Hello,

We are dealing with an odd real time data issue that happens when the market opens on Sunday afternoon/evening that we have so far observed at least with Forex data. The issue is that if we leave the application open over the weekend such that it is running on Sunday afternoon/evening when the markets open, we receive what appear to be a flurry of ticks /closing prices with timestamps that occur over the weekend when the market is closed.

For example, if I have a 5 minute chart, we end up receiving what appears to be a single closing price for each 5 minute period from the Friday close through the Sunday open. So instead of ticks beginning at the Sunday open, the application bars and data engine proceeds to process each of these additional ticks as a bar, which is causing performance and other issues.

Since this only happens once a week, it is difficult to examine and track down to determine an effective method to handle it. Currently, as far as handling quotes for the Last, the application is handling the "C" and "E" message types for quotes.

If I reload the application even just a minute or so after the open, I am able to avoid the issue, so it seems to be something that happens only if I am listening and processing quotes right at that moment.

I wanted to see if anyone had any guidance as to exactly what is happening here, as well as any tips on how to handle and/or avoid it if the application is running at the Sunday open.

Thanks,

Shawn
MTPredictor

Hello Shawn,

I have checked the incoming feeds and I am not seeing anything that jumps out at me as unusual or out of place. Could you please specify the symbol(s) in question and the time of the invalid data being sent and I will try to track it down.

Tim