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»Forums Index »IQFeed Developer »IQFeed Developer Support »Qn on Day Code on the Quote Stream
Author Topic: Qn on Day Code on the Quote Stream (2 messages, Page 1 of 1)

MV_opt
-Interested User-
Posts: 19
Joined: Jun 3, 2020


Posted: Feb 20, 2022 07:15 PM          Msg. 1 of 2
Right now it is Sunday Evening EST on the 20th Feb.

This is the quote we are getting.
'Q,@ES#,C,4323.00,1,18:56:17.236037,02/20/2022,4323.00,16,18:56:17.100855,4322.50,6,18:56:17.088954,-20.50,4324.25,4333.75,4315.25,4343.50,20583,2259730,173,10,4323.00,1,18:56:17.236037,02/20/2022,,,,1,22,

Note that the date is now (02/20/2022) but the Day Code at the end of the message is 22.
Is that right?

I understand that the 21st is a public holiday and so most markets will not have a bar for the 21st but if the market is trading at this time surely it should have a day value of 21?

Thanks for your help.

DTN_Gary_Stephen
-DTN Guru-
Posts: 265
Joined: Jul 3, 2019


Posted: Feb 21, 2022 07:35 AM          Msg. 2 of 2
"Day code" is the business day to which a tick applies, which is not necessarily the same as the day the tick happened. I'll confirm this, but I suspect it means what you think: that this Sunday tick is part of Tuesday's business because the market is closed on Monday.

ETA: It’s normal for CME to assign the day code of the session after a holiday. Any trading that occurs on a holiday will be trade dated for the following session. If this were a non-holiday Monday, Sunday night trading would be considered part of Monday's business, and would have a date code of the 21st.



Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Edited by DTN_Gary_Stephen on Feb 21, 2022 at 07:59 AM
 

 

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