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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »Incorrect L2 data for futures
Author Topic: Incorrect L2 data for futures (4 messages, Page 1 of 1)

aQuant
-Interested User-
Posts: 49
Joined: Jul 20, 2012
Posted: Jan 26, 2019 10:36 PM          Msg. 1 of 4
I often see incorrect/nonsensical L2 data right after a large trade takes out a few levels on the DOM (depth of market). For example, this is from CLH9 1/22/2019 at 06:01.44.16260am EST the ask price is off by almost hundred ticks for a few updates in a row. Then at 06:01:44.162895 it 'comes back' to normal.

I have other examples, where crossed bid/ask MD0x levels are reported for a number of updates (typically following a trade that sweeps a few levels). Is this something that can be fixed?

QCLH19,MD01,53.13,53.15,10,18,06:01:44.162613,2019-01-22,52,06:01:44.021207,T,T,F,
QCLH19,MD02,53.12,53.16,34,25,06:01:44.162613,2019-01-22,52,06:01:43.970119,T,T,F,
QCLH19,MD03,53.11,53.17,54,22,06:01:44.162613,2019-01-22,52,06:01:43.970383,T,T,F,
QCLH19,MD04,53.1,53.18,76,28,06:01:44.162613,2019-01-22,52,06:01:43.883353,T,T,F,
QCLH19,MD05,53.09,53.19,32,28,06:01:44.162613,2019-01-22,52,06:01:43.874302,T,T,F,
QCLH19,MD06,53.08,53.2,37,22,06:01:44.162613,2019-01-22,52,06:01:44.011207,T,T,F,
QCLH19,MD07,53.07,53.21,80,23,06:01:44.162613,2019-01-22,52,06:01:44.037856,T,T,F,
QCLH19,MD08,53.06,53.22,38,29,06:01:44.162613,2019-01-22,52,06:01:44.037856,T,T,F,
QCLH19,MD09,53.05,53.23,90,18,06:01:44.162613,2019-01-22,52,06:01:43.874302,T,T,F,
QCLH19,MD10,53.04,53.24,39,24,06:01:44.162613,2019-01-22,52,06:01:43.874302,T,T,T,
QCLH19,MD01,54.18,54.18,0,3886,06:01:44.162620,2019-01-22,52,06:01:44.162620,F,T,F,
QCLH19,MD02,53.13,54.19,10,9,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F,
QCLH19,MD03,53.12,54.2,10,23,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F,
QCLH19,MD04,53.11,54.21,41,26,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F,
QCLH19,MD05,53.1,54.22,76,15,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F,
QCLH19,MD06,53.09,54.23,32,14,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F,
QCLH19,MD07,53.08,54.24,37,8,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F,
QCLH19,MD08,53.07,54.25,80,22,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F,
QCLH19,MD09,53.06,54.26,38,8,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,F,
QCLH19,MD10,53.05,54.27,90,14,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,T,
QCLH19,MD01,53.11,53.12,49,19,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F,
QCLH19,MD02,53.1,53.13,95,1,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F,
QCLH19,MD03,53.09,53.15,32,18,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F,
QCLH19,MD04,53.08,53.16,37,25,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F,
QCLH19,MD05,53.07,53.17,80,22,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F,
QCLH19,MD06,53.06,53.18,38,28,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F,
QCLH19,MD07,53.05,53.19,90,28,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F,
QCLH19,MD08,53.04,53.2,39,22,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F,
QCLH19,MD09,53.03,53.21,55,23,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,F,
QCLH19,MD10,53.02,53.22,48,29,06:01:44.162895,2019-01-22,52,06:01:44.162895,T,T,T,

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005
Posted: Jan 28, 2019 07:02 AM          Msg. 2 of 4
Hello, I do see a potential issue here:

QCLH19,MD01,54.18,54.18,0,3886,06:01:44.162620,2019-01-22,52,06:01:44.162620,F,T,F,

For whatever reason, the Bid is invalid in this message. This is marked in the BidInfoValid flag at the end of the message. I can't think of a reason that the MD01 would ever be invalid though (this is what requires investigation).

Also, make sure you are paying attention to the end of group flag in the last field of the message. This field , when false, indicates that the message needs to be processed as part of a group. Essentially, only when this field is true should all depth levels be considered correct.
Edited by DTN_Steve_S on Jan 28, 2019 at 07:03 AM

aQuant
-Interested User-
Posts: 49
Joined: Jul 20, 2012
Posted: Jan 28, 2019 09:31 AM          Msg. 3 of 4
Yes, I am aware of the Bid/AskInfoValid flag. Note this line though:

QCLH19,MD10,53.05,54.27,90,14,06:01:44.162620,2019-01-22,52,06:01:44.162620,T,T,T,

which indicates end of group updates. It still has the 54.27 ask (this time all are flagged valid). This ask is definitely not valid, about 100 ticks off of correct price.

aQuant
-Interested User-
Posts: 49
Joined: Jul 20, 2012
Posted: Jan 29, 2019 12:27 PM          Msg. 4 of 4
Here is an example of a few situations from yesterday where best bid is reported above best ask (MD01 updates below). This is from 1/28/2019 CLH19 instrument.

QCLH19,MD01,52.99,52.89,4,5,01:41:26.756957,2019-01-28,52,01:41:26.757060,T,T,F,
QCLH19,MD02,52.98,52.9,10,1,01:41:26.756957,2019-01-28,52,01:41:26.757060,T,T,F,
QCLH19,MD03,52.87,52.91,57,13,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F,
QCLH19,MD04,52.86,52.95,67,8,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F,
QCLH19,MD05,52.85,52.96,70,3,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F,
QCLH19,MD06,52.84,52.97,53,9,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F,
QCLH19,MD07,52.83,52.98,90,3,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F,
QCLH19,MD08,52.82,52.99,81,3,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F,
QCLH19,MD09,52.81,53.,48,35,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,F,
QCLH19,MD10,52.8,53.01,109,23,01:41:26.757060,2019-01-28,52,01:41:26.757060,T,T,T,
QCLH19,MD01,52.99,52.89,4,6,01:41:26.756957,2019-01-28,52,01:41:26.757075,T,T,T,


QCLH19,MD01,52.85,52.84,31,2,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F,
QCLH19,MD02,52.82,52.85,27,56,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F,
QCLH19,MD03,52.81,52.86,55,33,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F,
QCLH19,MD04,52.8,52.87,50,42,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F,
QCLH19,MD05,52.79,52.88,36,26,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F,
QCLH19,MD06,52.78,52.89,40,31,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F,
QCLH19,MD07,52.77,52.9,38,70,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F,
QCLH19,MD08,52.76,52.91,34,31,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F,
QCLH19,MD09,52.75,52.92,47,42,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,F,
QCLH19,MD10,52.74,52.93,37,47,07:03:29.613372,2019-01-28,52,07:03:29.613372,T,T,T,
QCLH19,MD02,52.82,52.85,27,6,07:03:29.613372,2019-01-28,52,07:03:29.613386,T,T,F,
QCLH19,MD03,52.81,52.86,55,22,07:03:29.613372,2019-01-28,52,07:03:29.613386,T,T,T,
QCLH19,MD03,52.81,52.86,55,4,07:03:29.613372,2019-01-28,52,07:03:29.613403,T,T,T,

QCLH19,MD01,52.42,52.41,3,2,09:07:55.677653,2019-01-28,52,09:07:55.677684,T,T,F,
QCLH19,MD02,52.41,52.43,10,15,09:07:55.677676,2019-01-28,52,09:07:55.677684,T,T,F,
QCLH19,MD03,52.39,52.44,37,45,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F,
QCLH19,MD04,52.38,52.45,61,41,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F,
QCLH19,MD05,52.37,52.46,41,49,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F,
QCLH19,MD06,52.36,52.47,60,46,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F,
QCLH19,MD07,52.35,52.48,98,42,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F,
QCLH19,MD08,52.34,52.49,40,33,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F,
QCLH19,MD09,52.33,52.5,47,37,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,F,
QCLH19,MD10,52.32,52.51,62,24,09:07:55.677684,2019-01-28,52,09:07:55.677684,T,T,T,
 

 

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