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»Forums Index »IQFeed Developer »IQFeed Developer Support »Treasury futures show non-tradable prices in Level2 updates
Author Topic: Treasury futures show non-tradable prices in Level2 updates (3 messages, Page 1 of 1)

aQuant
-Interested User-
Posts: 41
Joined: Jul 20, 2012


Posted: May 2, 2018 10:54 PM          Msg. 1 of 3
Some level2 updates are being transmitted with missing digits, resulting in non-tradable prices for US Treasury futures (cme-globex). Here is a snapshot of data 4/30/2018 data with times being EST (iqfeed original binary data)
Z,@TYM18,MD02,119.4062,119.4531,2728,2948,02:57:47.063273,2018-04-30,52,02:58:05.033101,T,T,T,
Z,@TYM18,MD10,119.2812,119.5781,2686,2938,02:56:56.026410,2018-04-30,52,02:55:53.000703,T,T,T,
Z,@TYM18,MD07,119.3281,119.5312,3073,3010,02:55:53.000854,2018-04-30,52,02:55:53.000668,T,T,T,
Z,@TYM18,MD04,119.375,119.4844,4011,3183,02:58:02.013251,2018-04-30,52,02:55:53.000627,T,T,T,
Z,@TYM18,MD09,119.2969,119.5625,3105,4493,02:55:55.026573,2018-04-30,52,02:55:53.000691,T,T,T,
Z,@TYM18,MD01,119.4219,119.4375,1720,353,02:58:03.012086,2018-04-30,52,02:58:07.060752,T,T,T,
Z,@TYM18,MD06,119.3438,119.5156,2837,3079,02:57:19.030662,2018-04-30,52,02:55:53.000648,T,T,T,

119.4062 is not a tradable price, 119.40625 is (the 5th decimal digit is missing in the above update)
I am attaching a file from 4/30/2018 with the following structure:
cme ticker, timestamp in CST (hh:mm:ss.fffffff-to a tenth of a microsecond), bid,ask, depth (where depth is zero based, i.e. 2 means MD03 update in iqfeed terms). I scanned data from 1/1/2018-4/30/2018 and this happens daily. I can provide a full list of instances with times similar to the attached file.



File Attached: BinaryToDeltaBinary2TranslationLog_30042018.txt (downloaded 372 times)

aQuant
-Interested User-
Posts: 41
Joined: Jul 20, 2012


Posted: May 9, 2018 08:35 AM          Msg. 2 of 3
Is anyone looking into this? Looking in the past (year 2015 for example), this problem used to affect more securities but now seems to only linger still in treasury futures.

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


Posted: May 9, 2018 08:52 AM          Msg. 3 of 3
Good morning,

Sorry, yes we are looking into this, but I have not found the answer yet. We will find out where that extra digit is being truncated and get it written up for resolution.


Tim
 

 

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