I wondered if you could explain a few things. I am subscribing to the following message fields:

Last, Bid, Ask,LastSize, LastTimeMS,MessageContents,AskTimeMS,BidTimeMS

I am a little confused about the language in your documentation that says "NOTE: you can get multiple codes in a single message but you will only get one trade identifier per message."

I understand that "C", "E", or "O" will never appear in the same message. But can you explain how many different combinations of the other Message Contents can occur and if they can occur out of order. Are all of these possible:

Cab
bCa
Eb
aOb

And if so, what is the significance of the order? Does bCa mean that a bid message came in, then a Trade Message, then an ask message (in that order)? And with that in mind, will the time stamps in that message all reflect the difference in time? So would that mean that I should assume the BidTimeMS timestampt to be the earliest, followed by the LastTimeMS timestamp and then the AskTimeMS? Are all of these combinations listed above possible?

Thanks for your help and sorry if these are rookie questions.

---

scooke

The trade identifier will always be the first character in the field if the message contained trade information. Other than that, the order of the codes in the field have no relevence.

Each message you receive (with the exception of Summary messages) will represent a single message from the exchange (we don't bundle messages together). As a result, the only time you will get multiple codes is in the event where a trade sets the open/high/low/etc or for exchanges that always send quotes with bid/ask bundled together.

Steve,

Still not 100 % clear. In 4.9.0.3, the documentation had the following notes:

t - A trade update occurred
b - A bid update occurred (an ask update may also have occurred)
a - A ask update occurred
NOTE: These are listed in "priority" order. This means that an updated bid may come included in a trade message. Likewise, a settlement (normally an 'o' message) might come through included in a trade, bid, or ask message. Most data related issues with the feed are a result of not interpreting this field correctly.

Your response says "we don't bundle messages" yet the 5.0.0.9 documentation does not specifically point out that the text I posted above has changed. This text says a Trade Message can include a bid message and a bid message can include and ask message.

If I am tracking the Message Contents field which has the following possible codes CEObaohlcs but I am ignoring these: EOohlcs and only really tracking Cba, are you saying that in 5.0.0.9, I will never see any of the codes Cb or a bundled together, ever?

---

scooke

Steve are you still there? Just trying to get this clarified. Thanks,

---

scooke

sorry for the delay.

It all depends on what symbols you are watching and more specifically what exchanges those symbols are on and how that particular exchange sends the data to us. If you are watching a symbol on an exchange that sends trades separate from bid/ask information then you will never get a trade message that also includes bid/ask data. But if the exchange sends both trades and bid/ask in the same message then you can get both. Addtionally, some exchanges send bid and ask updates together even if only one updated so those exchanges will always show 'b' and 'a' together ('ba') while other exchanges can send bids and asks in different messages by themselves so for those, you can get them separate from the feed.

In the 4.9 protocol, we only had a single character (bundled in with the time field) to identify all of this so we had to make the decision that trades were higher priority than quotes and that bids were higher priority that asks.

In the 5.0 protocol, we eliminated this restriction by creating a field that will allow us to tell you everything that updated in the message and you get a character for each. We also added in identifiers for a few of the other most popular fields.

In theory, you could convert the 5.0 MessageContents field back to the 4.9 codes with the following logic.

If the first character is a 'C', then 4.9 will show a 't'
else if the first character is a 'E', then 4.9 will show a 'T'
else if the message contains 'b', then 4.9 will show a 'b'
else if the message contains 'a', then 4.9 will show a 'a'
else, 4.9 will show an 'o'

Hope this helps clear it up for you.
Edited by DTN_Steve_S on Mar 4, 2013 at 12:50 PM

Thank you for that detailed explanation. That helped a lot. One last question though:

If I do receive a message from 5.0 that shows both a Trade and Bid update in the same message, while I am subscribed to LastTimeMS and BidTimeMS, is it safe to say both time fields will be updated to show which came in first the Trade or the Bid update?

---

scooke

Yes.