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» Understanding Level II data / how to build a bid/ask ladder
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| Author | Topic: Understanding Level II data / how to build a bid/ask ladder (2 messages, Page 1 of 1) |
 Dierk Droth -Interested User- Posts: 67 Joined: Aug 11, 2004 |
Posted: Sep 1, 2004 02:38 PM
Msg. 1 of 2
Hi,
I would like to build a bid/ask ladder for a level II display. Here are my questions: 1) Do I have to "calculate" the position of an price/volume/MMID record by myself or is the position somewhere provided in the "U"- record (have not found anything so far). 2) How are records updated ? Can I assume that bid/ask records with same price and MMID override each other ? 3) How are old records deleted ? Is there any field in the "U" record indicating a deletion of a record ? 4) I failed to find a reference on "Reason code" and "Condition code" at www.nasdaq.com (as suggested by the docs). Could you please provide a link to more detailed information ? 5) What the meaning of "Source ID" ? Is it equivalent to "Market code" or "Exchange Id" ? Regards Dierk Droth www.trademagic.net TradeMagic - Trading at its best |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004 
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Sep 8, 2004 01:26 PM
Msg. 2 of 2
1) Do I have to "calculate" the position of an price/volume/MMID record by myself or is the position somewhere provided in the "U"- record (have not found anything so far).
>>Yes. You will receive bid/ask updates and will need to do whatever you need with the data. Each application processed data differently and creates tiers their own way, so you will need to process the data to do what you need. 2) How are records updated ? Can I assume that bid/ask records with same price and MMID override each other ? >> yes. think of a MMID quote as a "sub symbol" and thus if you get a MMID with a new bid/ask update, it is a new quote from that MMID. 3) How are old records deleted ? Is there any field in the "U" record indicating a deletion of a record ? >> Look for the quote condition to change to L or for the bid/ask to go to zero. In our case, we don't remove the MMID, we put it at the bottom of the sort. The MMID may still be in the market, but just not with any shares available at the time. 4) I failed to find a reference on "Reason code" and "Condition code" at www.nasdaq.com (as suggested by the docs). Could you please provide a link to more detailed information ? >> On the main API Documentation page. There is a link at the bottom "NASDAQ Level II Condition and Reason Codes". Use this. There is also a link to the full NQDS documentation found on nasdaqtrader.com. 5) What the meaning of "Source ID" ? Is it equivalent to "Market code" or "Exchange Id" ? >> it is safe to ignore this field. Jay Froscheiser DTN Market Access, LLC. |
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