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)




"After all the anxiety I had with my previous data provider it is a relief not to have to worry about data speed and integrity." - Comment from Eamonn
"You are much better than lawyers or the phone company because you answer the phone when I call! I just love your customer service." - Comment from Isreal
"I was on the phone with a friend who uses CQG and right after the Fed announcement, CQG was as much as 30 seconds behind DTN.IQ. Some quotes were off by as much as 15-18 cents. Your feed never missed a beat." - Comment from Roger
"I have been using IQFeed now for a few years in MultiCharts and I have zero complaints. Very, very rare to have any data hiccups or anything at all go wrong." - Comment from Public Forum
"I like you guys better than *******...much more stable and a whole lot fewer issues." - Comment from Philip
"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
"IQ feed works very well, does not have all of the normal interruptions I have grown used to on *******" - Comment from Mark
"Just a quick one to say I'm very impressed so far :) The documentation for developers is excellent and I've quickly managed to get an app written to do historical downloads. The system is very robust and pretty quick considering the extent of data that's available. The support guys have been very helpful too, in combination with the forums it's been plain sailing so far!" - Comment from Adam
"I just wanted to say how happy I am with your service. I was able to download the API docs last week and I was able to replicate Interactive Brokers historical bar queries and realtime bar queries over the weekend. That was about one of the fastest integrations that I've ever done and it works perfectly!!!!" - Comment from Jason via Email
"DTN feed was the only feed that consistently matched Bloomberg feed for BID/ASK data verification work these past years......DTN feed is a must for my supply & demand based trading using Cumulative Delta" - Comment from Public Forum Post
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »IQFeed Developer »IQFeed Developer Support »How to handle late reporting
Author Topic: How to handle late reporting (2 messages, Page 1 of 1)

SierraChart
-Interested User-
Posts: 25
Joined: May 23, 2006


Posted: Apr 11, 2008 12:42 PM          Msg. 1 of 2
We have one user who is asking about trades which are reported late and if we filter those out. In your level 1 data, do late reported trades have an old timestamp? Are there late reported trades? How do we identify them if they exist so they can be filtered.?

Here is the post from the user:

http://supportboard.sierrachart.com/showpost.php?p=88613&postcount=1

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005


Posted: Apr 11, 2008 01:02 PM          Msg. 2 of 2
IQFeed does not alter the timestamps sent by the exchange and they will be sent through at the time the exchange sends them without reguard to if it is "in order" or not.

So if a trade comes through at 14:00:00 that is timestamped 13:55:00, we will send it out with the 13:55:00 timestamp when it comes through at 14:00:00.

This very rarely ever happens to this extent ("off by a few minutes") but happens much mroe frequently on a "off by a few seconds" basis. It still isn't what I would deem a frequent occurance in the feed, but it does happen.

The only way you could really identify these trades would be to monitor the timestamp. If a trade comes in that is prior to the previous timestamp, you will know that they were sent out of order. But ultimately, you have to determine what criteria you would want to filter these on ("How late is too late?").
 

 

Time: Thu July 18, 2019 9:42 PM CFBB v1.2.0 16 ms.
© AderSoftware 2002-2003