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 like you guys better than *******...much more stable and a whole lot fewer issues." - Comment from Philip
"Can I get another account from you? I am tired of ******* going down so often" - Comment from George
"I ran your IQFeed DDE vs. my broker vs. a level II window for some slow-moving options. I would see the level II quote change, then your feed update instantaneously. My broker's DDE, however, would take as much as 30 seconds to update. I am not chasing milliseconds, but half a minute is unacceptable." - Comment from Rob
"I've been using Neoticker RT with IQFeed for two months, and I'm very happy with both of the products (I've had IQFeed for two years with very few complaints). The service from both companies is exceptional." - Comment from Public Forum
"You have an excellent product !!!!!!" - Comment from Arely
"Thank God for your Data Feed as the only Zippers I see are on my pants (LOL), and no more 200 pip spikes to mess up charts." - Comment from Spiro via Email
"IQ feed is brilliant. The support is mind-bending. What service!" - Comment from Public Forum Post
"As a past ******* customer(and not a happy one), IQ Feed by DTN is a much better and cheaper product with great customer support. I have had no problems at all since switching over." - Comment from Public Forum
"This beats the pants off CQG, I am definitely switching to the ProphetX 3.0!" - Comment from Stephen
"And by the way, have to say this. I love the IQFeed software. It's rock solid and it has a really nice API." - Comment from Thomas via RT Chat
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets 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 June 18, 2019 6:14 PM CFBB v1.2.0 16 ms.
© AderSoftware 2002-2003