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Viewing User Profile for: bparvizi
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Joined: Apr 27, 2016 12:14 AM
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bparvizi has contributed to 2 posts out of 19450 total posts (0.01%) in 1,434 days (0.00 posts per day).

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Thanks for the information, I was looking at some outdated documentation and updated my mac client to 5.2.4.2 as well.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:

Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,40600,15:46:32b,
Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,35100,15:46:32b,
Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,40600,15:46:32b,

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.

bp


Hi I am connecting to the Level1 Quote API:

1) telnet 127.0.0.1 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:

Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,40600,15:46:32b,
Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,35100,15:46:32b,
Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,40600,15:46:32b,
T,20160914 15:46:34
Q,CHK,1514461,42259799,100,7.1900,7.4100,7.0100,7.1800,7.1900,31400,41000,15:46:32b,
Q,CHK,1514548,42259999,200,7.1850,7.4100,7.0100,7.1800,7.1900,31400,41000,15:46:34t,
Q,CHK,1514548,42259999,200,7.1850,7.4100,7.0100,7.1800,7.1900,31400,35500,15:46:34b,
Q,CHK,1514548,42259999,200,7.1850,7.4100,7.0100,7.1800,7.1900,31400,41000,15:46:34b,
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.

bp


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