Hi!

I'm switching application from 4.9 to the latest protocol (it is late, I know) and can't recognise the correct way to determine which filds were updated in "Q" message, trades, asks or bids. Previously it worked well with depricated field "Last Trade Time" but now I have to use "Message Contents" field.

The problem is that I'm getting only "a" or "b" or "ab" messages and no other types.

Updated fields:
S,CURRENT UPDATE FIELDNAMES,Symbol,Most Recent Trade,Most Recent Trade Size,Most Recent Trade TimeMS,Most Recent Trade Market Center,Total Volume,Bid,Bid Size,Ask,Ask Size,Open,High,Low,Close,Message Contents,Most Recent Trade Conditions.
**********
QQQ, I put below two messages where Total volume is different (i.e. the trade occured), but both have "ba" status.

Q,QQQ,101.9900,200,09:30:00.130,11,171128,101.9800,700,101.9900,21500,101.9800,101.9900,101.9800,101.9600,ba,3D,
Q,QQQ,101.9800,100,09:30:00.215,5,172628,101.9800,500,101.9900,21500,101.9800,101.9900,101.9800,101.9600,ba,173D,

or here

Q,QQQ,101.9800,100,09:30:00.215,5,172628,101.9800,1600,101.9900,18500,101.9800,101.9900,101.9800,101.9600,ba,173D,
Q,QQQ,101.9900,100,09:30:00.479,12,174528,101.9800,1000,101.9900,18500,101.9800,101.9900,101.9800,101.9600,ba,3D,
Q,QQQ,101.9800,15,09:30:00.501,26,174543,101.9800,1000,101.9900,16500,101.9800,101.9900,101.9800,101.9600,ba,87,

@ES# has similar "problem", I'm getting either "b" or "a":

Q,@ES#,2035.25,3,09:32:00.469,43,142929,2035.25,2,2035.50,364,2033.75,2039.00,2031.75,2034.00,b,01,
Q,@ES#,2035.25,1,09:32:00.469,43,142931,2035.00,464,2035.50,364,2033.75,2039.00,2031.75,2034.00,b,01,

****************************

Am I doing something worg? Should I use something else to separate quote update and trade update?

Thank you,
Andrew

Andrew, It sounds like you understand how it works but something doesn't seem right for sure.

Keep in mind that very active symbols like QQQ and @ES# will have a LOT of bid and ask updates between trades (sometimes thousands) so if you are tyring to catch this in a debugger, you may have to set a conditional breakpoint or perhaps add code that will only be triggered on a trade and put your breakpoint there.

Here is a snipit of messages that just came through for me a few minutes ago on QQQ.

Q,QQQ,102.1100,1000,10:46:10.259,19,4248762,102.1000,17800,102.1100,3200,101.9800,102.1300,101.7000,101.9600,ba,01,
Q,QQQ,102.1100,1000,10:46:10.259,19,4248762,102.1000,17800,102.1100,3000,101.9800,102.1300,101.7000,101.9600,ba,01,
Q,QQQ,102.1100,100,10:46:18.204,12,4248862,102.1000,17800,102.1100,3000,101.9800,102.1300,101.7000,101.9600,C,3D,
Q,QQQ,102.1100,100,10:46:18.205,25,4248962,102.1000,17800,102.1100,3000,101.9800,102.1300,101.7000,101.9600,C,01,
Q,QQQ,102.1100,2,10:46:18.205,25,4248964,102.1000,17800,102.1100,3000,101.9800,102.1300,101.7000,101.9600,O,87,
Q,QQQ,102.1100,100,10:46:18.205,5,4249064,102.1000,17800,102.1100,3000,101.9800,102.1300,101.7000,101.9600,C,3D,
Q,QQQ,102.1100,100,10:46:18.205,5,4249064,102.1000,17800,102.1100,4300,101.9800,102.1300,101.7000,101.9600,ba,3D,
Q,QQQ,102.1100,100,10:46:18.205,5,4249064,102.1000,17800,102.1100,4700,101.9800,102.1300,101.7000,101.9600,ba,3D,

You can see here that there are certainly trades being identified in the Message Contents field (this is the default fieldset with Message Contents 2nd to last field).

The interesting with your snipits of messages (as you pointed out) is that they don't appear to be sequential from the feed.

For example, your group:

Q,QQQ,101.9800,100,09:30:00.215,5,172628,101.9800,1600,101.9900,18500,101.9800,101.9900,101.9800,101.9600,ba,173D,
Q,QQQ,101.9900,100,09:30:00.479,12,174528,101.9800,1000,101.9900,18500,101.9800,101.9900,101.9800,101.9600,ba,3D,
Q,QQQ,101.9800,15,09:30:00.501,26,174543,101.9800,1000,101.9900,16500,101.9800,101.9900,101.9800,101.9600,ba,87,

Message 1 has a trade timestamp of 09:30:00.215 and Trade Conditions of 173D. These fields both only update on trades. Since that message is a bid/ask update (hence the "ba" in message contents), we can safely assume that those field values were from the most recent trade prior to that message.
Now moving on to message 2, the Trade timestamp has updated to 09:30:00.479 and the Trade conditions have updated to 3D but the message is still labeled as a bid/ask message.
Looking at historical data (trades only)

Time	Date	Inc Vol	Bid	Ask	Volume	B Size	A Size	TickID	Info	Mkt Center	Trade Conditions
09:30:00.479	2014-11-11	101.9900	100	101.9800	101.9900<<	173828	0	0	4104	Trade	BX	INTRMRK_SWEEP
09:30:00.450	2014-11-11	101.9800	300	101.9800<<	101.9900	173728	0	0	4038	Extended Trade	NASDAQ	FORMT/INTRMRK_SWEEP
09:30:00.450	2014-11-11	101.9800	800	101.9800<<	101.9900	173428	0	0	4037	Extended Trade	NASDAQ	FORMT/INTRMRK_SWEEP
09:30:00.215	2014-11-11	101.9800	100	101.9800<<	101.9900	172628	0	0	3579	Extended Trade	NASDAQ	FORMT/INTRMRK_SWEEP 

You can see that there was a minumun of 3 trades in between the messages you posted (2 at 09:30:00.450 and the one at 09:30:00.479 that updated the timestamp in the message you posted). Of course, we don't store all the bid/ask updates but you can also safely assume there were quite a few bid/ask updates inbetween your 2 messages as well.

So, my guess at this point is that somewhere in your code you are either skipping data or your machine isn't keeping up with the feed causing the server to drop data (perhaps you were stopped at a breakpoint?).

No, no, I'm not using breakpoints. I will update the client to the latest version and check again and let you know.

Andrew

Thank you, very much. It was the filter to log the records with only 't', 'a' and 'b' codes. All works now.

Have a nice day,
Andrew