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Viewing User Profile for: bparvizi
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Joined: Apr 27, 2016 12:14 AM
Last Post: Sep 14, 2016 06:19 PM
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Thanks for the information, I was looking at some outdated documentation and updated my mac client to as well. Just to confirm so I don’t double count or leave anything out, it appears an unbundled set will have the Incremental Volume calculated. Thus, for the dynamic fields:

S,SELECT UPDATE FIELDS,TickID,Total Volume,Incremental Volume,Last,High,Low,Bid,Ask,Bid Size,Ask Size,Last Trade Time

and the resulting data:


The total volume would be 100 not 300 (based on Incremental Volume field) for the Last price of 7.1900, otherwise the Total Volume would increase as well. So can I depend on the last unbundled update message starting with Q to have the correct volume for the Last price without having to do any addition myself? I expected that all TickID volume would be totalled, but that doesn’t appear to be the case for unbundled data. Thanks again for your help.


Hi I am connecting to the Level1 Quote API:

1) telnet 5009

then using dynamic field sets:

2) S,SELECT UPDATE FIELDS,TickID,Total Volume,Incremental Volume,Last,High,Low,Bid,Ask,Bid Size,Ask Size,Last Trade Time

then issuing a watch command:

3) wCHK

I get data streaming:

T,20160914 15:46:34
T,20160914 15:46:35

I expected the TickID in the 3rd field to be unique for each update message, “Q”, but see the same TickID for multiple messages, for example, “1514461”. How should I interpret this? Second the “Last Trade Time” shows “b” and “t” appended to the time. What do those mean? Thanks.


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