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orenh has contributed to 3 posts out of 21196 total posts (0.01%) in 3,049 days (0.00 posts per day).

20 Most recent posts:
IQFeed Developer Support » No Bid/Ask Sizes for Forex Feb 1, 2016 07:53 AM (Total replies: 4)

Thanks for the reply. I was hoping to get the real lot size, but I guess I can do without.

IQFeed Developer Support » No Bid/Ask Sizes for Forex Feb 1, 2016 03:46 AM (Total replies: 4)

The Level 1 feed for Forex symbols, e.g. EURUSD.FXCM, never reports the Bid Size or Ask Size. (I'm using Protocol 5.2.)

E.g.:

SELECT UPDATE FIELDS Symbol, Bid,Bid Size,Bid Time, Ask,Ask Size,Ask Time, Extended Trade Date,Message Contents
...
P,EURUSD.FXCM,1.08560,,03:39:46.925000,1.08564,,03:39:46.925000,02/01/2016,Cba,
Q,EURUSD.FXCM,1.08561,,03:39:47.211000,1.08564,,03:39:47.211000,02/01/2016,Cba,
Q,EURUSD.FXCM,1.08562,,03:39:47.369000,1.08564,,03:39:47.369000,02/01/2016,Cba,
Q,EURUSD.FXCM,1.08562,,03:39:47.391000,1.08565,,03:39:47.391000,02/01/2016,Cba,

This shows that the Bid/Ask Prices are present, but not the Sizes.


Another problem (a smaller one) is that for Forex, the 'Message Contents' field always contains "ba", indicating that both the Bid and Ask have changed. But in fact, often they haven't changed at all. This problem, too, can be seen in the lines above. E.g., in lines 3-4, the Bid Price is the same (1.08562), but despite this line #4 contains "b" in the Message Contents field. (Perhaps this is related to the fact that the Bid/Ask Sizes are missing?)

So my questions are:
1. How can I get the Bid/Ask Sizes?
2. Could you fix the spurious 'b'/'a' indicators? (I can ignore them, of course, but it would be better if they were set correctly in the first place.)

Thanks,
Oren

IQFeed Developer Support » Bad Level 2 messages today Jan 14, 2016 04:07 AM (Total replies: 5)

This problem just happened again. I got this line:

Z,GOOG,NSDQ,0.,698.9,0,3,04:49:20.059833,2016-01-14,52,99:99:99.000000,F,T,T,

This line claims that AskValid=True, but AskTime=99:99:99.000000, which is an invalid value.


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