Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"I had always used ******* but for the past 2 weeks have been trying DTN IQFeed. Customer support has been extraordinary. They call just to make sure your problem hasn't recurred." - Comment from Public Forum
"Just a quick one to say I'm very impressed so far :) The documentation for developers is excellent and I've quickly managed to get an app written to do historical downloads. The system is very robust and pretty quick considering the extent of data that's available. The support guys have been very helpful too, in combination with the forums it's been plain sailing so far!" - Comment from Adam
"I just wanted to tell you what a fine job you have been doing. While *******, from what I hear, has been down and out, off and on, IQ feed has held like a champ this week." - Comment from Shirin
"IQ feed is brilliant. The support is mind-bending. What service!" - Comment from Public Forum Post
"I've been using IQFeed 4 in a multi-threaded situation for the last week or two on 2600 symbols or so with 100 simultaneous daily charts, and I have had 100% responsiveness." - Comment from Scott
"I was with ******* for 4 years at $230 a month, this is a huge savings for me, GOD BLESS YOU PEOPLE," - Comment from T.S. via Email
"I "bracket trade" all major news releases and I have not found one lag or glitch with DTN.IQ feed. I am very comfortable with their feed under all typical news conditions (Fed releases, employment numbers, etc)." - Comment from Public Forum
"I will tell others who want to go into trading that DTN ProphetX is an invaluable tool, I don't think anyone can trade without it..." - Comment from Luther
"If you want customer service that answers the phone, your best bet is IQFeed. I cannot stop praising them or their technical support. They are always there for you, and they are quick. I have used ****** too but the best value is IQFeed." - Comment from Public Forum
"Awesome response, as usual. It is a sincere and refreshing pleasure to do business with DTN, compared to your competition." - Comment from Ryan
Home  Search  Register  Login  Blogs Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTN_IQFeed on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »Product Support »Data and Content Support »pre-open Total Volume
Author Topic: pre-open Total Volume (4 messages, Page 1 of 1)

jacknsa
-Interested User-
Posts: 10
Joined: Nov 1, 2017


Posted: Dec 22, 2017 09:56 AM          Msg. 1 of 4
Dec 15 was a triple-witch options expiration day and we noticed some unusual trades. Unfortunately I wasn't logging the real time quotes but I'm trying to understand the trade flow from a historic HTT. Can you help me understand the trades at 08:34:41 and 09:07:00? In particular, note that "Total Volume" at 09:05:10 seems to be less than at 08:34:41 and then catches up at 09:07:00.

Thanks.

HTT,MCD,20171215 000000,20171215 235959,,040000,093000,1,TESTREQUEST,10
TESTREQUEST,2017-12-15 04:06:22,173.2900,108,108,171.2000,173.2900,808464434,0,0,E,
TESTREQUEST,2017-12-15 07:26:46,173.5800,100,546,173.1500,173.6300,808465714,0,0,E,
TESTREQUEST,2017-12-15 08:13:34,173.5800,100,695,173.1500,173.6300,808466225,0,0,E,
TESTREQUEST,2017-12-15 08:34:41,173.1400,285,34722,173.2500,173.6300,808539464,0,0,E,
TESTREQUEST,2017-12-15 09:05:10,173.6200,100,1136,173.5000,173.6300,808466770,0,0,E,
TESTREQUEST,2017-12-15 09:07:00,173.1400,33742,34891,173.2000,173.7500,808661586,0,0,E,
TESTREQUEST,2017-12-15 09:23:58,173.6900,122,35122,173.5300,173.7000,808469826,0,0,E,
TESTREQUEST,2017-12-15 09:24:59,173.5300,138,35304,173.1500,173.5300,808470089,0,0,E,
TESTREQUEST,2017-12-15 09:29:30,173.9400,300,35654,173.5900,173.9800,808464456,0,0,E,
TESTREQUEST,2017-12-15 09:29:35,173.9800,100,35854,173.6100,174.0000,808464433,0,0,E,
TESTREQUEST,2017-12-15 09:29:45,174.0000,100,35954,173.8000,174.1800,808464735,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.1600,111,36065,173.8000,174.3500,808473429,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.2400,100,36173,173.8000,174.3500,808473648,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,100,36454,173.8000,174.3500,808473651,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,281,36754,173.8000,174.3500,808473666,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,400,37154,173.8000,174.3500,808473667,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,400,37554,173.8000,174.3500,808473668,0,0,E,
TESTREQUEST,!ENDMSG!,

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Dec 22, 2017 10:42 AM          Msg. 2 of 4
Good morning, Around 9:01 we received a deletion that was sent for a trade of 33472 shares that was originally sent at 08:32:37.827174. It then appears a similar trade was sent at 9:07 by the exchange. The total volume is the currently reported volume at the time of the trade, and that is what caused this apparent overlap.

Tim

jacknsa
-Interested User-
Posts: 10
Joined: Nov 1, 2017


Posted: Dec 26, 2017 06:48 AM          Msg. 3 of 4
Thanks for the quick reply. I'm trying to determine what the real-time "Q" feed would have looked like and how we can detect in real-time when something like this happens in the future. I assume we would have gotten normal "E" records for the 08:32:37 and 09:07:00 events but what would we have gotten for the 09:01 deletion? Do you happen to have saved traces of the "Q" feed for that time period?

Jack

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Dec 27, 2017 08:35 AM          Msg. 4 of 4
We apply these items to our historical data upon reciept, so you can identify them in history by when the volume crosses, like in your case, but there is not a message in the level one data feed to help you process these situations real-time. It is something I will escalate to our product management to try and bring attention to on your behalf for future development.

Tim
 

 

Time: Tue January 22, 2019 11:11 AM CFBB v1.2.0 15 ms.
© AderSoftware 2002-2003