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tfjield has contributed to 4 posts out of 19111 total posts (0.02%) in 4,179 days (0.00 posts per day).

20 Most recent posts:
DTN Satellite Products » Quality of Equities Data Dec 9, 2008 05:41 PM (Total replies: 2)

Hi Stan,

I sent my TID yesterday morning, but I still haven't heard back from anyone. Did you receive it?

On another question, I notice that when I receive quotes with the print bit set there is also data in the bid/ask price and size, but the bid/ask bits are not set. Is it possible for these bid/asks to be new updates, or are they merely cached from the last update I received with the bid/ask bits set?

I know Jim is likely the person to answer this question, but I guess he's traveling for another week and I was hoping someone could answer in the meantime.

Thank you!
Todd

DTN Satellite Products » Quality of Equities Data Dec 5, 2008 04:52 PM (Total replies: 2)

Hi All,

I've been a DTN satellite customer for several years. I have written my own application using the SDK that tracks equities on AMEX, NYSE, and Nasdaq. I watch all of the symbols on these exchanges, tick by tick.

It seems that recently (within the last year or so) I've been missing some of the prints on some of the symbols. Also, when I look at the best bid/ask updates, it seems like I'm missing a lot of this information.

I have read that US equities are transmitted at the low priority and that some data may be dropped, and also that rather than providing a full feed, select data is transmitted that satisfies most retail customers.

Can anyone provide me with some hard stats on what L1 data, if any, is being dropped? In other words, how complete is the US L1 equities feed?

Thanks you,
Todd

DTN Satellite Products » Pre-market/post-market trades Jan 11, 2008 04:45 PM (Total replies: 1)

Jim got back to me. There's a bit that I was missing: Quote Status Bit 13 0x2000 After Market Trade. Didn't even see if after I don't know how many readthroughs of the spec!

So the line above was changed to:

if(iQuoteStatus & 0x0002 || iQuoteStatus & 0x2000) // Trade bit or After Hours Trade bit

and all is good.

Anyway, thank you Jim and everyone else!

DTN Satellite Products » Pre-market/post-market trades Jan 10, 2008 06:22 PM (Total replies: 1)

Hi,

Does the DTN satellite developer's feed transmit pre- and post- market trades? If so, I am unable to catch them.

I'm thinking that it is perhaps due to a flag that I'm checking for to make sure the trade is a current, valid trade, but I'm not sure which it could be.

That flags I'm looking at are illustrated in the following code:

if(csSymbol.CompareNoCase("QMON")) // Don't process the test quote
if(csSymbol.CompareNoCase("ZZZZZZZZ")) // Don't process the test quote
if(!(cUpdateInfoType & 0x60)) // Normal Updates only
if(iQuoteStatus != 0xFFFF) // Quote status is valid
if(iQuoteStatus & 0x0002) // Trade bit
if(iQuoteStatus & 0x0400) // Instant Quote
if(!(iQuoteStatus & 0x0800)) // Not a correction
if(iMarketCondition != 11) // Not out of sequence
if(iMarketCondition != 3) // Not a BunchedSold trade (reported late)
if(iMarketCondition != 6) // Not a PriorReference trade
if(fLast >= 0.0f) // No negative quotes
Process Quote Here...

If anyone has any suggestions, I would appreciate the help. I have already asked Jim F, but I can't seem to get an answer. :(

Thank you!


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