8200,3291,5,5,11,
Q,SPY,2853435,100,139.8200,139.8200,300,2400,09:30:01t,139.8200,3292,5,5,11,
Q,SPY,2853535,100,139.8200,139.8200,300,2400,09:30:01t,139.8200,3293,5,5,11,
Q,SPY,2853685,150,139.8200,139.8200,300,2400,09:30:01t,139.8200,3294,11,5,11,
Q,SPY,2853785,100,139.8200,139.8200,300,2400,09:30:01t,139.8200,3295,5,5,11,
Q,SPY,2854085,300,139.8200,139.8200,300,2400,09:30:01t,139.8200,3296,11,5,11,
Q,SPY,2856085,2000,139.8200,139.8200,300,2400,09:30:01t,139.8200,3297,11,5,11,
Q,SPY,2856185,100,139.8200,139.8200,300,2400,09:30:01t,139.8200,3298,5,5,11,
Q,SPY,2856285,100,139.8200,139.8200,300,2400,09:30:01t,139.8200,3299,5,5,11,
Q,SPY,2856385,100,139.8200,139.8200,300,2400,09:30:01t,139.8200,3300,5,5,11,
Q,SPY,2856485,100,139.8200,139.8200,300,2400,09:30:01t,139.8200,3301,5,5,11,
Q,SPY,2856585,100,139.8200,139.8200,300,2400,09:30:01t,139.8200,3302,5,5,11,
Q,SPY,2856685,100,139.8200,139.8200,300,2400,09:30:01t,139.8200,3303,5,5,11,
Q,SPY,2856685,100,139.8200,139.8200,200,2400,09:30:01b,139.8200,3303,5,5,11,
Q,SPY,2856685,100,139.8200,139.8300,200,2000,09:30:01b,139.8200,3303,5,5,5,

I also took a look at your connection to the servers this morning and thus far today I don't see any cause for concern there (you're getting all of the data for the symbols you are watching). Unfortunately I can't view your connection stats for yesterday to confirm that this was also the case for the data above (but if you find another instance of discrepency from this morning, we can be certain).

I think at this point we are left with this being something in your app not processing all of the updates.

Thanks, I had some code that was messing with the quote in the case of a locked market. I removed it and I'll look at today's data if I see any problems.

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"I hear and I forget. I see and I remember. I do and I understand."
-- Confucius