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»Forums Index »IQFeed Developer »IQFeed Developer Support »Level1 Quote API TickID Not Unique for Update Messages?
Author Topic: Level1 Quote API TickID Not Unique for Update Messages? (4 messages, Page 1 of 1)

bparvizi
-Interested User-
Posts: 2
Joined: Apr 27, 2016


Posted: Sep 14, 2016 03:09 PM          Msg. 1 of 4
Hi I am connecting to the Level1 Quote API:

1) telnet 127.0.0.1 5009

then using dynamic field sets:

2) S,SELECT UPDATE FIELDS,TickID,Total Volume,Incremental Volume,Last,High,Low,Bid,Ask,Bid Size,Ask Size,Last Trade Time

then issuing a watch command:

3) wCHK

I get data streaming:

Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,40600,15:46:32b,
Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,35100,15:46:32b,
Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,40600,15:46:32b,
T,20160914 15:46:34
Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,41000,15:46:32b,
Q,CHK,1514548,42259999,200,7.1850,7.4100,7.0100,7.1800,7.1900,31400,41000,15:46:34t,
Q,CHK,1514548,42259999,200,7.1850,7.4100,7.0100,7.1800,7.1900,31400,35500,15:46:34b,
Q,CHK,1514548,42259999,200,7.1850,7.4100,7.0100,7.1800,7.1900,31400,41000,15:46:34b,
T,20160914 15:46:35

I expected the TickID in the 3rd field to be unique for each update message, “Q”, but see the same TickID for multiple messages, for example, “1514461”. How should I interpret this? Second the “Last Trade Time” shows “b” and “t” appended to the time. What do those mean? Thanks.

bp

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


Posted: Sep 14, 2016 03:36 PM          Msg. 2 of 4
Since the MDP3.0 feed was released, the exchange has bundled trades, this masked much of what traders had come to depend on in their datafeed. In response to this, we unbundle the data locally to give you a better view of the market. The trades that are unbundled all share the same tick id. Some users who have wanted to use this as a unique field have chosen to append a .1, .2, .3, etc on the end of the tick ID when duplicates exist, but I am sure any number of other alternatives would work.

Tim

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


Posted: Sep 14, 2016 03:44 PM          Msg. 3 of 4
And as to question 2, those are related to what kind of data is included in the message. These are defined here.

http://www.iqfeed.net/dev/api/docs/docs51/Level1UpdateSummaryMessage.cfm

So I guess the real answer for this particular case, while my first answer is true, is that is the tick id of the last trade is what is shown. Hence why it changes with the 't' flagged message. The 'b' messages are bids and the tick id is not updated for those.

Tim

bparvizi
-Interested User-
Posts: 2
Joined: Apr 27, 2016


Posted: Sep 14, 2016 06:19 PM          Msg. 4 of 4
Thanks for the information, I was looking at some outdated documentation and updated my mac client to 5.2.4.2 as well. Just to confirm so I don’t double count or leave anything out, it appears an unbundled set will have the Incremental Volume calculated. Thus, for the dynamic fields:

S,SELECT UPDATE FIELDS,TickID,Total Volume,Incremental Volume,Last,High,Low,Bid,Ask,Bid Size,Ask Size,Last Trade Time

and the resulting data:

Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,40600,15:46:32b,
Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,35100,15:46:32b,
Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,40600,15:46:32b,

The total volume would be 100 not 300 (based on Incremental Volume field) for the Last price of 7.1900, otherwise the Total Volume would increase as well. So can I depend on the last unbundled update message starting with Q to have the correct volume for the Last price without having to do any addition myself? I expected that all TickID volume would be totalled, but that doesn’t appear to be the case for unbundled data. Thanks again for your help.

bp
 

 

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