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»Forums Index »IQFeed Developer »IQFeed Developer Support »Zero bid/ask sizes for some live updates in Level1 feed.
Author Topic: Zero bid/ask sizes for some live updates in Level1 feed. (5 messages, Page 1 of 1)

aQuant
-Interested User-
Posts: 28
Joined: Jul 20, 2012


Posted: Oct 17, 2014 02:43 PM          Msg. 1 of 5
I found that these happen quite a bit (especially in certain special fast conditions). Note that the third line below ('ba' update) shows 0 ask size at 97.97 price. I was able to match this particular sequence with market depth MD01 updates and there the size shows 14. Is there an explanation for this? (this particular sequence is from August, 6th, 2014 CLU4 contract). Can provide more examples if needed.

Q,QCLU14,97.96,80692,1,97.96,97.97,4,15,,10:36:14.241,5299981,10:36:14.242,10:36:14.131,b,
Q,QCLU14,97.96,80693,1,97.96,97.97,4,15,183,10:36:14.276,5299992,10:36:14.242,10:36:14.131,C,
Q,QCLU14,97.96,80693,1,97.96,97.97,3,0,,10:36:14.276,5299992,10:36:14.276,10:36:14.276,ba,
Q,QCLU14,97.96,80693,1,97.96,97.97,3,15,,10:36:14.276,5299992,10:36:14.276,10:36:14.277,a,
Q,QCLU14,97.96,80693,1,97.96,97.97,3,16,,10:36:14.276,5299992,10:36:14.276,10:36:14.277,a,
Q,QCLU14,97.96,80693,1,97.96,97.97,3,17,,10:36:14.276,5299992,10:36:14.276,10:36:14.277,a,

DTN_Tim Walter
-DTN Guru-
Posts: 1180
Joined: Apr 25, 2006


Posted: Oct 17, 2014 03:37 PM          Msg. 2 of 5
Hello, there was an issue that was resolved last month that could cause this type of occurrence. Are you still seeing this behavior in new data?

Tim

aQuant
-Interested User-
Posts: 28
Joined: Jul 20, 2012


Posted: Oct 17, 2014 03:41 PM          Msg. 3 of 5
Hello,

I can check in my current data, could you specify starting date from which I shouldn't see it? Also, does it require by any chance using the latest version of IQFeed, currently I am using 5.0.0.14.
Finally, has this been-to your knowledge-an issue that has existed for ever/long time or was it just a temporary occurrence (if yes, what date ranges).

Thank you.

DTN_Tim Walter
-DTN Guru-
Posts: 1180
Joined: Apr 25, 2006


Posted: Oct 17, 2014 03:44 PM          Msg. 4 of 5
I am not 100% on that date range, but after Oct 1st I think should be safe.

FYI, we do not save any historical data for bid and ask size.

Tim

aQuant
-Interested User-
Posts: 28
Joined: Jul 20, 2012


Posted: Oct 17, 2014 03:50 PM          Msg. 5 of 5
Yes, I am aware of the historical data restriction. All of this is live data. Thanks, will check my data after Oct 1st.
 

 

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