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»Forums Index »NEW IQFEED FORUMS »Data Questions »Significance of 'v' Message Type in L1 update for futures contracts
Author Topic: Significance of 'v' Message Type in L1 update for futures contracts (3 messages, Page 1 of 1)

mkvalor
-Interested User-
Posts: 26
Joined: Oct 6, 2020

Keep your tools sharp.


Posted: Aug 4, 2023 09:17 AM          Msg. 1 of 3
EDIT: Nevermind -- see the first reply below. Got fooled by the trailing comma in the Q lines.

--- Original Message -----

In the L1 feed for a futures contract below, notice that the 9th message from the bottom has Message Type 'v'. Yet I don't see a change in anything "volume-like". The bid size is the same, the ask size is the same, the most recent trade size is the same. In what sense did a "volume change" occur which could be detected in sofware consuming an L1 feed for a futures contract?

Separate issue I'll ask in a separate new topic -- no idea why I don't receive Total Volume (final field) in my L1 feed. You can see that I request it in the custom dynamic field response a the top. The documentation for the field says, "Calculated by IQConnect when not sent from servers (or provided by the exchange)". None of my L1 feeds for futures contract receive it (and I'm not currently requesting an L1 feeds for non-futures instruments to see a difference there).

--- begin sample ---
S,CURRENT UPDATE FIELDNAMES,Symbol,TickID,Message Contents,Bid Time,Bid,Bid Size,Ask Time,Ask,Ask Size,Most Recent Trade Conditions,Most Recent Trade Time,Most Recent Trade,Most Recent Trade Size,Most Recent Trade Aggressor,Tick,Total Volume
...
Q,@MNQ#,234172322,a,09:23:09.529415,15836.50,8,09:23:09.529631,15836.75,4,01,09:23:09.528964,15836.75,1,2,,227513,
Q,@MNQ#,234172322,b,09:23:09.529708,15836.50,7,09:23:09.529631,15836.75,4,01,09:23:09.528964,15836.75,1,2,,227513,
Q,@MNQ#,234172322,b,09:23:09.529709,15836.50,6,09:23:09.529631,15836.75,4,01,09:23:09.528964,15836.75,1,2,,227513,
Q,@MNQ#,234172322,b,09:23:09.529817,15836.50,5,09:23:09.529631,15836.75,4,01,09:23:09.528964,15836.75,1,2,,227513,
Q,@MNQ#,234172328,C,09:23:09.529817,15836.50,5,09:23:09.529631,15836.75,4,01,09:23:09.529877,15836.50,1,2,175,227514,
Q,@MNQ#,234172328,b,09:23:09.529877,15836.50,4,09:23:09.529631,15836.75,4,01,09:23:09.529877,15836.50,1,2,,227514,
Q,@MNQ#,234172329,C,09:23:09.529877,15836.50,4,09:23:09.529631,15836.75,4,01,09:23:09.530059,15836.50,1,2,183,227515,
Q,@MNQ#,234172329,b,09:23:09.530059,15836.50,3,09:23:09.529631,15836.75,4,01,09:23:09.530059,15836.50,1,2,,227515,
Q,@MNQ#,234172330,C,09:23:09.530059,15836.50,3,09:23:09.529631,15836.75,4,01,09:23:09.530111,15836.50,3,2,183,227518,
Q,@MNQ#,234172330,b,09:23:09.530111,15836.25,5,09:23:09.529631,15836.75,4,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.530111,15836.25,5,09:23:09.530460,15836.50,1,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.530111,15836.25,5,09:23:09.531483,15836.50,2,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.530111,15836.25,5,09:23:09.531646,15836.50,3,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.530111,15836.25,5,09:23:09.531784,15836.50,4,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.531862,15836.25,4,09:23:09.531784,15836.50,4,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.531862,15836.25,4,09:23:09.531882,15836.50,5,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.531862,15836.25,4,09:23:09.531932,15836.50,6,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.532203,15836.25,3,09:23:09.531932,15836.50,6,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.532203,15836.25,3,09:23:09.532288,15836.50,5,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.532203,15836.25,3,09:23:09.532441,15836.50,4,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.532722,15836.25,2,09:23:09.532441,15836.50,4,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.532722,15836.25,2,09:23:09.532722,15836.50,5,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.532722,15836.25,2,09:23:09.532733,15836.50,6,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.532722,15836.25,2,09:23:09.532735,15836.50,7,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.532722,15836.25,2,09:23:09.532771,15836.50,6,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.532722,15836.25,2,09:23:09.536253,15836.50,5,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.536273,15836.25,3,09:23:09.536253,15836.50,5,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.536273,15836.25,3,09:23:09.536360,15836.50,4,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.540764,15836.25,2,09:23:09.536360,15836.50,4,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.540764,15836.25,2,09:23:09.540764,15836.50,5,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.540764,15836.25,2,09:23:09.586880,15836.50,4,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.586880,15836.25,3,09:23:09.586880,15836.50,4,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.586997,15836.25,4,09:23:09.586880,15836.50,4,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.586997,15836.25,4,09:23:09.587477,15836.50,3,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.587488,15836.25,5,09:23:09.587477,15836.50,3,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.587488,15836.25,5,09:23:09.587595,15836.50,2,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.587599,15836.25,6,09:23:09.587595,15836.50,2,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.587599,15836.25,6,09:23:09.587609,15836.50,1,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.587762,15836.25,5,09:23:09.587609,15836.50,1,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.587762,15836.25,5,09:23:09.587763,15836.75,6,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.587812,15836.25,4,09:23:09.587763,15836.75,6,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.587814,15836.25,3,09:23:09.587763,15836.75,6,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.587814,15836.25,3,09:23:09.587816,15836.50,1,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.587814,15836.25,3,09:23:09.587862,15836.50,2,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.587814,15836.25,3,09:23:09.587916,15836.50,3,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.587998,15836.25,4,09:23:09.587916,15836.50,3,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.587998,15836.25,4,09:23:09.587999,15836.50,2,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.587999,15836.25,5,09:23:09.587999,15836.50,2,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.587999,15836.25,5,09:23:09.588119,15836.50,1,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.587999,15836.25,5,09:23:09.588120,15836.75,7,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.588161,15836.25,4,09:23:09.588120,15836.75,7,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.588162,15836.25,3,09:23:09.588120,15836.75,7,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.588335,15836.25,4,09:23:09.588120,15836.75,7,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.588336,15836.25,5,09:23:09.588120,15836.75,7,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.595870,15836.25,4,09:23:09.588120,15836.75,7,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.595870,15836.25,4,09:23:09.595981,15836.50,1,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.596018,15836.25,3,09:23:09.595981,15836.50,1,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.596158,15836.25,4,09:23:09.595981,15836.50,1,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,a,09:23:09.596158,15836.25,4,09:23:09.596285,15836.75,7,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.596285,15836.25,5,09:23:09.596285,15836.75,7,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.596620,15836.25,6,09:23:09.596285,15836.75,7,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.597092,15836.25,7,09:23:09.596285,15836.75,7,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,b,09:23:09.597191,15836.25,8,09:23:09.596285,15836.75,7,01,09:23:09.530111,15836.50,3,2,,227518,
Q,@MNQ#,234172330,v,09:23:09.597191,15836.25,8,09:23:09.596285,15836.75,7,01,09:23:09.530111,15836.50,3,2,,227519,
Q,@MNQ#,234172330,a,09:23:09.597191,15836.25,8,09:23:09.800264,15836.75,6,01,09:23:09.530111,15836.50,3,2,,227519,
Q,@MNQ#,234172330,a,09:23:09.597191,15836.25,8,09:23:09.800280,15836.75,5,01,09:23:09.530111,15836.50,3,2,,227519,
Q,@MNQ#,234172330,a,09:23:09.597191,15836.25,8,09:23:09.800281,15836.75,4,01,09:23:09.530111,15836.50,3,2,,227519,
Q,@MNQ#,234172330,b,09:23:09.800495,15836.50,1,09:23:09.800281,15836.75,4,01,09:23:09.530111,15836.50,3,2,,227519,
Q,@MNQ#,234172330,b,09:23:09.800528,15836.50,2,09:23:09.800281,15836.75,4,01,09:23:09.530111,15836.50,3,2,,227519,
Q,@MNQ#,234172330,a,09:23:09.800528,15836.50,2,09:23:09.800528,15836.75,3,01,09:23:09.530111,15836.50,3,2,,227519,
Q,@MNQ#,234172330,a,09:23:09.800528,15836.50,2,09:23:09.800543,15836.75,2,01,09:23:09.530111,15836.50,3,2,,227519,
Q,@MNQ#,234172334,C,09:23:09.800528,15836.50,2,09:23:09.800543,15836.75,2,01,09:23:09.800628,15836.75,1,1,173,227520,
--- end sample ---


-Mark D. Valor
Edited by mkvalor on Aug 4, 2023 at 09:30 AM

mkvalor
-Interested User-
Posts: 26
Joined: Oct 6, 2020

Keep your tools sharp.


Posted: Aug 4, 2023 09:28 AM          Msg. 2 of 3
Ugh, nevermind -- I was fooled by the trailing comma at the end of the Quote lines to imagine I was missing the Total Volume field (empty value).

I can see now that the final field (which includes a trailing comma) is indeed the Total Volume field and that this value does change on the line with the "v" Message Type.

Thanks for your time.

-Mark D. Valor

baneslime
-Interested User-
Posts: 1
Joined: Jan 24, 2024


Posted: Jan 24, 2024 07:20 PM          Msg. 3 of 3
useful
 

 

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