Joined: Jan 14, 2016
Posted: Feb 1, 2016 03:46 AM
Msg. 1 of 5
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.)
SELECT UPDATE FIELDS Symbol, Bid,Bid Size,Bid Time, Ask,Ask Size,Ask Time, Extended Trade Date,Message Contents
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.)