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Viewing User Profile for: tamir
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Joined: May 5, 2009 03:23 AM
Last Post: May 17, 2009 04:21 AM
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tamir has contributed to 4 posts out of 21190 total posts (0.02%) in 5,476 days (0.00 posts per day).

20 Most recent posts:
Data and Content Support » When does the accumulative volume declines ? May 17, 2009 04:21 AM (Total replies: 1)

I am an IQFeed subscriber using XLQ via its C++ API.

We are monitoring the Total Accumulative Volume of stocks. Surprisingly, sometimes this number decreases (Without any cancellations). Here are two quotes of DELL from the 5/15/2009. (These lines are taken from the IQConnection log file):

1) TO CLIENT (LEVEL1)=2009-05-15 11:34:15: (Accumulative Total Volume = 11553435)

Q,DELL,F,11.0500,0.12,0.010978957,11553435,200,11.1225,10.8000,11.0500,11.0600,19100,6800,,,0.3225,11:34:12b,,10.8550,10.9300,0.01,,,,t,,,,,05/15/2009,,11.0500,,,,0.12,0,0.000000268,-0.593661063,0.,0.,0.195,0,0.02918552,21559058.300000001,14,4,,27409386,BSE-CSE-CHX-NYSE-PSE-NMS,,,,,35174,,,10.9836,0,N,,

2) TO CLIENT (LEVEL1)=2009-05-15 11:34:18: (Accumulative Total Volume = 11473435)
Q,DELL,F,11.0500,0.12,0.010978957,11473435,200,11.1225,10.8000,11.0500,11.0600,19200,6800,,,0.3225,11:34:12b,,10.8550,10.9300,0.01,,,,t,,,,,05/15/2009,,11.0500,,,,0.12,0,0.000000268,-0.596474695,0.,0.,0.195,0,0.02918552,21559058.300000001,14,4,,27409386,BSE-CSE-CHX-NYSE-PSE-NMS,,,,,35174,,,10.9836,0,N,,

I did not see any cancellation quotes in the log file for that stock in the timeframe at hand.
What is the explenation for this phenomena?
Am I missing something ?

Tamir
Tamir

Data and Content Support » How come BID > ASK ? May 10, 2009 02:56 AM (Total replies: 2)

I am using IQFeed (via the XLQ C++ API) and I noticed that many times I get that the BID price exceeds ASK price.
(There is no change in the last update time so I guess these two prices belong to the same quote)

I provided the few following examples. All are within trading hours. I have hundreds of such examples. Nearly every stock has this phenomena at least once in a day.

BID ASK symbol last update time
6.51 6.5 SWHC 9:40:12
22.18 22.17 BRCM 9:54:15
26.29 26.28 ADBE 9:44:00
25.72 25.71 ADBE 10:22:32
25.55 25.54 ADBE 10:31:46


Tamir
Tamir

Data and Content Support » Half a day is missing on BIX.XO on 28/4/2009 May 8, 2009 03:18 AM (Total replies: 2)

On the 28/4/2009 (last week) there is half a day of data missing for the symbol BIX.XO (S&P Bank Index).
From 12:00 to the end of day you get the same line of data for the entire day. As can be seen in the following sample. My questions are:
1) Is it a common practice in DTN to fill up missing rows this way?
2) Since the missing data is from last week and since BIX.XO is a major index I was hoping DTN will correct and fill the missing data.

Tamir

04/28/2009,12:03,96.120,96.120,96.120,96.120,0
04/28/2009,12:04,96.120,96.120,96.120,96.120,0
04/28/2009,12:05,96.120,96.120,96.120,96.120,0
...
...
04/28/2009,16:04,96.120,96.120,96.120,96.120,0
04/28/2009,16:05,96.120,96.120,96.120,96.120,0
04/28/2009,16:06,96.120,96.120,96.120,96.120,0
Tamir

Data and Content Support » How come that BID=ASK? May 5, 2009 03:32 AM (Total replies: 1)

This is probably a newbie question.
I just started using IQFeed (via the XLQ C++ API) and I noticed that many times I get that the BID price equals ASK price.
(There is no change in the last update time so I guess these two prices belong to the same quote)

My questions are:
1) Am I doing anything wrong?
2) Should I expect a spread of 0? If so, when - under what cirumstances?
3) Is it a known issue and if so how should such cases be considered?

Since there are many such examples I did not provide a specific data sample.

Tamir
Tamir


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