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aQuant has contributed to 34 posts out of 18926 total posts
(0.18%) in 2,403 days (0.01 posts per day).
20 Most recent posts:
IQFeed Developer Support »
Corrupted L1 data-in recent past on multiple products at 'random' times Feb 11, 2019 07:12 PM
(Total replies: 10)
It hasn't, for example today (2/11/2019) it occurred in CL, ES, 6E between 10:18-10:23am CST.
IQFeed Developer Support »
Incorrect L2 data for futures Jan 29, 2019 12:27 PM
(Total replies: 3)
Here is an example of a few situations from yesterday where best bid is reported above best ask (MD01 updates below). This is from 1/28/2019 CLH19 instrument. QCLH19,MD01,52.99,52.89,4,5,01:41:26.756957,2019-01-28,52,01:41:26.757060,T,T,F, QCLH19,MD02,52.98,52.9,10,1,01:41:26.756957,2019-01-28,52,01:41:26.757060,T,T,F, QCLH19,MD03,52.87,52.91,57,13,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F, QCLH19,MD04,52.86,52.95,67,8,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F, QCLH19,MD05,52.85,52.96,70,3,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F, QCLH19,MD06,52.84,52.97,53,9,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F, QCLH19,MD07,52.83,52.98,90,3,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F, QCLH19,MD08,52.82,52.99,81,3,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F, QCLH19,MD09,52.81,53.,48,35,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F, QCLH19,MD10,52.8,53.01,109,23,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,T, QCLH19,MD01,52.99,52.89,4,6,01:41:26.756957,2019-01-28,52,01:41:26.757075,T,T,T, QCLH19,MD01,52.85,52.84,31,2,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F, QCLH19,MD02,52.82,52.85,27,56,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F, QCLH19,MD03,52.81,52.86,55,33,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F, QCLH19,MD04,52.8,52.87,50,42,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F, QCLH19,MD05,52.79,52.88,36,26,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F, QCLH19,MD06,52.78,52.89,40,31,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F, QCLH19,MD07,52.77,52.9,38,70,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F, QCLH19,MD08,52.76,52.91,34,31,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F, QCLH19,MD09,52.75,52.92,47,42,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F, QCLH19,MD10,52.74,52.93,37,47,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,T, QCLH19,MD02,52.82,52.85,27,6,07:03:29.613372,2019-01-28,52,07:03:29.613386,T,T,F, QCLH19,MD03,52.81,52.86,55,22,07:03:29.613372,2019-01-28,52,07:03:29.613386,T,T,T, QCLH19,MD03,52.81,52.86,55,4,07:03:29.613372,2019-01-28,52,07:03:29.613403,T,T,T, QCLH19,MD01,52.42,52.41,3,2,09:07:55.677653,2019-01-28,52,09:07:55.677684,T,T,F, QCLH19,MD02,52.41,52.43,10,15,09:07:55.677676,2019-01-28,52,09:07:55.677684,T,T,F, QCLH19,MD03,52.39,52.44,37,45,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F, QCLH19,MD04,52.38,52.45,61,41,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F, QCLH19,MD05,52.37,52.46,41,49,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F, QCLH19,MD06,52.36,52.47,60,46,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F, QCLH19,MD07,52.35,52.48,98,42,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F, QCLH19,MD08,52.34,52.49,40,33,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F, QCLH19,MD09,52.33,52.5,47,37,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F, QCLH19,MD10,52.32,52.51,62,24,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,T,
IQFeed Developer Support »
Incorrect L2 data for futures Jan 28, 2019 09:31 AM
(Total replies: 3)
Yes, I am aware of the Bid/AskInfoValid flag. Note this line though: QCLH19,MD10,53.05,54.27,90,14,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,T, which indicates end of group updates. It still has the 54.27 ask (this time all are flagged valid). This ask is definitely not valid, about 100 ticks off of correct price.
IQFeed Developer Support »
Incorrect L2 data for futures Jan 26, 2019 10:36 PM
(Total replies: 3)
I often see incorrect/nonsensical L2 data right after a large trade takes out a few levels on the DOM (depth of market). For example, this is from CLH9 1/22/2019 at 06:01.44.16260am EST the ask price is off by almost hundred ticks for a few updates in a row. Then at 06:01:44.162895 it 'comes back' to normal. I have other examples, where crossed bid/ask MD0x levels are reported for a number of updates (typically following a trade that sweeps a few levels). Is this something that can be fixed? QCLH19,MD01,53.13,53.15,10,18,06:01:44.162613,2019-01-22,52,06:01:44.021207,T,T,F, QCLH19,MD02,53.12,53.16,34,25,06:01:44.162613,2019-01-22,52,06:01:43.970119,T,T,F, QCLH19,MD03,53.11,53.17,54,22,06:01:44.162613,2019-01-22,52,06:01:43.970383,T,T,F, QCLH19,MD04,53.1,53.18,76,28,06:01:44.162613,2019-01-22,52,06:01:43.883353,T,T,F, QCLH19,MD05,53.09,53.19,32,28,06:01:44.162613,2019-01-22,52,06:01:43.874302,T,T,F, QCLH19,MD06,53.08,53.2,37,22,06:01:44.162613,2019-01-22,52,06:01:44.011207,T,T,F, QCLH19,MD07,53.07,53.21,80,23,06:01:44.162613,2019-01-22,52,06:01:44.037856,T,T,F, QCLH19,MD08,53.06,53.22,38,29,06:01:44.162613,2019-01-22,52,06:01:44.037856,T,T,F, QCLH19,MD09,53.05,53.23,90,18,06:01:44.162613,2019-01-22,52,06:01:43.874302,T,T,F, QCLH19,MD10,53.04,53.24,39,24,06:01:44.162613,2019-01-22,52,06:01:43.874302,T,T,T, QCLH19,MD01,54.18,54.18,0,3886,06:01:44.162620,2019-01-22,52,06:01:44.162620,F,T,F, QCLH19,MD02,53.13,54.19,10,9,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F, QCLH19,MD03,53.12,54.2,10,23,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F, QCLH19,MD04,53.11,54.21,41,26,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F, QCLH19,MD05,53.1,54.22,76,15,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F, QCLH19,MD06,53.09,54.23,32,14,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F, QCLH19,MD07,53.08,54.24,37,8,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F, QCLH19,MD08,53.07,54.25,80,22,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F, QCLH19,MD09,53.06,54.26,38,8,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F, QCLH19,MD10,53.05,54.27,90,14,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,T, QCLH19,MD01,53.11,53.12,49,19,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F, QCLH19,MD02,53.1,53.13,95,1,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F, QCLH19,MD03,53.09,53.15,32,18,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F, QCLH19,MD04,53.08,53.16,37,25,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F, QCLH19,MD05,53.07,53.17,80,22,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F, QCLH19,MD06,53.06,53.18,38,28,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F, QCLH19,MD07,53.05,53.19,90,28,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F, QCLH19,MD08,53.04,53.2,39,22,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F, QCLH19,MD09,53.03,53.21,55,23,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F, QCLH19,MD10,53.02,53.22,48,29,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,T,
IQFeed Developer Support »
Corrupted L1 data-in recent past on multiple products at 'random' times Oct 26, 2018 08:28 PM
(Total replies: 10)
Today was particularly bad, CL and currency data (CL, 6E, 6A,6J) all had this issue for hours after 9:31am central time.
IQFeed Developer Support »
Corrupted L1 data-in recent past on multiple products at 'random' times Oct 11, 2018 08:53 PM
(Total replies: 10)
I have been seeing invalid and stale market data in various insturments (CL, ES) in the last month or so (could be slightly longer). It occurs at seemingly random times and usually lasts about 10 minutes sometimes up to an hour. Example from today: 10:08-10:20am, 3:05-3:15pm CST in ES. Here is a snapshot of L1 updates from one of the periods: Q,@ESZ18,2738.25,3859981,2,2738.00,2733.75,64,1,183,16:08:31.779471,271740673,16:08:31.770457,16:05:00.164499,C, Q,@ESZ18,2738.25,3859982,1,2738.00,2733.75,64,1,183,16:08:31.779471,271740673,16:08:31.770457,16:05:00.164499,C, Q,@ESZ18,2738.25,3859983,1,2738.00,2733.75,64,1,183,16:08:31.779471,271740673,16:08:31.770457,16:05:00.164499,C, Q,@ESZ18,2738.25,3859984,1,2738.00,2733.75,64,1,183,16:08:31.779471,271740673,16:08:31.770457,16:05:00.164499,C, Q,@EDU20,96.7650,270309,2,96.7650,96.7700,8665,15942,,16:07:28.306149,9268532,16:08:31.734942,16:08:31.768035,a, Q,@EDM19,96.9800,405656,2,96.9800,96.9850,7411,30599,,16:00:00.036589,9268244,16:08:31.753186,16:08:31.768255,a, Q,@EDU20,96.7650,270309,2,96.7650,96.7700,8665,15824,,16:07:28.306149,9268532,16:08:31.734942,16:08:31.768255,a, Q,@EDH20,96.7650,342864,2,96.7650,96.7700,4985,27436,,16:07:28.306149,9268541,16:08:31.734935,16:08:31.768255,a, Q,@EDM20,96.7600,348765,3,96.7600,96.7650,6401,20909,,16:07:28.306149,9268536,16:08:31.733403,16:08:31.768255,a, Q,@ESZ18,2738.25,3859984,1,2738.25,2733.75,13,1,,16:08:31.779471,271740673,16:08:31.779481,16:05:00.164499,b, Q,@ESZ18,2738.25,3859984,1,2738.25,2733.75,14,1,,16:08:31.779471,271740673,16:08:31.779658,16:05:00.164499,b, Q,@ESZ18,2738.25,3859984,1,2738.25,2733.75,15,1,,16:08:31.779471,271740673,16:08:31.779676,16:05:00.164499,b, In the above (and with my message structure) the best bid/ask data are crossed and indicating 2738.25,2733.75 for bid and ask for ES, clearly nonsensical. This same stale/invalid bid/ask info stays such for the period in question. Notice that ED above (eurodollar) is just fine as are most other contracts. This has been happening for over a month and I alerted iqfeed support to it. Initially they expressed it was due to testing MBO feed. When I contended those reasons they claimed they had some issues with CME feed. Whatever it is, this is not getting fixed and I am concerned this is not getting the priority it deserves. Any advanced developer depends on full/complete/correct data-as the feed proclaims to provide. Please correct this issue. I can provide more details if needed.
IQFeed Developer Support »
Treasury futures show non-tradable prices in Level2 updates May 9, 2018 08:35 AM
(Total replies: 2)
Is anyone looking into this? Looking in the past (year 2015 for example), this problem used to affect more securities but now seems to only linger still in treasury futures.
IQFeed Developer Support »
Treasury futures show non-tradable prices in Level2 updates May 2, 2018 10:54 PM
(Total replies: 2)
Some level2 updates are being transmitted with missing digits, resulting in non-tradable prices for US Treasury futures (cme-globex). Here is a snapshot of data 4/30/2018 data with times being EST (iqfeed original binary data) Z,@TYM18,MD02,119.4062,119.4531,2728,2948,02:57:47.063273,2018-04-30,52,02:58:05.033101,T,T,T, Z,@TYM18,MD10,119.2812,119.5781,2686,2938,02:56:56.026410,2018-04-30,52,02:55:53.000703,T,T,T, Z,@TYM18,MD07,119.3281,119.5312,3073,3010,02:55:53.000854,2018-04-30,52,02:55:53.000668,T,T,T, Z,@TYM18,MD04,119.375,119.4844,4011,3183,02:58:02.013251,2018-04-30,52,02:55:53.000627,T,T,T, Z,@TYM18,MD09,119.2969,119.5625,3105,4493,02:55:55.026573,2018-04-30,52,02:55:53.000691,T,T,T, Z,@TYM18,MD01,119.4219,119.4375,1720,353,02:58:03.012086,2018-04-30,52,02:58:07.060752,T,T,T, Z,@TYM18,MD06,119.3438,119.5156,2837,3079,02:57:19.030662,2018-04-30,52,02:55:53.000648,T,T,T, 119.4062 is not a tradable price, 119.40625 is (the 5th decimal digit is missing in the above update) I am attaching a file from 4/30/2018 with the following structure: cme ticker, timestamp in CST (hh:mm:ss.fffffff-to a tenth of a microsecond), bid,ask, depth (where depth is zero based, i.e. 2 means MD03 update in iqfeed terms). I scanned data from 1/1/2018-4/30/2018 and this happens daily. I can provide a full list of instances with times similar to the attached file.
IQFeed Datafeed Wish List »
Level2 (Market depth) should include order count field Sep 22, 2017 09:29 PM
(Total replies: 5)
Almost 2 years later, any update on this topic? Is this still on your roadmap, any closer? Thank you.
IQFeed Datafeed Wish List »
Level2 (Market depth) should include order count field Jan 16, 2016 11:38 AM
(Total replies: 5)
Is there any update on the above? Was it internally discussed? What is the conclusion? Thank you.
IQFeed Datafeed Wish List »
Level2 (Market depth) should include order count field Oct 21, 2015 07:06 PM
(Total replies: 5)
Thank you. I did send an email. I think this feature is catering to advanced audience-but the more precious for those knowing how to use the information. It would be very valuable to have it.
IQFeed Datafeed Wish List »
Level2 (Market depth) should include order count field Oct 20, 2015 09:35 PM
(Total replies: 5)
I would like to receive order count in addition to the already available price/quantity information for Level2 data as shown here: http://www.cmegroup.com/confluence/display/EPICSANDBOX/Market+Data+-+Multiple+Depth+Book It should be very easy to implement and you are already getting the data from CME, just a matter of passing it on to users. Please let me know your thoughts. Thank you.
IQFeed Developer Support »
CME protocol May 5, 2015 01:48 PM
(Total replies: 28)
Actually, apologize to bother you. I have found the link, here it is for those interested: http://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Trade+Summary
IQFeed Developer Support »
CME protocol May 5, 2015 01:11 PM
(Total replies: 28)
CME documents bundling somewhat in their documentation of MDP3, it's not detailed enough however. Could you shed light (very briefly) on how they bundle those trades in the new protocol?
IQFeed Developer Support »
CME protocol Apr 21, 2015 01:40 PM
(Total replies: 28)
Excellent, appreciate your efforts as always.
IQFeed Developer Support »
CME protocol Apr 21, 2015 01:37 PM
(Total replies: 28)
Thank you. Once you switch to that protocol, do you have plans to include microsecond precision time stamps provided by CME?
IQFeed Developer Support »
CME protocol Apr 19, 2015 09:27 PM
(Total replies: 28)
I would like to find out what protocol IQFeed uses to access cme's data, is it MDP3?
IQFeed Developer Support »
IQConnect crashed simultaneous on separate accounts in different states Jan 16, 2015 08:52 AM
(Total replies: 18)
Note that I do mention multiple clients above, but in this case I only had one client/application using the feed.
IQFeed Developer Support »
IQConnect crashed simultaneous on separate accounts in different states Jan 16, 2015 08:44 AM
(Total replies: 18)
My connection crashed today too-without any attempt to reconnect. This is the first time I experienced iqconnect.exe completely shutting down without any warning. On a positive note, I really like your data/service overall. The reconnection/handling of multiple clients has always seemed an unstable feature of this feed and has caused me to lose data on a number of days over the years I have been using it-I do save full L1 and L2 data so there is no way for me to get them from historical download once the connection is down/not reset properly. I really wish this could be made stable, it would save a lot of trouble to a lot of people who use this feed for serious analytics.
IQFeed Developer Support »
Zero bid/ask sizes for some live updates in Level1 feed. Oct 17, 2014 03:50 PM
(Total replies: 4)
Yes, I am aware of the historical data restriction. All of this is live data. Thanks, will check my data after Oct 1st. |
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