nto has contributed to 14 posts out of 18820 total posts
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I said 4000 seconds and I meant 4000 seconds haha! It surprised me too, it is really the only day I observed something like that. The data you sent us contained market updates from more than one hour (3600 seconds) earlier. Again, this is very strange and happened just on that day so we can just stop talking about it (except if that interests you, I have the logs of that day).
Since everything is in seconds, I do sometimes receive some level1 or level2 updates with dates from 2 minutes before. And after 6pm it becomes not so rare at all.
My program watching the symbols is not changing its behaviour after 6pm. It's keeping the connection open all day (all week) without changing its behaviour! So the data is always traveling from you (US) to us (EU).
Thank you for your answer.
Regarding May 24th, it may be a problem from our side, I need to investigate further. It's a complete outlier.
The server is in a data center in France, the provider (OVH) is the most important provider in France. I don't think there is any latency from our side.
If you look at the latency graphs for all days though, it looks like this latency happens on all days.
Please take a look: https://imgur.com/a/DchOn
I also added some box plots. Comparing to the 8am-6pm period which has a very decent latency with a median of 0.75 seconds, the 6pm-10pm period has a very high latency of almost 4 seconds.
Again, I don't think the datacenter the server is in could possibly increase the latency by 500% due to congestion!
Is something particular happening at 6pm everyday? I don't know what I am missing here :/
I plotted statistics of the latency (time difference between the market updates time given by IQFeed and the reception time on our servers).
I have 2 questions resulting from 2 problems I observed:
- It looks normal for all days except for May, 24th when something happened at around 9:30am (Paris time) as can be seen on this image: https://imgur.com/T5gHW4N . Latency went crazy, up to almost 4000 seconds of latency then it decreased linearly until coming back to normal. This may come from our servers but maybe you know about something that happened that day?
- Most plot look like this: https://imgur.com/vghWRAU . It looks like latency becomes higher after 6pm (Paris time). Why is that?
Thank you for your answers
Hello, anything new about this? :)
Thanks Tim :)
I was up and running over the weekend. However I always stop watching around 30 minutes after closing hour (22:30) and restart watching the day after around 30 minutes before the opening (7:30)
I was indeed receiving level 1 data.
I logged all data I was receiving and can clearly see I have all level 1 but no level 2.
I'll email it to you :)
I didn't receive any level 2 data on 6 and 7.
So does your answer imply that day ASK volume and day BID volume are computed based on outright transactions only, whereas day total volume includes spread trades and implied trades? If yes, does this also imply that spread trades do not appear on the tick-by-tick time&sales?
I have been counting the number of ASK and BID contracts exchanged on BD# on 15th of April and the sum doesn't match the total day volume.
day ASK volume : 221597
day BID volume : 229311
day total volume : 471145
Is it normal? Is IQFeed missing some trades?
I just figured it out when I received your answer :)
That was obvious. I should have RTFM more
How do you infer the trade type from this?
We see here that ask_size went from 201 to 205 and that bid_size went from 104 to 80 but nothing tells me with a 100% certainty whether the trade was an ask or a bid.
I know that Sierra Chart can figure it out with IQFeed data.
What is the algorithm I need to use to infer the trade type?
I spoke with Tim by email.
The fix has yet to be released.
I have the same problem
Did you manage to distribute a new build?
Where can I download the last version of the beta?