||Jan 31, 2012 02:26 AM
||Apr 12, 2016 11:13 AM
||Dec 28, 2017 02:10 AM
AHA has contributed to 23 posts out of 18704 total posts
(0.12%) in 2,423 days (0.01 posts per day).
20 Most recent posts:
Noticed an internal issue on my side that caused the trimming. Was different before 5.2.
For symbol WINJ16 and INDJ16 do not get ending '0' in quotes e.g. 50500 is distributed as 505.
Applies for 5.2 protocol and this exchange only.
Tested the 5.2 today. Only got microseconds for US market. What about EUREX?
Now getting one duplicate. See pic.
Two trades at 11108,5 with volume 2. Can tell it's a duplicate because the timestamp is in mixed order again.
Seems like this happened only once during the whole trading day, but you may want to have a look into it.
See attached a snapshot comparision between IB feed and your feed.
Looks like you edit EUREX timestamp-
Have a look at IB feed - 09:02:22 - Trade at 11048 with volume 4.
Your feed trades at 09:02:25
Why can't you just pass through the original EUREX data instead of obviously editing and somehow corrupting the data?
Starting today, lasting the whole day got screwed EUREX quotes for all products.
Please check timestamp... applies for bid/ask/last
Mixed timestamp order.
E.g. getting quote timestamps in this order:
Check e.g. symbol XGZ15.
Also a lot of missing quotes and trades too, today the feed was totally unrealiable. Wondering if a) I'm the only customer noticing this b) there is any monitoring on your side to check delivery of screwed quotes.
IQF disconnected at 11:05 (your time) and althought restarting IQF manually I didn't get a connect for 10 minutes.
Last connect was successful at 11:15.
My internet connection was stable. Please check.
Today I monitored more than 150 disconnects (see file attached. Time is GMT +1).
It started at 6:06 pm (GMT +1) and still disconnects every 30 to 60 seconds.
Please check your Level3-line from frankfurt1.level3.net to denver1.level3.net.
Problem is there, not in the IQF software.
Please contact Level3 to check your line from frankfurt to denver.
Tracing it from frankfurt to denver usually pings < 100ms.
Todays it is > 250ms timing out 1 of 3 pings.
Last invalid timestamp I see was also yesterday.
Could you describe the fix and what caused the bug?
Timestamps are still wrong.
Tim, I'm sure that it wasn't happening before and sure that it just started today.
Problem is still current. I did a raw logging of about 20 minutes with XGU14.
There are about 40 wrong timestamps.
Seems the problem applies also to the ask side.
Today I randomly get wrong timestamps in bid quotes for all symbols.
Wrong timestamp is "99:99:99.".
Did you change the feed?
If so, I would appreciate to get the information on any productive changes in upfront for the future.
Bug in 220.127.116.11
I randomly do receive empty volume in Bid / Ask.
Now I do get 2-3 times more bid/ask data.
I would appreciate any information about the change.
Could you please describe exactly the difference to the current feed vs. the prior 3/31 one?
Today IQF disconnected at 06:02:36 and reconnected at 06:09:09.
I was connected both to .148 and -156 using two accounts and two different internet connections and locations (running both IQF 5.x and prior.)
1) Why does a disconnect occur on two different farms at the same time?
2) Why does the reconnect take about 7 minutes?
3) Did you register any problems at your site that could confirm the disconnect?
TimeStamp still is wrong.
I do not receive the 1/1000 part of second.
HH:SS:MM:abc where c is always zero. This bug exists since 2/11. On that day the >254 ms bug was fixed.
The missing 1/1000 only applies to EUREX.
Steve, that issue is not occasionally.
As I checked with my other feeds, this problem does apply only to EUREX feed.
Every timestamp (Last, Bid and Ask) is limited from HH:MM:SS.000 to HH:MM:SS.254
I recorded 48000 bid quotes, 16050 quotes are wrong
I recorded 49000 ask quotes, 16800 quotes are wrong
I recorded 32500 last trades, 3600 trades are wrong
Please do check that issue on your site and with your 3rd party providers, as it seems to be a data type bug (using the "byte" data type) .
Does that mean the exchange or 3rd party data provider does send wrong timestamps??
As you confirmed the correct order of the trades - 7806 was traded later than 7805.5.
The timestamp at 7806 is 26 milliseconds earlier than the timestamp at 7805.5.
How could you verify that this is correct?
Fieldset: Last,Last Size,Bid,Ask,Bid Size,Ask Size,Ask TimeMS,Bid TimeMS,Extended Trade TimeMS,Message Contents
(I'm using Level 1 via TCP/IP)
Question 1: Why is the timestamp in row 1 (11:31:42.044) older than in row 3 (11:31:42.018)
although trade in row 3 occured after trade in row 1?
Question 2: I would like to use field Last TimeMS, but it's always empty. Which field is the replacement for Last Trade Time?
The wrong timestamp applies also to bid and ask quote.