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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Any way to tell PRECISELY what exchange a trade just occurred on?
Author Topic: Any way to tell PRECISELY what exchange a trade just occurred on? (1 messages, Page 1 of 1)

jazzfusionb
-Interested User-
Posts: 14
Joined: Feb 18, 2005


Posted: Feb 15, 2006 03:24 PM          Msg. 1 of 1
For purposes of this discussion, assume that just US equities are under consideration.

I am assuming the information should be embedded in IQFeed's update messages somewhere. The documentation for these messages is here:
http://www.iqfeed.net/dev/api/docs/UpdateSummaryMessageFormat.html

Assuming that
--the message Type is Q (update)
--the "Time" field ends with 't' or 'T' (i.e. a trade occurred)
then where in the message is the exchange info stored?

Note that the "Exchange ID" codes seem to be worthless: for US Equities, the main values that should be returned are either
F (NASDAQ)
D (NYSE)
according to
http://www.iqfeed.net/dev/api/docs/ExchangeCodes.html
But the above exchange code list has no values for the various ECNs, and the ECNs in aggregate are a big source of liquidity!

Similarly, the "Market Center" field seems like it might store this info, but its possible values
http://www.iqfeed.net/dev/api/docs/MarketCenterCodes.html
again say nothing about ECNs, mainly just regional US exchanges.

Am I missing something, or is this a huge limitation with IQFeed (no ECN info)?
 

 

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