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»Forums Index »NEW IQFEED FORUMS »Data Questions »5MS market snapshot Close field seems wrong, opra JPM2313V143 2023-10-13T09:58:38-04:00
Author Topic: 5MS market snapshot Close field seems wrong, opra JPM2313V143 2023-10-13T09:58:38-04:00 (2 messages, Page 1 of 1)

ericjohnson
-Interested User-
Posts: 2
Joined: Oct 15, 2023


Posted: Oct 15, 2023 09:16 AM          Msg. 1 of 2
From a 5MS market snapshot taken on Friday, at 2023-10-13T10:05:19.859237-04:00, of the opra options market:

market_summary_5MS_opra_2023-10-13T10:05:19.859237-04:00


$ tm : chr "2023-10-13T09:58:38-04:00"
$ Symbol : chr "JPM2313V143"
$ Exchange : int 14
$ Type : int 2
$ Last : num 0.02
$ TradeSize : int 1
$ TradedMarket : int 108
$ TradeDate : int 20231013
$ TradeTime : int 95838
$ Open : num 0.03
$ High : num 0.05
$ Low : num 0.01
$ Close : num 0.99. <<< how can the Close be this high? High is only 0.05, as seen here and in the tick trade prints for this symbol.
$ Bid : num 0.01
$ BidMarket : int 156
$ BidSize : int 9
$ Ask : num 0.02
$ AskMarket : int 156
$ AskSize : int 42
$ Volume : int 821
$ PDayVolume : int 1724
$ UpVolume : int 0
$ DownVolume : int 0
$ NeutralVolume : int 0
$ TradeCount : int 118
$ UpTrades : int 0
$ DownTrades : int 0
$ NeutralTrades : int 0
$ VWAP : logi NA
$ MutualDiv : logi NA
$ SevenDayYield : logi NA
$ OpenInterest : int 1425
$ Settlement : logi NA
$ SettlementDate: logi NA
$ ExpirationDate: int 20231013
$ Strike : num 143

When I pull the trade for that JPM option symbol and look at last trade price (in Close), and bid and ask (in $lo and $hi respectively):

> summary(a$close)
Min. 1st Qu. Median Mean 3rd Qu. Max.
0.01000 0.01000 0.01000 0.01567 0.02000 0.05000
> summary(a$hi)
Min. 1st Qu. Median Mean 3rd Qu. Max.
0.01000 0.01000 0.02000 0.02106 0.02000 0.08000
> summary(a$lo)
Min. 1st Qu. Median Mean 3rd Qu. Max.
0.000000 0.000000 0.010000 0.009355 0.010000 0.030000
>

So the Close 0f 0.99 seems outlandish or just crazy wrong.

Here is what my CSV output looks like. Perhaps I have done something wrong with the header alignment... hmm.

tm,Symbol,Exchange,Type,Last,TradeSize,TradedMarket,TradeDate,TradeTime,Open,High,Low,Close,Bid,BidMarket,BidSize,Ask,AskMarket,AskSize,Volume,PDayVolume,UpVolume,DownVolume,NeutralVolume,TradeCount,UpTrades,DownTrades,NeutralTrades,VWAP,MutualDiv,SevenDayYield,OpenInterest,Settlement,SettlementDate,ExpirationDate,Strike
...
2023-10-13T09:58:38-04:00,JPM2313V143,14,2,0.02,1,108,20231013,95838,0.03,0.05,0.01,0.99,0.01,156,9,0.02,156,42,821,1724,0,0,0,118,0,0,0,,,,1425,,,20231013,143.000


the request sent at 2023-10-13 09:05:19.869 -0500 CDT was:

S,SET PROTOCOL,6.2
5MS,2,14




Is there some user error, or is the Close field buggy in the 5MS for opra?

ericjohnson
-Interested User-
Posts: 2
Joined: Oct 15, 2023


Posted: Oct 15, 2023 09:20 AM          Msg. 2 of 2
Ah: 0.99 is the price of the last trade on that option from Thursday. So it is the previous day's closing price.
 

 

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