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» No Bid/Ask Sizes for Forex
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| Author | Topic: No Bid/Ask Sizes for Forex (5 messages, Page 1 of 1) |
 orenh -Interested User- Posts: 3 Joined: Jan 14, 2016 |
Posted: Feb 1, 2016 03:46 AM
Msg. 1 of 5
The Level 1 feed for Forex symbols, e.g. EURUSD.FXCM, never reports the Bid Size or Ask Size. (I'm using Protocol 5.2.)
E.g.: SELECT UPDATE FIELDS Symbol, Bid,Bid Size,Bid Time, Ask,Ask Size,Ask Time, Extended Trade Date,Message Contents ... P,EURUSD.FXCM,1.08560,,03:39:46.925000,1.08564,,03:39:46.925000,02/01/2016,Cba, Q,EURUSD.FXCM,1.08561,,03:39:47.211000,1.08564,,03:39:47.211000,02/01/2016,Cba, Q,EURUSD.FXCM,1.08562,,03:39:47.369000,1.08564,,03:39:47.369000,02/01/2016,Cba, Q,EURUSD.FXCM,1.08562,,03:39:47.391000,1.08565,,03:39:47.391000,02/01/2016,Cba, This shows that the Bid/Ask Prices are present, but not the Sizes. Another problem (a smaller one) is that for Forex, the 'Message Contents' field always contains "ba", indicating that both the Bid and Ask have changed. But in fact, often they haven't changed at all. This problem, too, can be seen in the lines above. E.g., in lines 3-4, the Bid Price is the same (1.08562), but despite this line #4 contains "b" in the Message Contents field. (Perhaps this is related to the fact that the Bid/Ask Sizes are missing?) So my questions are: 1. How can I get the Bid/Ask Sizes? 2. Could you fix the spurious 'b'/'a' indicators? (I can ignore them, of course, but it would be better if they were set correctly in the first place.) Thanks, Oren |
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DTN_Robert_Carrillo -Interested User- Posts: 6 Joined: Apr 25, 2007 
-DTN Technical Support- |
Posted: Feb 1, 2016 03:53 AM
Msg. 2 of 5
Thanks for your post Oren. Developer Support will be here in a few hrs to assist.
Robert Carrillo support@iqfeed.net support@dtniq.com support@prophetx.com Trading Markets Customer Service 1-800-397-7000 |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: Feb 1, 2016 07:32 AM
Msg. 3 of 5
Since Forex does not actually trade like a stock, they do not have sizes. We actually place the bid in the last field so that users can chart the data historically just for this reason.
And since the current bid and ask price are sent to us by the exchange, we have to send the bid and ask flags with it, so I don't think I can change that behavior. Tim |
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orenh -Interested User- Posts: 3 Joined: Jan 14, 2016 |
Posted: Feb 1, 2016 07:53 AM
Msg. 4 of 5
Thanks for the reply. I was hoping to get the real lot size, but I guess I can do without.
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006
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Posted: Feb 1, 2016 09:07 AM
Msg. 5 of 5
I am not a Forex trader obviously, but as I understand it, lot sizes are more about the quantity that an individual would purchase from their bank, so we don't receive those from the feed. We just get/report the current market values, not any individual activity.
Sorry, I couldn't help more. Tim |
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