I received the following updates while watching ES. Note the total volume goes from 66971 to 66980, the goes back to 66971 and go up to 66980, the come back to 66971 again. The timestamp goes back as well.
Why is like that? Some duplicate messages?


Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,9,4200.75,45,4206.50,4210.25,4197.75,4202.50,b,01,
Q,@ES#,4200.50,1,08:57:38.520949,43,66972,4200.50,9,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,2,08:57:38.520949,43,66974,4200.50,9,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,2,08:57:38.520949,43,66974,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,b,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66975,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66976,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66977,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66978,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66979,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.75,45,4206.50,4210.25,4197.75,4202.50,b,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.75,46,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.75,47,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,1,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,2,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,3,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,7,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,10,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,11,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,14,4200.75,40,4206.50,4210.25,4197.75,4202.50,b,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,11,4200.75,40,4206.50,4210.25,4197.75,4202.50,b,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,11,4200.75,41,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,11,4200.75,45,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,11,4200.75,44,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,11,4200.75,45,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,9,4200.75,45,4206.50,4210.25,4197.75,4202.50,b,01,
Q,@ES#,4200.50,1,08:57:38.520949,43,66972,4200.50,9,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,2,08:57:38.520949,43,66974,4200.50,9,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,2,08:57:38.520949,43,66974,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,b,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66975,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66976,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66977,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66978,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66979,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.50,6,4200.75,45,4206.50,4210.25,4197.75,4202.50,C,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.75,45,4206.50,4210.25,4197.75,4202.50,b,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.75,46,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.75,47,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,1,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,2,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,3,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,7,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,10,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,11,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,14,4200.75,40,4206.50,4210.25,4197.75,4202.50,b,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,11,4200.75,40,4206.50,4210.25,4197.75,4202.50,b,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,11,4200.75,41,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,11,4200.75,45,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,11,4200.75,44,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,11,4200.75,45,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,9,4200.75,45,4206.50,4210.25,4197.75,4202.50,b,01,

I also notice that sometimes message content shows as C (trade) but the volume doesn't change. Does this make sense?

Q,@ES#,4191.25,2,12:59:55.704633,43,103489,4191.25,18,4191.50,10,4206.50,4210.25,4190.00,4202.50,a,01,
Q,@ES#,4191.25,2,12:59:55.704633,43,103489,4191.25,18,4191.50,4,4206.50,4210.25,4190.00,4202.50,a,01,
Q,@ES#,4191.25,2,12:59:55.704633,43,103489,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,a,01,
Q,@ES#,4191.25,2,12:59:55.704633,43,103489,4191.25,18,4191.50,9,4206.50,4210.25,4190.00,4202.50,a,01,
Q,@ES#,4191.25,2,12:59:55.704633,43,103489,4191.25,18,4191.50,10,4206.50,4210.25,4190.00,4202.50,a,01,
Q,@ES#,4191.25,2,12:59:55.704633,43,103489,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,a,01,
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,01,
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,17,4191.50,7,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,16,4191.50,7,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,01,
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,17,4191.50,7,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,16,4191.50,7,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,01,
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,17,4191.50,7,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,16,4191.50,7,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,a,01,
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01,
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,15,4191.50,10,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01,
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,15,4191.50,10,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01,
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,15,4191.50,10,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01,
Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,12,4191.50,10,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,11,4191.50,10,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01,
Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,12,4191.50,10,4206.50,4210.25,4190.00,4202.50,b,01,
Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,11,4191.50,10,4206.50,4210.25,4190.00,4202.50,b,01,

We will investigate what happened with each of these.

The decreasing volume could mean that a trade correction was issued. Sometimes a trade is found to have been recorded in error, and is corrected. When this happens, other statistics update as well. For example, if a trade was erroneously entered as 10 units when it was actually 1 unit, then correcting it would actually lower the total volume, because the correction must be reflected there as well. Other statistics can also be impacted.

I'm not sure what's happening with the C ticks that don't increase the total volume. But I notice all of them are second or subsequent trades that arrived at the same time:

Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,0
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,0
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,0
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01,
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01,
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01,
Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01,
Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01,

I will find out what happened here.

Finally, I should point out that volume can move for non-obvious reasons. Some types of trades, like Implied Trades, affect volume but do not create a tick. So the volume can change for reasons that can't be inferred from individual ticks.

I will post a followup with more information about the cases you've asked about.

---

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Thank you, Gary.

It seems to me that those are not busted trades. Because it happens too often. It's more like a resent message from IQconnect. Can you think of any scenario (some settings) which may cause IQConnect resend some messages?

Good point about the implied trades.

We are still investigating this. I should have an answer soon. As for the "lower volume" issue, did you notice the timestamps were earlier as well?

Q,@ES#,4200.50,1,08:57:38.521230,43,66980,4200.25,51,4200.50,11,4206.50,4210.25,4197.75,4202.50,a,01,
Q,@ES#,4200.50,2,08:57:29.589584,43,66971,4200.50,14,4200.75,40,4206.50,4210.25,4197.75,4202.50,b,01,

That makes me think these messages just arrived out of order.

---

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

In all three cases in your original post, the timestamp reverts to a lower (earlier) value just as the volume does. My best guess is that the message was received once, and is being repeated by some process on your end. It's unlikely that IQFeed would send ticks repetitively like in your first message, especially to repeat previously-sent ticks.

This can be confirmed by collecting an IQFeed log with "All Level 1" turned on in Diagnostics app/Logging tab. The log file will be called iqconnect.txt and is stored in the folder listed on that dialog tab. This will show all messages the IQFeed API sends. Any duplicate messages will be apparent. I can review any logs you need me to. Be judicious when creating an "All Data" log, as this will create a verbose log file and could affect performance.

Your second message also looks like messages are being repeated by some unknown process. All of the "C" messages that don't increase the volume are duplicates of previous messages:

Q,@ES#,4191.25,2,12:59:55.704633,43,103489,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,a,01,
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,01, - correct; volume increases by 1 as it should, and timestamp is later
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,01, - same volume and timestamp as earlier message
Q,@ES#,4191.25,1,12:59:56.184170,43,103490,4191.25,18,4191.50,7,4206.50,4210.25,4190.00,4202.50,C,01, - same volume and timestamp as earlier message
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, - correct; volume increases by 1 as it should, and timestamp is later
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, - same volume and timestamp as earlier message
Q,@ES#,4191.25,1,12:59:56.345602,43,103491,4191.25,16,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, - same volume and timestamp as earlier message
Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, - correct; volume increases by 1 as it should, and timestamp is later
Q,@ES#,4191.25,1,12:59:56.530624,43,103492,4191.25,13,4191.50,10,4206.50,4210.25,4190.00,4202.50,C,01, - same volume and timestamp as earlier message

So I think these "duplicate trades" are messages from the IQFeed API that are being repeated by your process somehow.

---

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

One other thing: you are correct that a "C" message, indicating a last-eligible trade, would normally increase the volume by the number of units in that trade. However, as I mentioned earlier, some trades are counted in the Total Volume but do not show up in ticks, and can change the total volume in unexpected ways.

---

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist