Hello,

I can see that when I request real time trades, there is a field named "Message Contents" that can have different values. Some of these values are the following:

C - Last Qualified Trade.
E - Extended Trade = Form T trade.
O - Other Trade = Any trade not accounted for by C or E.

I understand C and E values, but I was wondering why some trades are classified as O. Is there any reason for this? When is a trade considered as O?

Thank you

Good morning,

The exchange has many trade conditions, many they mark as non-last qualifying. The O designation is the bucket we use for those.

A common example would be an oddlot trade. These are trades of less than 100 shares that, generally, do not show up in most trading apps. The reason being is that it helps to prevent people from manipulating the current market value by buying one share at an unrealistic price.

Each exchange is different in what their requirements are for what is last-qualifying and what is not. But, the C, E, and O designate is how we try to simplify all of that for you, so that you don't have to parse out the trade conditions yourself.

Tim

In addition to Trade Condition the documentation describes the field "Most Recent Trade Conditions" as a string of 2 digit hex numbers. These values are "provided by the exchange". In order to determine the cause of an "O" designation I assume we need to parse the Trade Condition values. Do you have (or know where I can find) descriptions of these hex values (for NYSE and NASD say)? Examples of the kinds of values I'm seeing are: 873D17 and 40010101

Thanks.

You first need to convert the hex to decimal, then compare that value to the conditions that are returned by the trades condition lookup detailed on this page. I believe this alone may be enough. But, if not I have included links where the exchanges have more on how they send these values.

http://www.iqfeed.net/dev/api/docs/SymbolLookupviaTCPIP.cfm

http://www.utpplan.com/DOC/utdfspecification.pdf

https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/cts_output_spec.pdf

Sorry if I'm missing something but I can't seem to find the page you're referring to as: "trades condition lookup" . The first link seems to be the symbol lookup description.

Is this what you're referring to?

"Request a list of Trade Conditions from the feed."

Edited by DTN_Tim Walter on Nov 1, 2017 at 08:51 AM

Yes, but the API is not open sourced, so I don't post specifics generally. Via email, is probably the best way to go to communicate on issues when you need specifics.

Tim

Hello,

regarding the 'message contents'. There are messages containing a 'v - volume update'. I see them sometimes in Future Instruments. Can you explain, how there can be a change in volume without a trade being logged? From where does this volume change come from? Since there is no change in 'number of trades today' or 'last' or anything else, can it perhaps be ignored or is it of any importance?

Thanks,

JenZi

The exchange will occasionally send a volume update that will include any trades that are not in the regular feed. It will also reference any changes to the previously totaled volume due to corrections they may have sent.

With futures specifically, sometimes the unseen volume comes from spread trades and things like that. But, I do think these are often ignored in peoples's feed handling.

Tim