Hello IQFeeders,

The new seconds resolution on the exchange timestamp is nice to have. It has simplified my receiving code immensely.

However, on some days, like today, I receive thousands of Q records without any exhange timestamp & quote type at all. These odd records only appear in the premarket before 09h30 ET. Here's an example of a burst of GMST records from my Nasdaq watchlist that arrived at about 07h24 ET (and all within 1/10 of a second):

Q,GMST,F,5.4200,0.,,0,00,0,0,0.01,2000.00,100,100,,,0.,,,0,5.4200,1999.99,,,,t,,,,,11/23/2007,,,,,,,,11.1,,0.,1717.37,,,,2325483.52,14,2,,1496974,PSE-NMS,,,,,0,,,,0,N,,
Q,GMST,F,5.4200,0.,,0,00,0,0,0.0100,282.6300,100,100,,,0.,,,0,5.4200,282.62,,,,t,,,,,11/23/2007,,,,,,,,11.1,,0.,-1717.37,,,,2325483.52,14,4,,1496974,PSE-NMS,,,,,0,,,,0,N,,
Q,GMST,F,5.4200,0.,,0,00,0,0,0.01,2000.00,100,100,,,0.,,,0,5.4200,1999.99,,,,t,,,,,11/23/2007,,,,,,,,11.1,,0.,1717.37,,,,2325483.52,14,2,,1496974,PSE-NMS,,,,,0,,,,0,N,,
Q,GMST,F,5.4200,0.,,0,00,0,0,0.0100,282.6400,100,100,,,0.,,,0,5.4200,282.63,,,,t,,,,,11/23/2007,,,,,,,,11.1,,0.,-1717.36,,,,2325483.52,14,4,,1496974,PSE-NMS,,,,,0,,,,0,N,,

What really are these, and why do they sometimes appear? Can they be blithely ignored?

Thanks,

jkd

jkd,

I am still looking into this but I wanted to post and let you know that the issue is being looked into and not being ignored.

Thanks for looking at this.

This behaviour is happening again this morning (and the first time since I last posted).

It's happening with both 148.225 and 156.224.

jkd

jkd, at this point, it appears that the server isn't sending a trade time. I assume this means that the symbol hasn't traded since the servers last restarted (I will doublecheck this with the server team). Both your reports are on monday morning before the market which lends credibilty to this theory. Since the time field only updates with trades, any bids/asks/other message that come in prior to this will probably be missing the time field (and as such, it is also missing the bid/ask/trade indicator). I will discuss this with our server team and get back to you.

In the meantime, can you confirm that you hadn't received any messages with this time field populated for the affected symbols prior to these occurances?

Yes, Steve, once the first quote for the current day arrives for a symbol, the records then always have the HHMMSSc field.

So these funny records must the ones that always show up during the premarket with late afternoon timestamps, from the previous day I'm assuming, but with a null timestamp?

jkd

Essentially yes. But it would seem that these are simply pre-market bid/ask quotes meaning they are valid but just missing the timestamp. The timestamp itself would normally be somewhat useless since it would be the time of the last trade from the previous trading day anyway. However, what is more important is that there is no quote indicator to tell you that it is a bid/ask/other. I have discussed this with the server team and they plan to fix this issue by making sure that timestamp gets repopulated after a server restart (and thus sent to the client).

Now I get it. My "funny" timestamped records are always bid/ask records for symbols that haven't yet traded today.

Thanks for the explanation.

jkd