|
Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!
(Move your cursor to this area to pause scrolling)
"I used to have *******, but they are way more money for the same thing. I have had no probs with data from DTN since switching over." - Comment from Public Forum Post
"I've never had DTN go out on me since switching. ******* would go down a couple times every month when I was using them." - Comment from Bryce in AL.
"IQ feed is brilliant. The support is mind-bending. What service!" - Comment from Public Forum Post
"I just wanted to let you know how fast and easy I found it to integrate IQFeed into our existing Java code using your JNI client. In my experience, such things almost never go so smoothly - great job!" - Comment from Nate
"There is no doubt that IQFeed is the best data provider. I am very satisfied with your services. And IQFeed is the only one that I would recommend to my friends. Now, most of them are using your product in China." - Comment from Zhezhe
"I cannot believe what a difference it makes trading with ProphetX!" - Comment from Bruce in Los Angeles
"Everything is working amazing now. I'm already impressed with the true-tick feed of IQFeed and it's ability to support my 480 symbol layout." - Comment from Tyler via Email
"IQFeed version 4 is a real screamer compared to anything else I have seen." - Comment from Tom
"Everything is working great with the API. I love it." - Comment from Calvin
"DTN has never given me problems. It is incredibly stable. In fact I've occasionally lost the data feed from Interactive Brokers, but still been able to trade because I'm getting good data from DTN." - Comment from Leighton
|
|
|
|
altmany
-Interested User-
Posts: 73
Joined: Jul 30, 2018
IQML - IQFeed-MATLAB connector
|
Posted: May 2, 2019 04:15 AM
Msg. 1 of 4
when I ran a level 2 request for MSFT outside regular trading hours, I got the following data row among others: <= 20190502 04:18:38.700 (Level2) Z,MSFT,BATS,0.,129.39,0,600,18:29:49.000347,2019-05-01,52,99:99:99.000000,F,T,T According to the documentation ( http://www.iqfeed.net/dev/api/docs/Level2UpdateSummaryMessage.cfm), this row translates as follows: Symbol: MSFT MMID: BATS Bid: 0 Ask: 129.39 BidSize: 0 AskSize: 600 BidTime: 18:29:49.000347 Date: 2019-05-01 Condition: 52 (regular) AskTime: 99:99:99.000000 BidInfoValid: False AskInfoValid: True EndOfMessage: True The reported BidTime and AskTime make no sense - it is the Bid which is invalid (and should have the invalid time of 99:99:99), and the Ask which is valid (and should have the valid time of 18:29:49). Is this a bug in IQFeed's code? If I'm correct, perhaps it would be simpler to fix the documentation than to fix the code - switching between BidTime/AskTime in the documentation will seem a bit awkward (because Bid is often reported before Ask), but at least it would be consistent with your current code and would not require you to do any code fixes. Please advise. Yair Altman IQML - IQFeed-MATLAB connector https://UndocumentedMatlab.com/IQML
I am not a DTN employee; my post reflects my personal opinion
|
altmany
-Interested User-
Posts: 73
Joined: Jul 30, 2018
IQML - IQFeed-MATLAB connector
|
Posted: May 14, 2019 10:28 AM
Msg. 2 of 4
|
DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005
|
Posted: May 15, 2019 05:41 AM
Msg. 3 of 4
My apologies for the delayed response here. You've decoded the message correctly. It would appear that this is a bug in the feed but I don't know how or why it occurred at this time. If you have more examples, it will help in tracking this down, but I don't believe this is a case of simply applying the valid time to the wrong field.
|
altmany
-Interested User-
Posts: 73
Joined: Jul 30, 2018
IQML - IQFeed-MATLAB connector
|
Posted: May 15, 2019 06:08 AM
Msg. 4 of 4
Thanks Steve - here is another example that I have just seen, this time for the FB symbol: <= 20190515 07:01:01.237 (Level2) Z,FB,CHXE,0.,180.71,0,100,07:00:17.012566,2019-05-15,52,99:99:99.000000,F,T,T In this new example, the Bid is invalid and the Ask is valid, yet the timestamps appear switched. As far as I could tell, this problem is evident whenever one Bid/Ask is valid and the other is not. But it is quite possible that the problem of switched BidTime<->AskTime is consistent even when both Bid and Ask are valid, and nobody has reported it so far because it would be nearly impossible to detect except in the specific case of just one of them being invalid. Yair Altman IQML - IQFeed-MATLAB connector https://UndocumentedMatlab.com/IQML
I am not a DTN employee; my post reflects my personal opinionEdited by altmany on May 15, 2019 at 06:08 AM
|
|
|
|