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)




"IQFeed version 4 is a real screamer compared to anything else I have seen." - Comment from Tom
"If someone needs the best quality data and backfill beyond what their broker provides at a rate that is the best in the industry, I highly recommend IQFeed." - Comment from Josh via Public Forum
"Thanks for the great product and support. During this week of high volume trading, my QuoteTracker + IQ Feed setup never missed a beat. Also, thanks for your swiftness in responding to data issues. I was on ******* for a few years before I made the switch over early this year, and wish I had done it a long time ago." - Comment from Ken
"With HUGE volume on AAPL and RIMM for 2 days, everyone in a trading room was whining about freezes, crashes and lag with *******, RealTick, TS and Cyber. InvestorRT with IQFeed was rock solid. I mean SOLID!" - Comment from Public IRC Chat
"I like you guys better than *******...much more stable and a whole lot fewer issues." - Comment from Philip
"I've been using IQFeed 4 in a multi-threaded situation for the last week or two on 2600 symbols or so with 100 simultaneous daily charts, and I have had 100% responsiveness." - Comment from Scott
"My broker in Davenport suggested I give you a try as he uses your service and says its the best." - Comment from Bill via RT Chat
"Everything is working great ! Very impressive client. The news refreshes better and is more pertinent than the ******* feed I paid $ 100/month for. I Also like the charts a lot." - Comment from Leon
"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
"I am enjoying the feed very much - so superior to the broker provided feed I was previously using." - Comment from George
Home  Search  Register  Login  Blogs Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTN_IQFeed on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »Product Support »Data and Content Support »pre-open Total Volume
Author Topic: pre-open Total Volume (4 messages, Page 1 of 1)

jacknsa
-Interested User-
Posts: 10
Joined: Nov 1, 2017


Posted: Dec 22, 2017 09:56 AM          Msg. 1 of 4
Dec 15 was a triple-witch options expiration day and we noticed some unusual trades. Unfortunately I wasn't logging the real time quotes but I'm trying to understand the trade flow from a historic HTT. Can you help me understand the trades at 08:34:41 and 09:07:00? In particular, note that "Total Volume" at 09:05:10 seems to be less than at 08:34:41 and then catches up at 09:07:00.

Thanks.

HTT,MCD,20171215 000000,20171215 235959,,040000,093000,1,TESTREQUEST,10
TESTREQUEST,2017-12-15 04:06:22,173.2900,108,108,171.2000,173.2900,808464434,0,0,E,
TESTREQUEST,2017-12-15 07:26:46,173.5800,100,546,173.1500,173.6300,808465714,0,0,E,
TESTREQUEST,2017-12-15 08:13:34,173.5800,100,695,173.1500,173.6300,808466225,0,0,E,
TESTREQUEST,2017-12-15 08:34:41,173.1400,285,34722,173.2500,173.6300,808539464,0,0,E,
TESTREQUEST,2017-12-15 09:05:10,173.6200,100,1136,173.5000,173.6300,808466770,0,0,E,
TESTREQUEST,2017-12-15 09:07:00,173.1400,33742,34891,173.2000,173.7500,808661586,0,0,E,
TESTREQUEST,2017-12-15 09:23:58,173.6900,122,35122,173.5300,173.7000,808469826,0,0,E,
TESTREQUEST,2017-12-15 09:24:59,173.5300,138,35304,173.1500,173.5300,808470089,0,0,E,
TESTREQUEST,2017-12-15 09:29:30,173.9400,300,35654,173.5900,173.9800,808464456,0,0,E,
TESTREQUEST,2017-12-15 09:29:35,173.9800,100,35854,173.6100,174.0000,808464433,0,0,E,
TESTREQUEST,2017-12-15 09:29:45,174.0000,100,35954,173.8000,174.1800,808464735,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.1600,111,36065,173.8000,174.3500,808473429,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.2400,100,36173,173.8000,174.3500,808473648,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,100,36454,173.8000,174.3500,808473651,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,281,36754,173.8000,174.3500,808473666,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,400,37154,173.8000,174.3500,808473667,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,400,37554,173.8000,174.3500,808473668,0,0,E,
TESTREQUEST,!ENDMSG!,

DTN_Tim Walter
-DTN Guru-
Posts: 1181
Joined: Apr 25, 2006


Posted: Dec 22, 2017 10:42 AM          Msg. 2 of 4
Good morning, Around 9:01 we received a deletion that was sent for a trade of 33472 shares that was originally sent at 08:32:37.827174. It then appears a similar trade was sent at 9:07 by the exchange. The total volume is the currently reported volume at the time of the trade, and that is what caused this apparent overlap.

Tim

jacknsa
-Interested User-
Posts: 10
Joined: Nov 1, 2017


Posted: Dec 26, 2017 06:48 AM          Msg. 3 of 4
Thanks for the quick reply. I'm trying to determine what the real-time "Q" feed would have looked like and how we can detect in real-time when something like this happens in the future. I assume we would have gotten normal "E" records for the 08:32:37 and 09:07:00 events but what would we have gotten for the 09:01 deletion? Do you happen to have saved traces of the "Q" feed for that time period?

Jack

DTN_Tim Walter
-DTN Guru-
Posts: 1181
Joined: Apr 25, 2006


Posted: Dec 27, 2017 08:35 AM          Msg. 4 of 4
We apply these items to our historical data upon reciept, so you can identify them in history by when the volume crosses, like in your case, but there is not a message in the level one data feed to help you process these situations real-time. It is something I will escalate to our product management to try and bring attention to on your behalf for future development.

Tim
 

 

Time: Sun June 24, 2018 5:13 PM CFBB v1.2.0 16 ms.
© AderSoftware 2002-2003