pwave
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Posted: Feb 20, 2015 01:29 PM
Msg. 1 of 10
I went through the API documentation and I understand that the trade conditions get mapped to the 'C','E','O' qualifiers in the Message Contents field. I can dynamically get a list of trade conditions using the SystemInfoSocket tool that you have provided (screenshot below). But this just provides the list and does not provide which trade condition maps to C and which maps to O. Is there a way to query that information or do I have to triangulate the CTS and UTP specs (screenshot of one the pages below) with the potential for making erroneous assumptions on how you may have actually mapped the trade conditions?
File Attached: CTS-Spec.jpg (downloaded 1480 times)
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DTN_Tim Walter
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Joined: Apr 25, 2006
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Posted: Feb 20, 2015 01:40 PM
Msg. 2 of 10
Our data follows the exchange formatting specs,like what you show in your screen shot, for the first trade condition given to us. Subsequent trade conditions in the same message are not considered in assigning the trades to the C,E, or O message type. The E is a DTN creation though that you will not see in the specs, E trades are generally the FormT trades that occur before, during, and after the market's open and close.
But, no lookup exists for those specifications to come through our feed at this time.
Tim
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pwave
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Posted: Feb 20, 2015 01:47 PM
Msg. 3 of 10
Thanks Tim. Yes, I understand the E in CEO. Your documentation explained it. I wasn't looking for you to provide the exchange specifications but rather an indication of which trade conditions are mapped to C and which to O. If you see the screenshot below of the SystemInfoSocket tool that you have provided, the trade conditions are dynamically retrieved and displayed in 3 column format with first being the number, the next two columns being a short name and a long name for the condition. A fourth column indicating whether it is treated as a C or O would have been very helpful. Is such information available? Thanks again.
File Attached: TradeConditions.jpg (downloaded 1426 times)
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DTN_Tim Walter
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Posted: Feb 20, 2015 02:01 PM
Msg. 4 of 10
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pwave
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Posted: Feb 20, 2015 02:41 PM
Msg. 5 of 10
Thanks Tim. Yes, I have those exchange specifications. A couple more questions to get completely clear and we can close this topic. In the documentation for historical lookup via TCP it says that the trade conditions field will be "one to four 2digit hex numbers".
1. I assume the hex numbers are not comma delimited. So, as example, trade conditions 61 (decimal for Intermarket sweep) (0x3D) and 135 (decimal for Odd lot) (0x77) would appear as one string "3D77"?
2. It says "one to four". I presume there is no guarantee that it is restricted to four? Could be six conditions though that would be very rare? For realtime, the Update/Summary message documentation for Most Recent Trade Conditions simply says "non delimited 2digit hex numbers" and leaves out the "one to four".
Thanks.
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DTN_Tim Walter
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Posted: Feb 20, 2015 03:22 PM
Msg. 6 of 10
It is not delimited as you assumed and it is in fact limited to a max of 4. I will inquire about if there are times we could get more conditions than that or if it is a max set by the exchange and let you know.
Tim
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pwave
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Posted: Feb 21, 2015 11:47 AM
Msg. 7 of 10
Thanks Tim. These are indeed limited to 4 fields by the equities exchanges (p111 of CTS specification and p6-17 of UTP specification). Do you have pointers to the corresponding specifications for last-qualifying trades for CME and ICE?
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DTN_Tim Walter
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Posted: Feb 22, 2015 11:45 AM
Msg. 8 of 10
I will look around tomorrow morning and see what I can find for you, but not off the top of my head. If nothing else, I know the people that will know and I will ask them.
Tim
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DTN_Tim Walter
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Posted: Feb 23, 2015 10:44 AM
Msg. 9 of 10
With futures markets there are only two items, regular trades and implied trades, this is consistent across both of the listed exchanges. Indexes on these exchanges will just have regular trades.
Tim
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pwave
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Posted: Feb 23, 2015 08:30 PM
Msg. 10 of 10
Thank you Tim.
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