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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 (2 messages, Page 1 of 1)

aQuant
-Interested User-
Posts: 29
Joined: Jul 20, 2012


Posted: Oct 11, 2018 08:53 PM          Msg. 1 of 2
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 2
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
 

 

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