I am trying to subscribe to Historical Volatility for the ES but I am not getting anything back.

Here are the command strings I'm sending to subscribe:

S,SET PROTOCOL,5.0

S,SELECT UPDATE FIELDS,Symbol,Last,Total Volume,Bid,Ask,Last Trade Date,Last
Size,Extended Trade TimeMS,Message Contents,Ask TimeMS,Bid TimeMS,Historical
Volatility,Expiration Date


And here are the server's responses:

S,CUST,real_time,66.112.156.225,60003,VpxAPxhm5WlJsApU,5.0.0.13,0, OPRA NYSE
NASDAQ-L2 NASDAQ L2_SERV SYMTIER1 CME-LTD CBOT-LTD AMEX L2 ,,1000,QT_API,,
S,CURRENT PROTOCOL,5.0,
S,CURRENT UPDATE FIELDNAMES,Symbol,Most Recent Trade,Most Recent Trade
Size,Most Recent Trade TimeMS,Most Recent Trade Market Center,Total
Volume,Bid,Bid Size,Ask,Ask Size,Open,High,Low,Close,Message Contents,Most
Recent Trade Conditions
E,Historical Volatility is not a valid fieldset field.,


I do wonder if the protocol needs to be something different, but it looks
like the latest version is 5.0.0.14, and before when I tried to use anything
beyond the major revision (i.e., 5.0.0.14 rather than just 5.0) it gave an
error.

---

scooke

Historical Volatility is a Fundamental message field so it cannot be selected in the Dynamic Fieldsets (which only affect Summary/Update messages).

You will simply need to parse the Fundamental Message That is returned for the @ES contract.