When do 'T' messages get generated? Here is something i saw this morning on the open

For AA the first update message (not summary message) was what appears to be yesterdays close with "last=12.01" but a time stamp of 09:30:00T

The first true trade after 9:30 should have been "last=12.14".

Interestingly, for other symbols I manually checked, the first print was correct and was a 't' update message, as opposed to "T".

From the documentation: •T - Extended Trade = Any trade that is counted in volume (field 7) but does not set a new open, high, low, or last.

I'd like to understand exactly when 'T' messages can get generated

Thanks !

The exchanges send Non-Last-Qualifying trades occasionally through the feed. This simply means that the price will not set a new Open, High, Low, or Close for the day. These are most frequently sent during Pre/Post market trading but can occur at any time. In IQFeed, these are designated with the T indicator as "extended trades". As the documentation states, these trades do get counted in daily volume.

Keep in mind that IQFeed will only update the "Last" field in the update message for a regular trade (which until the first trade of the next day will equal the close during pre/post market trading). If you need the price of the trade that was marketed with a T, you will need to look at the Extended Trading Last field.

Steve, Thank you very much.

That was a clear explanation of 'T" and where the 'last' price came from. I hadn't noticed the special fields for extended trades. May I suggest you add a note to the documentation for 'T' indicating to look at field 33 for 'last' etc.
Edited by vikana on Sep 4, 2009 at 11:35 AM