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20 Most recent posts:
IQFeed Developer Support » Level1 and Nasdaq Level2 stops Feb 13, 2007 02:50 PM (Total replies: 3)

Hi Everyone,
I have installed 2 "Watch Dog timers" to release and reconnect after 10 seconds of inactivity
It works.
Thanks
Shimon Dekel

IQFeed Developer Support » Level1 and Nasdaq Level2 stops Feb 9, 2007 10:45 AM (Total replies: 3)

Hi everyone.
An interesting one for you!
During the day I sometimes loose the flow of ticks from level 1 or level 2

Today and yesterday I had a strange behavior!
Level 1 stops and in order to recover I right click on the “IQ Connection manager” on the command bar and selected "Start Feed"' Level 1 stared but level 2 stopped.

The only way to recover was to restart the whole application, something I would like to avoid as much as possible.

The questions are:
1. Did anyone experience this?
2. Are there any guidelines to running successfully without loosing the flow of L1 and L2 ticks, configuration, conflicts…
3. What is the recommended way to automatically recover from this?
I am using C#.net and connecting L1 using ActiveX and L2 using com.
Shimon Dekel

IQFeed Developer Support » Having a problem with the interpretation of level 2 messages Jan 26, 2007 12:04 PM (Total replies: 10)

Thanks guys, I understand that life is not always an exact science and I will have to apply an intelligent filter to get read of some inaccuracies.
Something you said Stargrazer sparked my interest!
How would you use those inaccuracies to determine whether to get into or out of a trade?

As for what you said Jay, thanks, I am looking at upgrading anyway but never the less the Idea is that my software will do this all by itself automatically and will not depend on me to read this for it.
I need is assistance in interpreting your data and I am having problems doing this now.
Thanks
Shimon Dekel
Shimon Dekel

IQFeed Developer Support » Having a problem with the interpretation of level 2 messages Jan 25, 2007 06:49 PM (Total replies: 10)

After some additional testing I am yet to get this right.
I have included two additional samples (out of many) that shows an unbalanced table

(Both samples are from January 25th 2007.)

Sample 1:
Stock: ADSK

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Time: [15:36:10]
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
______________________________________________
| Bid || Ask |
______________________________________________
|NSDQ |042.200|000004||EDGA |042.180|000001|
|CINN |042.200|000005||NSDQ |042.210|000001|
|ARCX |042.190|000003||ARCX |042.210|000007|
|AMEX |042.180|000010||CINN |042.220|000001|
|BTRD |042.180|000001||BTRD |042.220|000001|
|AUTO |042.150|000012||AMEX |042.230|000010|
|GSCO |042.140|000001||COWN |042.250|000001|
|EDGX |041.880|000005||GSCO |042.260|000001|
|COWN |041.850|000001||EDGX |043.150|000010|
|EDGA |000.000|000000||AUTO |044.000|000003|

“EDGA” on the ask side is lower that NSDQ on the bid side.
This is an unbalance table and an impossible situation.
Clearly EDGA on the Ask side is at fault and I went back to see its last entry and here it is:

L2-->MarketMakerID[EDGA ] Ask[042.180]/Bid[000.000] AskSize[000001]/BidSize[000000] Time[03:19:38] Reason[ :NDR] ConditionCode[R:REG OPEN ] SourceID[015]

It shows an ask side with a price of 42.18 and quantity of 1 (100)
This entry is apparently obsolete as the market has change and this is no longer the offer, but I had no way of telling this from the Level 2 feed.


Here is another sample:


~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Time: [15:51:45]
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
______________________________________________
| Bid || Ask |
______________________________________________
|ARCX |048.890|000005||BTRD |048.860|000001|
|NSDQ |048.890|000003||EDGX |048.890|000001|
|CINN |048.890|000001||CINN |048.900|000001|
|AMEX |048.860|000010||NSDQ |048.900|000004|
|ETRD |048.860|000008||ARCX |048.900|000011|
|UBSS |048.830|000004||AMEX |048.910|000010|
|LEHM |048.780|000001||LEHM |048.940|000001|
|JPMS |048.750|000001||TMBR |048.960|000011|
|FBCO |048.600|000001||WEDB |049.020|000001|
|TMBR |048.600|000012||COWN |049.050|000001|
|SALI |048.600|000001||JPMS |049.050|000001|
|KBRO |048.600|000001||WBLR |049.170|000001|
|RBCM |048.590|000001||ETRD |049.230|000010|
|OPCO |048.590|000001||BOFA |049.250|000001|
|SBSH |048.590|000001||BARD |049.280|000001|
|GSCO |048.580|000001||UBSS |049.330|000002|
|WCHV |048.580|000001||BEST |049.330|000001|
|BARD |048.580|000001||FBRC |049.490|000001|
|PRUS |048.550|000001||JEFF |049.680|000001|
|LAZA |048.550|000001||MADF |049.940|000001|
|COWN |048.550|000001||GSCO |050.000|000001|
|BEST |048.550|000001||WCHV |050.130|000001|
|DBAB |048.550|000001||CIBC |050.140|000001|
|THNK |048.510|000001||GROW |050.200|000001|
|MLCO |048.510|000001||SBSH |050.210|000001|
|WEDB |048.510|000001||PIPR |050.320|000001|
|CHLM |048.500|000001||MSCO |050.520|000001|
|PERT |048.500|000004||THNK |050.520|000001|
|NEED |048.500|000001||PACS |050.750|000001|
|HSBC |048.500|000001||OPCO |050.800|000001|
|EDGX |048.500|000002||PERT |050.860|000001|
|STFL |048.500|000001||CDRG |051.000|000005|
|BOFA |048.500|000001||STFL |051.000|000001|
|FBRC |048.490|000001||NEED |051.010|000001|
|PIPR |048.440|000001||NITE |051.240|000001|
|WBLR |048.400|000001||RHCO |051.250|000001|
|ADAM |048.400|000001||FBCO |051.490|000001|
|MSCO |048.380|000001||BMOC |051.540|000001|
|NITE |048.370|000001||HDLY |051.590|000001|
|PACS |048.250|000001||SALI |052.000|000001|
|CIBC |048.230|000001||MWRE |053.300|000001|
|HILL |048.200|000001||RBCM |053.730|000001|
|GROW |048.200|000001||KBRO |054.150|000001|
|JEFF |048.180|000001||ADAM |054.500|000001|
|BMOC |048.010|000001||PRUS |054.510|000001|
|HDSN |048.000|000001||TWPT |054.550|000001|
|TWPT |048.000|000001||MLCO |054.550|000001|
|CANT |048.000|000001||DBAB |054.600|000001|
|CDRG |048.000|000002||AUTO |054.800|000003|
|MAXM |048.000|000001||KING |054.970|000001|
|MADF |048.000|000003||HILL |055.450|000001|
|KING |047.990|000001||HSBC |056.000|000001|
|HDLY |047.890|000001||CHLM |056.000|000001|
|BERN |047.860|000001||NFSC |056.000|000002|
|BTRD |047.500|000042||CANT |056.000|000001|
|MWRE |047.000|000001||MAXM |057.000|000001|
|ALLN |046.000|000001||HDSN |057.000|000001|
|EFGI |045.000|000001||BERN |057.050|000001|
|FACT |045.000|000001||LAZA |059.810|000001|
|VNDM |045.000|000001||VNDM |060.000|000001|
|NFSC |040.460|000001||ALLN |060.000|000001|
|SUSQ |034.750|000001||FACT |060.000|000001|
|WEED |030.500|000001||EFGI |060.000|000001|
|STCS |020.000|000001||SUSQ |070.250|000001|
|CHDN |000.010|000001||WEED |075.520|000001|
|DOTC |000.010|000001||FRAN |099.990|000001|
|RHCO |000.010|000001||STCS |120.000|000001|
|BNCH |000.010|000001||CRTC |2000.000|000001|
|SEAB |000.010|000001||CHDN |2000.010|000001|
|CRTC |000.010|000001||SEAB |2000.200|000001|
|FSWC |000.010|000001||GARC |199999.980|000001|
|AUTO |000.010|000002||DOTC |199999.980|000001|
|FRAN |000.010|000001||FSWC |199999.980|000001|
|GARC |000.010|000001||BNCH |199999.980|000001|
|FAGI |000.010|000001||FAGI |199999.980|000001|
|ISSE |000.000|000000||EDGA |000.000|000000|


“BTRD” on the ask side is at fault and the last entry from “BTRC” is here:

L2-->MarketMakerID[BTRD ] Ask[048.860]/Bid[047.500] AskSize[000001]/BidSize[000042] Time[03:47:46] Reason[ :NDR] ConditionCode[R:REG OPEN ] SourceID[005]

Again a situation that the offer is obsolete but I had no way of telling that from the feed.

I need to resolve this so I can continue with my development.
Anyone?
Shimon Dekel

IQFeed Developer Support » Having a problem with the interpretation of level 2 messages Jan 22, 2007 05:50 AM (Total replies: 10)

Thanks stargrazer, This makes sense to me, I will give it a test.
Shimon Dekel

IQFeed Developer Support » Having a problem with the interpretation of level 2 messages Jan 20, 2007 04:50 AM (Total replies: 10)

I need someone to set me straight on this!

As I understand Level2 messages reviles the order book for a stock.

Now this is the way I collect them now:
Each ReceiveQuote event I get’ us loaded into an array where there is an entry for each market Maker (MM) and in order to see the book I run a sort on each side so the Bid side will be sorted Highest on top and the Ask side lowest on top.
Essentially I get the table below which is the true table of “KLAC” taken on Jan 16 2007 at 13:13.

The one thing that appears immediately is the fact that the best Bid is much Higher that the Best Ask and this is due to the fact that I do not know when to consider an entry obsolete.
Therefore I get the entry fron MSCO put in at 9:36 am still in the table confusing thing up.
My first question is: how do I know when to consider an entry obsolete?
My second question is what are the fields: reason’ condition_code and source_ID in the ReceiveQuote event.
Thanks in advance
Shimon


~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Time: [13:13:13]
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
______________________________________________
| Bid || Ask |
______________________________________________
|MSCO |051.830|000001||CINN |050.510|000001|
|ETRD |051.590|000005||EDGX |050.510|000001|
|CDRG |051.510|000005||NSDQ |050.510|000004|
|BARD |051.340|000001||ARCX |050.510|000011|
|COWN |051.310|000001||AMEX |050.530|000010|
|DBAB |051.050|000001||BTRD |050.540|000003|
|GROW |051.000|000001||LEHM |050.540|000002|
|MOKE |051.000|000001||FBCO |050.560|000001|
|WBLR |050.790|000001||BOFA |050.770|000001|
|NITE |050.750|000001||FBRC |050.780|000001|
|RBCM |050.720|000001||SBSH |050.940|000001|
|SBSH |050.620|000001||AGED |051.110|000001|
|BOFA |050.590|000001||UBSS |051.110|000010|
|ARCX |050.500|000011||WBLR |051.570|000001|
|NSDQ |050.500|000002||DBAB |051.660|000001|
|CINN |050.500|000003||NFSC |051.700|000030|
|BTRD |050.500|000004||MADF |051.760|000001|
|AGED |050.500|000001||COWN |051.810|000001|
|AMEX |050.480|000010||CDRG |052.000|000001|
|LEHM |050.460|000002||MSCO |052.290|000001|
|TMBR |050.430|000001||GSCO |052.340|000001|
|GSCO |050.420|000001||WCHV |052.420|000001|
|FBCO |050.410|000001||OPCO |052.810|000001|
|EDGX |050.410|000020||ADAM |052.890|000001|
|UBSS |050.380|000010||RBCM |052.920|000001|
|OPCO |050.350|000001||CANT |052.930|000001|
|MADF |050.250|000005||PIPR |052.960|000001|
|WCHV |050.220|000001||JEFF |053.000|000001|
|SUSQ |050.000|000001||GROW |053.000|000001|
|PERT |049.900|000001||SUSQ |053.000|000001|
|FBRC |049.780|000001||MOKE |053.000|000001|
|STFL |049.600|000001||MLCO |053.000|000003|
|NFSC |049.400|000010||BARD |053.050|000001|
|CANT |049.200|000001||NITE |053.080|000001|
|ADAM |048.500|000001||PRUS |053.150|000001|
|MERI |048.500|000001||BMOC |053.190|000001|
|PIPR |048.450|000001||TMBR |053.580|000001|
|PRUS |048.400|000001||STFL |053.750|000001|
|JEFF |048.200|000001||PERT |053.800|000001|
|MLCO |048.080|000001||BERN |054.170|000001|
|BMOC |047.860|000001||MAXM |055.000|000001|
|BERN |047.400|000001||MERI |055.000|000001|
|MAXM |043.000|000001||THNK |075.000|000001|
|THNK |025.000|000001||STCS |100.000|000001|
|STCS |020.000|000001||AUTO |1000.000|000001|
|VNDM |000.010|000001||CRTC |2000.000|000001|
|NACI |000.010|000001||VNDM |199999.980|000001|
|AUTO |000.010|000002||ETRD |199999.980|000001|
|CRTC |000.010|000001||NACI |199999.980|000001|
______________________________________________
Shimon Dekel

IQFeed Developer Support » Level 2 data Dec 20, 2006 08:37 AM (Total replies: 1)

Hi,
I am getting into “Nasdaq Level 2” and looking at the documentation.
At the end of the Level 2 ReceiveQuote event, there are 3 fields I am having trouble to understand:
reason, condition_code and source_id.
Can anyone direct me to additional information about this?
Thanks
Shimon
Shimon Dekel

Data and Content Support » Having problems with data Dec 20, 2006 07:53 AM (Total replies: 6)

Steve,
It’s more than one symbol and it’s happening every day,
I looked deeper into the problem and found (As seen in my previous post with the actual string) that the problem come from your service on my computer.

Since it’s happening only to me and as I am only concern with my problem, I purchased a new computer and reinstalled everything I need and nothing else.

I have been testing for two days now and it looks OK on the new PC
Thank you all for your help I will let you know if it comes again.
Best regards
Shimon Dekel
Shimon Dekel

Data and Content Support » Having problems with data Dec 1, 2006 02:26 PM (Total replies: 6)

Yes I am having this continuasly for the last 5 days.
Shimon
Shimon Dekel

IQFeed Developer Support » Having problems with data integrity Dec 1, 2006 07:15 AM (Total replies: 1)

Hi,
I am having some series problems with data coming in real time.
It started few days ago and I am unable to tell why,
I have enclosed a sample string below, and a quick inspection will show that this “RCII” stock was priced at 41.23 while a few ticks ago it was around 27.55 a change of 13.68 up.
It goes for few ticks and than goes back to normal.
It happens on most stocks.
I am using Ver. 4.1 in a PC environment using the activeX interface with C# .net.
I am reading live feed of some 490 stocks
As I said, just started few days ago.
Please help.
Thanks in advance
Shimon Dekel


"Q,RCII,F,41.23,13.68,0.496551724,361898,2000,27.7700,27.1500,
27.4900,27.5000,400,1000,173,175,0.62,15:39t,,27.5100,27.5500,
0.01,,,,t,N,,,,11/30/2006,,41.23,,,,13.68,0,13.9
,-0.492429173,0.,0.,13.72,,0.015037594,2888202.73,
14,2,,500410,CSE-CHX-PSE-NMS,,,,,2383,,,27.43,,N,"
Shimon Dekel

Data and Content Support » Having problems with data Nov 30, 2006 04:27 PM (Total replies: 6)

Hi,
I am having some series problems with data coming in real time.
It started few days ago and I am unable to tell why,
I have enclosed a sample string below, and a quick inspection will show that this “RCII” stock was priced at 41.23 while a few ticks ago it was around 27.55 a change of 13.68 up.
It goes for few ticks and than goes back to normal.
It happens on most stocks.
I am using Ver. 4.1 in a PC environment using the activeX interface with C# .net.
I am reading live feed of some 490 stocks
As I said, just started few days ago.
Please help.
Thanks in advance
Shimon Dekel


"Q,RCII,F,41.23,13.68,0.496551724,361898,2000,27.7700,27.1500,
27.4900,27.5000,400,1000,173,175,0.62,15:39t,,27.5100,27.5500,
0.01,,,,t,N,,,,11/30/2006,,41.23,,,,13.68,0,13.9
,-0.492429173,0.,0.,13.72,,0.015037594,2888202.73,
14,2,,500410,CSE-CHX-PSE-NMS,,,,,2383,,,27.43,,N,"
Shimon Dekel

Data and Content Support » How is "Volatility" calculated Mar 7, 2006 07:17 AM (Total replies: 1)

Hi,
I am trying to understand how Volatility (Part of the "Update" message) is calculated.
In particular to what period: today, this week...
Thanks in advance
Shimon Dekel
Shimon Dekel

IQFeed Developer Support » Getting "Server time" Dec 20, 2005 01:54 AM (Total replies: 1)

Hi,
I wonder if anyone can help me, in getting the "Server time" programmatically (Via API)
Thanks in advance
Shimon
Shimon Dekel

IQFeed Developer Support » Splits calendar May 11, 2005 04:46 AM (Total replies: 1)

Wonder if anyone can help,
Is there a way to get notifications of share splits by way of API?
Thanks
Shimon Dekel
Shimon Dekel

IQFeed Developer Support » Unstable connection to IQFeed from .NET Mar 1, 2005 06:33 PM (Total replies: 12)

I am having the same problem with ActiveX and DotNet
Any update on the expected date for the fix?
Thanks
Shimon Dekel


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