Is Level 2 'U' Message documented response not matching with what is returned from servers. I see
================== As Documented =================
A Level II Update, a comma separated line of text indicating the values for the update. The message is defined below.
symbol - [out] The Security's Stock Symbol
mmid - [out] The ID of the Market maker originating the quote update
ask - [out] The Buy Offer Price
ask_size - [out] The size of the Buy Offer
bid - [out] The Sell Offer Price
bid_size - [out] The size of the Sell Offer
date - [out] The date and time the update occurred
reason - [out] The reason code for the update
condition_code - [out] The condition of the update
source_id - [out] The quote source's id
============================================

As received from servers.
U,MSFT,BRUT,22.45,22.46,289,183,15:00:58,2006-07-17,20,52,5
U,MSFT,BRUT,22.45,22.46,289,180,15:00:58,2006-07-17,20,52,5
U,MSFT,SIZE,22.45,22.46,156,115,15:00:58,2006-07-17,20,52,5
U,MSFT,SIZE,22.45,22.46,157,115,15:00:58,2006-07-17,20,52,5
U,MSFT,BRUT,22.45,22.46,289,184,15:00:58,2006-07-17,20,52,5
U,MSFT,TRAC,22.45,22.46,60,57,15:00:58,2006-07-17,20,52,5
U,MSFT,BRUT,22.45,22.46,289,169,15:00:58,2006-07-17,20,52,5
U,MSFT,BRUT,22.45,22.46,289,184,15:00:58,2006-07-17,20,52,5
U,MSFT,TRAC,22.45,22.46,60,42,15:00:58,2006-07-17,20,52,5
U,MSFT,BRUT,22.45,22.46,290,184,15:00:58,2006-07-17,20,52,5
U,MSFT,SIZE,22.45,22.46,157,100,15:00:58,2006-07-17,20,52,5
U,MSFT,ARCX,22.45,22.46,301,159,15:00:58,2006-07-17,20,52,11
U,MSFT,BRUT,22.45,22.46,291,184,15:00:58,2006-07-17,20,52,5
U,MSFT,BRUT,22.45,22.46,290,184,15:00:58,2006-07-17,20,52,5
U,MSFT,ARCX,22.45,22.46,301,159,15:00:58,2006-07-17,20,52,11
U,MSFT,BRUT,22.45,22.46,289,184,15:00:58,2006-07-17,20,52,5
U,MSFT,BRUT,22.45,22.46,289,183,15:00:58,2006-07-17,20,52,5
U,MSFT,SIZE,22.45,22.46,157,115,15:00:58,2006-07-17,20,52,5
U,MSFT,ARCX,22.45,22.46,300,159,15:00:58,2006-07-17,20,52,11
U,MSFT,BRUT,22.45,22.46,289,179,15:00:58,2006-07-17,20,52,5
U,MSFT,TRAC,22.45,22.46,60,57,15:00:58,2006-07-17,20,52,5
U,MSFT,BRUT,22.45,22.46,289,164,15:00:58,2006-07-17,20,52,5
U,MSFT,TRAC,22.45,22.46,60,42,15:00:58,2006-07-17,20,52,5
U,MSFT,SIZE,22.45,22.46,157,100,15:00:58,2006-07-17,20,52,5
U,MSFT,ARCX,22.45,22.46,300,159,15:00:56,2006-07-17,20,52,11
U,MSFT,SIZE,22.45,22.46,157,115,15:00:56,2006-07-17,20,52,5
U,MSFT,BRUT,22.45,22.46,289,179,15:00:56,2006-07-17,20,52,5
U,MSFT,BRUT,22.45,22.46,289,177,15:00:56,2006-07-17,20,52,5
U,MSFT,BRUT,22.45,22.46,289,181,15:00:56,2006-07-17,20,52,5

As seen, date field is also separate fields. Please clarify how to interpret L2 data.

this has been changed in the most current version (4.1.2.0) of IQFeed. It appears that version of the documentation hasnt made it to the website yet.

If you have the most current version installed you should have a current copy of the docs on your hard drive in the installed directory.

I just checked the website and the new version is actually already there.

http://www.iqfeed.net/dev/api/docs/LevelIIviaTCPIP.cfm

There have been several other posts in the forum regarding Level II info. I've looked at nasdaqtrader.com and can't seem to find a relevant document for definitions of the reason code and condition code.

Can someone please post some definitive information as to the definition of these codes?

Thanx.

from this post here on our forums: http://forums.iqfeed.net/index.cfm?page=topic&topicID=1110

This information will be updated in the next release of the documentation.
Edited by DTN_Steve_S on Aug 23, 2006 at 08:27 AM

Is there a standard way of translating this information into 'Insert, Delete, Update, Undefined' type operations, in a fashion similar to IB marketdepth? Or is this even an applicable question to this type of data?

Thanx.
Edited by stargrazer on Sep 9, 2006 at 01:04 PM

I have spoken with development and they are researching this issue to see if support is available for those operations. I will reply when I get an answer back.

Short answer, "I don't think so"
Long answer to follow:

Let me preface by saying that I am having a hard time finding information about L2 data. I have requests into various departments trying to figure out what these fields refer to (when I dug up the information initially, I didnt bother asking what they mean). Also, keep in mind that I am not familiar with IB's market depth data or thier formatting.

To my knowledge, the only one of these reason codes that makes sense (besides 20-None) is halted and that is simply going to happen when there is a trading halt across the board on a stock.

The rest of these values do not make sense to me. I'm fairly certain that these reason codes are set by the exchange (not by DTN) and I would suspect that you will very rarely see anything in the reason code other than 20 (none). The reasoning I say this is because it does not make sense to delete a L2 tick and it does not make sense that a L2 Update would not have an active market maker since all L2 data is provided from Market Makers.

Thank you for investigating. Perhaps when someone from development provides some info as to what they do with inbound feeds, and how it is translated into your feed that might help. I tried to correlate what your feed looks like with any sort of documentation on Nasdaq's site and came up empty handed.

Perhaps the 5's, 10's and 11's on the last column may have more than a passing meaning. I have seen some similarities with IB's feed, but I'll need to examine your's and theirs more closely to see if the 5's, 10's, and 11's are the missing link, or if there is something more complicated behind the scenes.

I look forward to hearing what ever you may get from development.

Tim/Steve, you mentioned L2 ticks. Actually, all L2 data is just a quote book. It doesn't involve trades. The quote book is a continuously evolving set of limit orders that may be cancelled at any time. This ebb and flow of limit orders is what makes the L2 data useful as another indication of market direction.

So, having said all that, have you heard back from developers what the various codes means and how to interpret them in the context of the adds, deletes, and changes of the limit order book?

Assuming that this is indeed what the data is representing?
Edited by stargrazer on Sep 24, 2006 at 09:47 AM

Upon some further research, I see some vendors represent this data by simply using the MMID as key, and alway updating the MMID based record. This interpretation does indeed make it easy to render the data stream in a limit order book, with only one record per MMID represented. Call this scenario A.

However, I have seen certain other systems represent the order book where a certain MMID can have several lines in the order book. Call this scenario B.

With scenario A, records are automatically aged out simply by being overwritten. With scenario B, records need to be aged out using some other mechanism. I was hoping that the Reason, Condition, or Source code columns aided this.

So, in summary, could someone 'in the know', either DTN or some third party vendor, offer up some definitive clues as to which scenario this data represents: A, B, or some other way. If B, then how does one age out the records?

Thanx.

Scenario A is the correct "model" of IQFeed. This is evident by the L2 display in our inhouse DTNIQ software.