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»Forums Index »IQFeed Developer »IQFeed Developer Support »Bid, Bid Time, Ask, Ask Time in Level 1 in protocol 5.2
Author Topic: Bid, Bid Time, Ask, Ask Time in Level 1 in protocol 5.2 (9 messages, Page 1 of 1)

Adyle0
-Interested User-
Posts: 10
Joined: Apr 9, 2013


Posted: Feb 15, 2016 09:17 AM          Msg. 1 of 9
I use the following fields:
S,SELECT UPDATE FIELDS,Symbol,Most Recent Trade,Most Recent Trade Size,Most Recent Trade Time," +
"Total Volume,Bid Time,Bid,Bid Size,Ask,Ask Size,Ask Time,Open,High,Low,Close,Message Contents, TickID


Q,@ES#,1882.50,2,09:55:09.294885,300751,08:12:11.925178,1884.00,110,1884.25,4,08:12:13.163948,1875.00,1890.00,1872.75,1858.25,C,1713054,
Q,@ES#,1882.50,1,09:55:09.295223,300752,08:12:11.925178,1884.00,110,1884.25,4,08:12:13.163948,1875.00,1890.00,1872.75,1858.25,C,1713058,
Q,@ES#,1882.50,1,09:55:09.295280,300753,08:12:11.925178,1884.00,110,1884.25,4,08:12:13.163948,1875.00,1890.00,1872.75,1858.25,C,1713061,

It seems Bid & Ask Time are way behind and Bid & Ask are nowhere near as well?
What am I missing?

Thanks,
Adi

DTN_Steve_S
-DTN Guru-
Posts: 2076
Joined: Nov 21, 2005


Posted: Feb 15, 2016 02:59 PM          Msg. 2 of 9
Today is an exchange holiday for most US exchanges (President's Day) so the markets have irregular data, if any.

Adyle0
-Interested User-
Posts: 10
Joined: Apr 9, 2013


Posted: Feb 15, 2016 03:46 PM          Msg. 3 of 9
This is CME Globex which did trade from yesterday 18:00 to today 13:00.
It's not just these three lines but all of them that seem wrong.

DTN_Steve_S
-DTN Guru-
Posts: 2076
Joined: Nov 21, 2005


Posted: Feb 15, 2016 04:37 PM          Msg. 4 of 9
You are correct. I don't see an explanation for what you are showing currently. Everything appears to be correct on the servers and our historical data shows current bid/ask prices along with those trades.

Is this the first time you've seen the issue? If so, did it start immediately upon upgrading to the new protocol?

Adyle0
-Interested User-
Posts: 10
Joined: Apr 9, 2013


Posted: Feb 16, 2016 02:06 AM          Msg. 5 of 9
The problem exists also when reverting to 5.1. It seems the problem has to do with 5.2.0.9 which I installed yesterday.

Below is a captured snapshot of both L1,2 for ES as of a few minutes ago, with my local timestamp at the beginning of the lines.

2016-02-16 03:02:55.645,2,@ES#,MD01,1888.75,1889.,66,36,03:02:55.607,2016-02-16,52,03:02:55.607,T,T,T,
2016-02-16 03:02:55.645,2,@ES#,MD01,1888.75,1889.,64,36,03:02:55.607,2016-02-16,52,03:02:55.607,T,T,T,
2016-02-16 03:02:55.645,2,@ES#,MD01,1888.75,1889.,63,36,03:02:55.607,2016-02-16,52,03:02:55.607,T,T,T,
2016-02-16 03:02:55.645,2,@ES#,MD01,1888.75,1889.,60,36,03:02:55.607,2016-02-16,52,03:02:55.607,T,T,T,
2016-02-16 03:02:55.645,2,@ES#,MD01,1888.75,1889.,59,36,03:02:55.607,2016-02-16,52,03:02:55.607,T,T,T,
2016-02-16 03:02:55.660,Q,@ES#,1888.75,2,03:02:55.605,442867,02:50:52.889,1889.25,14,1889.50,56,02:50:53.001,1892.50,1892.75,1887.50,1858.25,C,
2016-02-16 03:02:55.675,2,@ES#,MD01,1888.75,1889.,58,36,03:02:55.616,2016-02-16,52,03:02:55.607,T,T,F,
2016-02-16 03:02:55.675,2,@ES#,MD02,1888.5,1889.25,98,83,03:02:55.616,2016-02-16,52,03:02:55.607,T,T,T,
2016-02-16 03:02:55.675,2,@ES#,MD03,1888.25,1889.5,142,86,03:02:55.085,2016-02-16,52,03:02:55.617,T,T,F,
2016-02-16 03:02:55.675,2,@ES#,MD04,1888.,1889.75,97,82,03:02:55.085,2016-02-16,52,03:02:55.617,T,T,T,
2016-02-16 03:02:55.675,2,@ES#,MD06,1887.5,1890.25,170,103,03:02:55.085,2016-02-16,52,03:02:55.617,T,T,F,
2016-02-16 03:02:55.675,2,@ES#,MD07,1887.25,1890.5,173,92,03:02:55.085,2016-02-16,52,03:02:55.617,T,T,T,
2016-02-16 03:02:55.707,2,@ES#,MD02,1888.5,1889.25,93,83,03:02:55.661,2016-02-16,52,03:02:55.607,T,T,F,
2016-02-16 03:02:55.707,2,@ES#,MD03,1888.25,1889.5,147,86,03:02:55.661,2016-02-16,52,03:02:55.617,T,T,T,
2016-02-16 03:02:55.727,2,@ES#,MD02,1888.5,1889.25,89,83,03:02:55.662,2016-02-16,52,03:02:55.607,T,T,T,
2016-02-16 03:02:55.831,2,@ES#,MD01,1888.75,1889.,58,39,03:02:55.616,2016-02-16,52,03:02:55.775,T,T,T,
2016-02-16 03:02:55.831,2,@ES#,MD02,1888.5,1889.25,88,83,03:02:55.776,2016-02-16,52,03:02:55.607,T,T,T,
2016-02-16 03:02:55.864,2,@ES#,MD01,1888.75,1889.,61,39,03:02:55.807,2016-02-16,52,03:02:55.775,T,T,T,
2016-02-16 03:02:56.071,2,@ES#,MD02,1888.5,1889.25,93,83,03:02:56.021,2016-02-16,52,03:02:55.607,T,T,F,
2016-02-16 03:02:56.071,2,@ES#,MD03,1888.25,1889.5,142,86,03:02:56.021,2016-02-16,52,03:02:55.617,T,T,T,
2016-02-16 03:02:56.194,2,@ES#,MD02,1888.5,1889.25,90,83,03:02:56.107,2016-02-16,52,03:02:55.607,T,T,T,
2016-02-16 03:02:56.366,2,@ES#,MD01,1888.75,1889.,59,39,03:02:56.323,2016-02-16,52,03:02:55.775,T,T,T,
2016-02-16 03:02:56.379,Q,@ES#,1888.75,2,03:02:56.323,442869,02:50:52.889,1889.25,14,1889.50,56,02:50:53.001,1892.50,1892.75,1887.50,1858.25,C,
2016-02-16 03:02:56.550,2,@ES#,MD01,1888.75,1889.,59,37,03:02:56.323,2016-02-16,52,03:02:56.519,T,T,T,
2016-02-16 03:02:56.550,2,@ES#,MD01,1888.75,1889.,59,34,03:02:56.323,2016-02-16,52,03:02:56.519,T,T,T,
2016-02-16 03:02:56.550,2,@ES#,MD01,1888.75,1889.,59,28,03:02:56.323,2016-02-16,52,03:02:56.519,T,T,T,
2016-02-16 03:02:56.550,2,@ES#,MD01,1888.75,1889.,59,25,03:02:56.323,2016-02-16,52,03:02:56.519,T,T,T,
2016-02-16 03:02:56.550,2,@ES#,MD01,1888.75,1889.,61,25,03:02:56.519,2016-02-16,52,03:02:56.519,T,T,T,
2016-02-16 03:02:56.550,2,@ES#,MD01,1888.75,1889.,61,23,03:02:56.519,2016-02-16,52,03:02:56.519,T,T,T,
2016-02-16 03:02:56.550,2,@ES#,MD01,1888.75,1889.,63,23,03:02:56.519,2016-02-16,52,03:02:56.519,T,T,T,
2016-02-16 03:02:56.550,2,@ES#,MD01,1888.75,1889.,64,23,03:02:56.519,2016-02-16,52,03:02:56.519,T,T,T,
2016-02-16 03:02:56.550,2,@ES#,MD01,1888.75,1889.,64,22,03:02:56.519,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.550,2,@ES#,MD01,1888.75,1889.,64,20,03:02:56.519,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.550,2,@ES#,MD01,1888.75,1889.,64,17,03:02:56.519,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.551,2,@ES#,MD01,1888.75,1889.,65,17,03:02:56.520,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.551,2,@ES#,MD01,1888.75,1889.,65,15,03:02:56.520,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.551,2,@ES#,MD01,1888.75,1889.,65,13,03:02:56.520,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.551,2,@ES#,MD01,1888.75,1889.,66,13,03:02:56.520,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.551,2,@ES#,MD01,1888.75,1889.,67,13,03:02:56.520,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.551,2,@ES#,MD01,1888.75,1889.,68,13,03:02:56.520,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.581,Q,@ES#,1889.00,2,03:02:56.519,442871,02:50:52.889,1889.25,14,1889.50,56,02:50:53.001,1892.50,1892.75,1887.50,1858.25,C,
2016-02-16 03:02:56.581,2,@ES#,MD02,1888.5,1889.25,90,89,03:02:56.107,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.581,2,@ES#,MD02,1888.5,1889.25,94,89,03:02:56.520,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.582,2,@ES#,MD02,1888.5,1889.25,97,89,03:02:56.522,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.582,2,@ES#,MD01,1888.75,1889.,69,13,03:02:56.531,2016-02-16,52,03:02:56.520,T,T,F,
2016-02-16 03:02:56.582,2,@ES#,MD02,1888.5,1889.25,96,89,03:02:56.531,2016-02-16,52,03:02:56.520,T,T,T,
2016-02-16 03:02:56.582,2,@ES#,MD03,1888.25,1889.5,142,85,03:02:56.021,2016-02-16,52,03:02:56.531,T,T,F,
2016-02-16 03:02:56.582,2,@ES#,MD04,1888.,1889.75,97,83,03:02:55.085,2016-02-16,52,03:02:56.531,T,T,T,

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Feb 16, 2016 09:11 AM          Msg. 6 of 9
Good morning,

We have identified this as an issue with our trades only watches. We are currently investigating and will get a fix out asap.

Tim

Adyle0
-Interested User-
Posts: 10
Joined: Apr 9, 2013


Posted: Feb 16, 2016 11:24 AM          Msg. 7 of 9
Meanwhile I downgraded to 5.1.3.1

Thanks,
Adi

Docent
-Interested User-
Posts: 26
Joined: Jan 27, 2009


Posted: Feb 21, 2016 05:23 AM          Msg. 8 of 9
I confirm the problem.
I downgraded to 5.1.3.1 too.

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Feb 24, 2016 12:24 PM          Msg. 9 of 9
Hello all,

Sorry for the issues you experienced on this. We have posted version 5.2.1.0 that will address the bid and ask issues with the trades only watches.

http://www.iqfeed.net/iqfeed_client_5_2_1_0.exe

Tim
Edited by DTN_Tim Walter on Feb 24, 2016 at 12:38 PM
 

 

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