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aQuant has contributed to 29 posts out of 18764 total posts (0.15%) in 2,279 days (0.01 posts per day).

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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.


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.


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.


Almost 2 years later, any update on this topic? Is this still on your roadmap, any closer? Thank you.


Is there any update on the above? Was it internally discussed? What is the conclusion? Thank you.


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.


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?


Note that I do mention multiple clients above, but in this case I only had one client/application using the feed.


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.


Yes, I am aware of the historical data restriction. All of this is live data. Thanks, will check my data after Oct 1st.


Hello,

I can check in my current data, could you specify starting date from which I shouldn't see it? Also, does it require by any chance using the latest version of IQFeed, currently I am using 5.0.0.14.
Finally, has this been-to your knowledge-an issue that has existed for ever/long time or was it just a temporary occurrence (if yes, what date ranges).

Thank you.

IQFeed Datafeed Wish List » Sequential Level1 and Level2 updates. Oct 17, 2014 02:50 PM (Total replies: 0)

Hello,

one thing that may be beneficial to sophisticated individuals with a limited budget (below NaNex prices) would be if Level1 updates and Level2 updates could come in a single sequence just as they do from CME for example. In other words the two feeds which are now 'independent' entities would come in a single sequence so that synchronization is guaranteed. For sophisticated orderflow analysis one needs to see certain events in the sequence they happened (trades interleaved with bid/ask size/orderbook updates). It is practically impossible to synchronize two independent L1 and L2 feeds even with millisecond timestamps-other than assuming neither of the feeds has any errors/omissions. Is an implementation of this feature conceivable?


I found that these happen quite a bit (especially in certain special fast conditions). Note that the third line below ('ba' update) shows 0 ask size at 97.97 price. I was able to match this particular sequence with market depth MD01 updates and there the size shows 14. Is there an explanation for this? (this particular sequence is from August, 6th, 2014 CLU4 contract). Can provide more examples if needed.

Q,QCLU14,97.96,80692,1,97.96,97.97,4,15,,10:36:14.241,5299981,10:36:14.242,10:36:14.131,b,
Q,QCLU14,97.96,80693,1,97.96,97.97,4,15,183,10:36:14.276,5299992,10:36:14.242,10:36:14.131,C,
Q,QCLU14,97.96,80693,1,97.96,97.97,3,0,,10:36:14.276,5299992,10:36:14.276,10:36:14.276,ba,
Q,QCLU14,97.96,80693,1,97.96,97.97,3,15,,10:36:14.276,5299992,10:36:14.276,10:36:14.277,a,
Q,QCLU14,97.96,80693,1,97.96,97.97,3,16,,10:36:14.276,5299992,10:36:14.276,10:36:14.277,a,
Q,QCLU14,97.96,80693,1,97.96,97.97,3,17,,10:36:14.276,5299992,10:36:14.276,10:36:14.277,a,

IQFeed Developer Support » the parameter is incorrect May 22, 2013 11:57 AM (Total replies: 10)

Great you found the source of error. Do you have any idea when you will be releasing the new corrected version?

IQFeed Developer Support » the parameter is incorrect May 21, 2013 04:05 PM (Total replies: 10)

Some info on my side: applications using 4.9 protocol don't use (or subscribe) to Level2 data. Only the application running
5.0.x protocol (latest official release) uses Level2 data.

Here are a few lines of raw Level2 data, at some point between 0-1am CST I was disconnected from Level2 (not sure if it
was internet outage on my side).

Here is how a correct time stamp message looks like before disconnect:

2~NÍ#Ð;T,20130521 01:00:15 (note: the part starting with "2~" and ending with ";" is my own stuff, rest is IQfeed generated)

Here are a few lines at and after disconnect:

2,@SFM13,MD01,1.0327,1.033,8,2,01:42:27.612,2013-05-21,52,01:42:27.613,T,T,T,
2,@SFU13,MD02,1.0335,1.0341,9,8,01:42:27.613,2013-05-21,52,01:42:27.613,T,T,F,
2,@SFU13,MD03,1.0334,1.0342,9,9,01:42:27.612,2013-05-21,52,01:42:27.613,T,T,T,
T
2~Ѭ?4Ó#Ð;TQY~U¤¸ëÖ‚>²gqüLu¹œ†6E›êjÙæ+ìïÓ¶'È
2~8²8Ó#Ð;S,SERVER DISCONNECTED
2~`z“;Ó#Ð;S,SERVER DISCONNECTED
2~ƒ©­;Ó#Ð;S,SERVER CONNECTED
O
2~k±ò;Ó#Ð;2,QMGCM13,MD01,1396.1,1397.1,2,2,01:42:28.109,2013-05-21,52,01:42:21.169,T,T,F,
2,QMGCM13,MD02,1396.,1397.8,1,1,01:42:28.109,2013-05-21,52,01:42:21.169,T,T,F,
2,QMGCM13,MD03,1395.,1398.,1,1,01:42:28.109,2013-05-21,52,01:42:21.169,T,T,F,
2,QMGCM13,MD04,1394.6,1398.4,1,1,01:42:28.109,2013-05-21,52,01:42:21.169,T,T,F,
2,QMGCM13,MD05,1394.2,1398.8,1,1,01:42:23.743,20130S,BINARY_HEADER1,COMPRESSION_TYPE1,52,01:42:21.169,T,T,T,
Z,QSIN13,MD05,22.785,22.83,12,10,01:42:40.707,2013-05-21,52,01:42:41.209,T,T,T,
Z,QSIN13,MD06,22.78,22.835,10,9,01:42:40.707,2013-05-21,52,01:42:41.017,T,T,T,
Z,QSIN13,MD10,22.76,22.855,8,2,01:42:40.989,2013-05-21,52,01:42:33.249,T,T,T,
Z,QSIN13,MD07,22.775,22.84,3,17,01:42:40.707,2013-05-21,52,01:42:41.017,T,T,T,
Z,QSIN13,MD01,22.805,22.81,3,3,01:42:40.710,2013-05-21,52,01:42:40.948,T,T,T,
Z,QSIN13,MD02,22.8,22.815,3,2,01:42:40.710,2013-05-21,52,01:42:24.763,T,T,T,
Z,QSIN13,MD03,22.795,22.82,10,8,01:42:40.791,2013-05-21,52,01:42:36.493,T,T,T,
Z,QSIN13,MD08,22.77,22.845,5,5,01:42:40.707,2013-05-21,52,01:42:40.767,T,T,T,
Z,QSIN13,MD09,22.765,22.85,2,7,01:42:40.707,2013-05-21,52,01:42:40.767,T,T,T,
Z,@SU13,MD04,1291.75,1294.,2,1,01:42:00.283,2013-05-21,52,01:42:24.769,T,T,T,


After that disconnect, the connection was reestablished but since then the time stamp messages have been all gibberish:
2~‹H5TØ#Ð;TQùݤpô (again note: the part starting with "2~" and ending with ";" is my own stuff, rest is IQfeed generated)

Also the above line containing "BINARY_HEADER1,COMPRESSION_TYPE1" is unexpected to me.

The popups with that error have never gone away and I also noticed that I only have about 1/2 of the volume of Level2 data
for today compared to most days (including yesterday), so the feed recovered somehow but not fully.
Let me know what more specifics you would like, maybe I can dig them out.

Similarly as the other poster, I use sockets in C# to get raw data in.


Time: Mon October 15, 2018 8:07 PM CFBB v1.2.0 16 ms.
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