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»Forums Index »IQFeed Developer »IQFeed Developer Support »Corrupted L1 data-in recent past on multiple products at 'random' times
Author Topic: Corrupted L1 data-in recent past on multiple products at 'random' times (13 messages, Page 1 of 1)

aQuant
-Interested User-
Posts: 35
Joined: Jul 20, 2012


Posted: Oct 11, 2018 08:53 PM          Msg. 1 of 13
I have been seeing invalid and stale market data in various insturments (CL, ES) in the last month or so (could be slightly longer). It occurs at seemingly random times and usually lasts about 10 minutes sometimes up to an hour.
Example from today: 10:08-10:20am, 3:05-3:15pm CST in ES. Here is a snapshot of L1 updates from one of the periods:

Q,@ESZ18,2738.25,3859981,2,2738.00,2733.75,64,1,183,16:08:31.779471,271740673,16:08:31.770457,16:05:00.164499,C,
Q,@ESZ18,2738.25,3859982,1,2738.00,2733.75,64,1,183,16:08:31.779471,271740673,16:08:31.770457,16:05:00.164499,C,
Q,@ESZ18,2738.25,3859983,1,2738.00,2733.75,64,1,183,16:08:31.779471,271740673,16:08:31.770457,16:05:00.164499,C,
Q,@ESZ18,2738.25,3859984,1,2738.00,2733.75,64,1,183,16:08:31.779471,271740673,16:08:31.770457,16:05:00.164499,C,
Q,@EDU20,96.7650,270309,2,96.7650,96.7700,8665,15942,,16:07:28.306149,9268532,16:08:31.734942,16:08:31.768035,a,
Q,@EDM19,96.9800,405656,2,96.9800,96.9850,7411,30599,,16:00:00.036589,9268244,16:08:31.753186,16:08:31.768255,a,
Q,@EDU20,96.7650,270309,2,96.7650,96.7700,8665,15824,,16:07:28.306149,9268532,16:08:31.734942,16:08:31.768255,a,
Q,@EDH20,96.7650,342864,2,96.7650,96.7700,4985,27436,,16:07:28.306149,9268541,16:08:31.734935,16:08:31.768255,a,
Q,@EDM20,96.7600,348765,3,96.7600,96.7650,6401,20909,,16:07:28.306149,9268536,16:08:31.733403,16:08:31.768255,a,
Q,@ESZ18,2738.25,3859984,1,2738.25,2733.75,13,1,,16:08:31.779471,271740673,16:08:31.779481,16:05:00.164499,b,
Q,@ESZ18,2738.25,3859984,1,2738.25,2733.75,14,1,,16:08:31.779471,271740673,16:08:31.779658,16:05:00.164499,b,
Q,@ESZ18,2738.25,3859984,1,2738.25,2733.75,15,1,,16:08:31.779471,271740673,16:08:31.779676,16:05:00.164499,b,

In the above (and with my message structure) the best bid/ask data are crossed and indicating 2738.25,2733.75 for bid and ask for ES, clearly nonsensical. This same stale/invalid bid/ask info stays such for the period in question. Notice that ED above (eurodollar) is just fine as are most other contracts. This has been happening for over a month and I alerted iqfeed support to it. Initially they expressed it was due to testing MBO feed. When I contended those reasons they claimed they had some issues with CME feed. Whatever it is, this is not getting fixed and I am concerned this is not getting the priority it deserves. Any advanced developer depends on full/complete/correct data-as the feed proclaims to provide. Please correct this issue. I can provide more details if needed.

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


Posted: Oct 12, 2018 06:52 AM          Msg. 2 of 13
Good morning,

I apologize that this continues to happen and for my poor communication of our concern over it. We are very concerned with the quality of our data. To that end, here we have added the CME trade aggressor flag to our level one data. This flag tells if the trade occurred at the bid or the ask, so not only will you save on the processing, but you will have a definite answer on every trade of where it occurred. We hope to have this available to our developers later this month as a beta, but 4th quarter for sure. We have also developed better ways to identify when these situations occur, so that we can ensure quality and strive towards a continuous improvement to our data.

I know that the people that are needed to insure the continued priority of this work actively watch the forums and I know that your concerns will only help to keep the focus where it needs to be. I will try to keep you more in the loop in the future when related updates occur.

Tim

developer_hm
-Interested User-
Posts: 2
Joined: Oct 26, 2018


Posted: Oct 26, 2018 03:05 PM          Msg. 3 of 13
I am also still seeing this issue. Sometimes restarting the instance of iqfeed resolves the issue, but often times it does not. I've been noticing that for many instruments that trade on the CME, a bid or ask will get stuck at a particular price for several hours.

Constantly having these bad prices is making the data effectively unusable. Do you have an ETA on when the CME data will become usable again?

aQuant
-Interested User-
Posts: 35
Joined: Jul 20, 2012


Posted: Oct 26, 2018 08:28 PM          Msg. 4 of 13
Today was particularly bad, CL and currency data (CL, 6E, 6A,6J) all had this issue for hours after 9:31am central time.

developer_hm
-Interested User-
Posts: 2
Joined: Oct 26, 2018


Posted: Oct 29, 2018 08:01 AM          Msg. 5 of 13
I agree that Friday was particularly bad. The entire strip November expiring ESZ8 options was giving me bad prices, which was throwing off calculations we use to drive our model.

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


Posted: Oct 29, 2018 09:32 AM          Msg. 6 of 13
Hello, we are continuing to monitor and make changes to address this issue. Friday was particularly bad since we had several different issues contributing to make the problem worse. We made some configuration changes on our servers over the weekend and continue to actively work with our providers to get the issue resolved.

mac
-Interested User-
Posts: 12
Joined: Apr 6, 2017


Posted: Feb 7, 2019 11:38 PM          Msg. 7 of 13
Has this been resolved?

MAC

aQuant
-Interested User-
Posts: 35
Joined: Jul 20, 2012


Posted: Feb 11, 2019 07:12 PM          Msg. 8 of 13
It hasn't, for example today (2/11/2019) it occurred in CL, ES, 6E between 10:18-10:23am CST.

quickTick
-Interested User-
Posts: 41
Joined: Nov 17, 2013


Posted: Feb 12, 2019 12:11 AM          Msg. 9 of 13
I believe I saw it at about the same time today, for ES.

quickTick
-Interested User-
Posts: 41
Joined: Nov 17, 2013


Posted: Feb 12, 2019 12:12 AM          Msg. 10 of 13
Today as in 2019-02-11 CST, that is.

quickTick
-Interested User-
Posts: 41
Joined: Nov 17, 2013


Posted: Feb 12, 2019 12:18 AM          Msg. 11 of 13
As of right, now, I also see the gap in the historical tick data. Or maybe that's where I saw it in the first place.

The quotes got stuck at 2707.50, trades do continue (in the historical tick data).

mac
-Interested User-
Posts: 12
Joined: Apr 6, 2017


Posted: Yesterday @ 08:01 AM          Msg. 12 of 13
aQuant or quickTick,

Could you explain how you detect this? I want to start monitoring.

Is there a complete lack of Q messages arriving with 'b' or 'a' updates?

or

Are the Q messages coming in for 'b' or 'a' but the prices don't change?

I have disabled IQFeed from my production deployment and will run it in the background for monitoring only.

I was about to add NYMEX, COMEX, CBOT and EUREX to my subscriptions. I will wait until this has been resolved.

MAC

aQuant
-Interested User-
Posts: 35
Joined: Jul 20, 2012


Posted: Yesterday @ 05:04 PM          Msg. 13 of 13
Based on the raw level1 messages it appears that one side stops updating, in the below case it was bid that got 'stuck' at 51.51, there may be other ways this happens, I didn't study them all:

Q,QCLH19,51.36,465114,2,51.51,51.37,1,46,183,11:19:10.391894,11321247,11:17:37.737313,11:19:10.391882,C,
Q,QCLH19,51.36,465114,2,51.51,51.37,1,47,,11:19:10.391894,11321247,11:17:37.737313,11:19:10.392009,a,
Q,QCLH19,51.36,465115,1,51.51,51.37,1,47,183,11:19:10.392111,11321248,11:17:37.737313,11:19:10.392009,C,
Q,QCLH19,51.36,465115,1,51.51,51.37,1,48,,11:19:10.392111,11321248,11:17:37.737313,11:19:10.392418,a,
Q,QCLH19,51.36,465116,1,51.51,51.37,1,48,183,11:19:10.392432,11321249,11:17:37.737313,11:19:10.392418,C,
Q,QCLH19,51.36,465117,1,51.51,51.37,1,48,183,11:19:10.392432,11321249,11:17:37.737313,11:19:10.392418,C,
Q,QCLH19,51.36,465117,1,51.51,51.37,1,49,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.392538,a,
Q,QCLH19,51.36,465117,1,51.51,51.37,1,50,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.392633,a,
Q,QCLH19,51.36,465117,1,51.51,51.37,1,51,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.393159,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,6,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.393887,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,7,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.395510,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,8,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.395553,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,10,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.395590,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,13,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.395627,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,14,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.395727,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,15,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.395840,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,18,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.395916,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,20,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.396142,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,22,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.396215,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,23,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.396250,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,24,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.396328,a,
Q,QCLH19,51.36,465117,1,51.51,51.36,1,25,,11:19:10.392432,11321249,11:17:37.737313,11:19:10.396725,a,
 

 

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