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»Forums Index »IQFeed Developer »IQFeed Developer Support »how to merge Market Places to unique one?
Author Topic: how to merge Market Places to unique one? (7 messages, Page 1 of 1)

kytmanov
-Interested User-
Posts: 13
Joined: Jun 16, 2015


Posted: Oct 7, 2015 10:47 AM          Msg. 1 of 7
When I request a list of all available Market Places, I receive a huge list. There a few records for NASDAQ, for NYSE, etc. And it looks like not all of those sections are actually required.

How can I merge them to unique one?

For example, at your site
http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=lookup&displayaction=support§ion=guide&web=iqfeed&alpha=1&start=1

the list of exchanges is much shorter.

Is there some 'standard' way to do this?

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Oct 7, 2015 11:11 AM          Msg. 2 of 7
Hello,

This is something we will be adding in the next version of IQFeed. Currently, mapping the various markets is a manual process, but to save you some of that, below is the return showing the soon to be new result.

You can see below in the fourth field, that you will get the parent listed market. So, as an example, all markets that are under Nasdaq have a parent id of 5, which I think meets your need. Just make sure to get it back to a dynamic pull of the market list when you upgrade to the 5.2 protocol as this will deprecate quickly.

Listed Market, Short Name, Long Name, Parent Listed Market, Parent Listed Market Short Name
CURRENT results as of 10/7/2015
1,NGM,Nasdaq Global Market,5,NASDAQ,
2,NCM,National Capital Market,5,NASDAQ,
3,OTC,Nasdaq other OTC,5,NASDAQ,
4,OTCBB,Nasdaq OTC Bulletin Board,5,NASDAQ,
5,NASDAQ,Nasdaq,5,NASDAQ,
6,NYSE_MKT,NYSE MKT (Equities and Bonds),6,NYSE_MKT,
7,NYSE,New York Stock Exchange,7,NYSE,
8,CHX,Chicago Stock Exchange,0,NONE,
9,PHLX,Philadelphia Stock Exchange,0,NONE,
10,NSX,National Stock Exchange,0,NONE,
11,NYSE_ARCA,NYSE Archipelago,7,NYSE,
12,BX,Boston Stock Exchange,0,NONE,
13,CBOE,Chicago Board Options Exchange,13,CBOE,
14,OPRA,OPRA System,14,OPRA,
15,NASD_ADF,Nasdaq Alternate Display facility,5,NASDAQ,
16,ISE,International Stock Exchange,14,OPRA,
17,BOX,Boston Options Exchange,14,OPRA,
18,BATS,Better Alternative Trading System,18,BATS,
19,NTRF,Nasdaq Trade Reporting Facility,5,NASDAQ,
20,PBOT,Philadelphia Board Of Trade,20,PBOT,
21,NGSM,Nasdaq Global Select Market,5,NASDAQ,
22,CANTOR,Cantor Fitzgerald Exchange Treasury Funds,22,CANTOR,
23,C2,CBOE C2 Options Exchange,0,NONE,
24,NYSE_TRF,NYSE Trade Reporting Facility,7,NYSE,
25,EDGA,Direct Edge A,82,TOCOM,
26,EDGX,Direct Edge X,81,TGE,
27,DTN,DTN,27,DTN,
28,BYX,BATS Y Exchange,18,BATS,
29,RUSSELL-FL,Russell Investments (Fee-Liable),29,RUSSELL-FL,
30,CBOT,Chicago Board Of Trade,30,CBOT,
31,DJ,Dow Jones (CBOT),31,DJ,
32,CFE,CBOE Futures Exchange,32,CFE,
33,KCBOT,Kansas City Board Of Trade,33,KCBOT,
34,CME,Chicago Mercantile Exchange,34,CME,
35,MGE,Minneapolis Grain Exchange,35,MGE,
36,NYMEX,New York Mercantile Exchange,36,NYMEX,
37,COMEX,Commodities Exchange Center,37,COMEX,
38,ICEFU,International Commodities Exchange Futures US,38,ICEFU,
39,NYLUS,NYSE LIFFE US,39,NYLUS,
40,CME-FL,CME Indexes (Fee Liable),40,CME-FL,
42,CBOTMINI,Chicago Board Of Trade Mini Sized Contracts,30,CBOT,
43,CMEMINI,Chicago Mercantile Exchange Mini Sized Contracts,34,CME,
44,USFE,US Futures Exchange,44,USFE,
45,NYMEXMINI,Commodities Exchange Center Mini Sized Contracts,36,NYMEX,
46,GREENX,The Green Exchange,46,GREENX,
47,CLEARPORT,New York Mercantile Exchange,36,NYMEX,
48,COMEXMINI,New York Mercantile Exchange Mini Sized Contracts,37,COMEX,
50,TSE,Toronto Stock Exchange,50,TSE,
51,MSE,Montreal Stock Exchange,51,MSE,
52,CVE,Canadian Venture Exchange,52,CVE,
53,WSE,Winnipeg Stock Exchange,53,WSE,
54,ICEFC,International Commodities Exchange Futures Canada,54,ICEFC,
55,MX,Montreal Exchange,55,MX,
60,MDEX,Bursa Malaysia Derivatives,60,MDEX,
61,ICEFI,International Commodities Exchange Futures Derivatives,61,ICEFI,
62,LME,London Metals Exchange,62,LME,
63,ICEEC,International Commodities Exchange European Commodities,63,ICEEC,
64,ASXCM,ASX24 Commodities Exchange,64,ASXCM,
65,DME,Dubai Mercantile Exchange,65,DME,
66,BMF,Brazilian Mercantile & Future Exchange,66,BMF,
67,SGX,Singapore International Monetary Exchange,67,SGX,
68,EUREX,European Exchange,68,EUREX,
69,ENID,Euronext Index Derivatives,69,ENID,
70,ICEEF,International Commodities Exchange European Financials,70,ICEEF,
71,ENCOM,Euronext Commodities,71,ENCOM,
72,TULLETT,Tullett Liberty (Forex),72,TULLETT,
73,BARCLAYS,Barclays Bank (Forex),73,BARCLAYS,
74,FXCM,Forex Capital Markets,74,FXCM,
75,WTB,Warenterminborse Hannover,75,WTB,
76,MGKB,MGE-KCBOT (InterCommodity Spreads),76,MGKB,
77,MGCB,MGE-CBOT (InterCommodity Spreads),77,MGCB,
78,TENFORE,Tenfore Systems,78,TENFORE,
79,NYDME,NYMEX-DME (InterCommodity Spreads),79,NYDME,
80,PSX,Philadelphia Stock Exchange,80,PSX,
81,TGE,Tokyo Grain Exchange,81,TGE,
82,TOCOM,Tokyo Commodities Exchange,82,TOCOM,
83,SAFEX,South African Futures Exchange,83,SAFEX,
84,EEXP,European Energy Exchange - Power,84,EEXP,
85,EEXN,European Energy Exchange - Natural Gas,85,EEXN,
86,EEXE,European Energy Exchange - Emission Rights,86,EEXE,
87,EEXC,European Energy Exchange - Coal,87,EEXC,
88,MIAX,Miami International Securities Exchange,88,MIAX,
89,KBCB,KCBOT-CBOT (InterCommodity Spreads),89,KBCB,
90,PK_SHEETS,Pink Sheets - No Tier,90,PK_SHEETS,
91,PK_QXPREM,Pink Sheets - OTCQX - PremierQX Tier,90,PK_SHEETS,
92,PK_QXPRIME,Pink Sheets - OTCQX - PrimeQX Tier,90,PK_SHEETS,
93,PK_IQXPREM,Pink Sheets - OTCQX - International PremierQX Tier,90,PK_SHEETS,
94,PK_IQXPRIME,Pink Sheets - OTCQX - International PrimeQX Tier,90,PK_SHEETS,
95,PK_OTCQB,Pink Sheets - OTCBB Pink Sheets dually Quoted Tier,90,PK_SHEETS,
96,PK_BBONLY,Pink Sheets - OTCBB Only Tier,90,PK_SHEETS,
97,PK_CURRENT,Pink Sheets - Current Tier,90,PK_SHEETS,
98,PK_LIMITED,Pink Sheets - Limited Tier,90,PK_SHEETS,
99,PK_NOINFO,Pink Sheets - No Information Tier,90,PK_SHEETS,
100,PK_GREY,Pink Sheets - Grey Market Tier,90,PK_SHEETS,
101,PK_YL_SHEETS,Yellow Sheets,90,PK_SHEETS,
102,PK_PR_SHEETS,Partner Sheets,90,PK_SHEETS,
103,PK_GL_SHEETS,Global Sheets,90,PK_SHEETS,
104,PK_NYSE,Pink Sheets - NYSE Listed,90,PK_SHEETS,
105,PK_NASDAQ,Pink Sheets - NASDAQ Listed,90,PK_SHEETS,
106,PK_NYSE_AMEX,Pink Sheets - NYSE AMEX Listed,90,PK_SHEETS,
107,PK_ARCA,Pink Sheets - ARCA Listed,90,PK_SHEETS,
108,NYSE_AMEX,NYSE AMEX Options Exchange,91,PK_QXPREM,
109,GLOBEX_RT,CME GLOBEX Group Authorization,0,NONE,
110,CME_GBX,Chicago Mercantile Exchange (GLOBEX),34,CME,
111,CBOT_GBX,Chicago Board Of Trade (GLOBEX),30,CBOT,
112,NYMEX_GBX,New York Mercantile Exchange (GLOBEX),36,NYMEX,
113,COMEX_GBX,Commodities Exchange Center (GLOBEX),37,COMEX,
114,DME_GBX,Dubai Mercantile Exchange (GLOBEX),65,DME,
115,RUSSELL,Russell Investments,115,RUSSELL,
116,BZX,BATS Z Exchange,116,BZX,
117,CFTC,US Commodity Futures Trading Commission,117,CFTC,
118,USDA,US Department of Agriculture,118,USDA,
119,WASDE,World Supply and Demand Estimates Report,119,WASDE,
120,GRNST,Grain Stock Report,120,GRNST,
121,GEMINI,ISE Gemini Options Exchange,121,GEMINI,
122,ARGUS,Argus Energy,122,ARGUS,
123,RACKS,Racks Energy,123,RACKS,
124,SNL,SNL Energy,124,SNL,
125,RFSPOT,Refined Fuels Spots Exchange,125,RFSPOT,
126,EOXNGF,EOX Live Natural Gas Forward Curve,126,EOXNGF,
127,EOXPWF,EOX Live Power Forward Curve,127,EOXPWF,
128,EOXCOR,EOX Live Correlations,128,EOXCOR,
129,ICEENDEX,ICE Energy Derivatives Exchange,129,ICEENDEX,
130,KCBOT_GBX,Kansas City Board of Trade (GLOBEX),33,KCBOT,
131,MGE_GBX,Minneapolis Grain Exchange (GLOBEX),35,MGE,
132,BLOOMBERG,Bloomberg Indices,132,BLOOMBERG,
133,ELSPOT,Nord Pool Spot,133,ELSPOT,
134,N2EX,NASDAQ OMX-Nord Pool,134,N2EX,
135,ICEEA,International Commodities Exchange European Agriculture,135,ICEEA,
136,CMEUR,Chicage Mercantile Exchange Europe Ltd,136,CMEUR,
137,COMM3,Commodity 3 Exchange,137,COMM3,
138,JACOBSEN,The Jacobsen,138,JACOBSEN,
139,NFX,NASDAQ OMX Futures,139,NFX,
140,SGXAC,SGX Asia Clear,140,SGXAC,

kytmanov
-Interested User-
Posts: 13
Joined: Jun 16, 2015


Posted: Oct 12, 2015 05:11 AM          Msg. 3 of 7
Thanks for the list.

Since I can not set protocol to 5.2, I have to hardcode this info, have I?



Also I see some inconsistency in this sample. I.e. lines
5,NASDAQ,Nasdaq,5,NASDAQ,
14,OPRA,OPRA System,14,OPRA,
34,CME,Chicago Mercantile Exchange,34,CME,
etc.
have circular reference to itself.

But other lines like
8,CHX,Chicago Stock Exchange,0,NONE,
12,BX,Boston Stock Exchange,0,NONE,
etc.
have the mark 'NONE ' which clearly states it is the top-most section.


I feel it is better to use one convention for all cases (I'd prefer with 'NONE' marker)...

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Oct 12, 2015 05:17 AM          Msg. 4 of 7
For now, I am afraid that is correct. But, the format of the 5.2 return will be the same as what I have sent you, so you should not have to reinvent much, but the data source providing you the list.

Exchanges that have a group, and are the parent of that group, will show themselves as the parent.

Exchanges that have no group members, will just show NONE as the parent.

I will ask about this though and see if the server team wants to make these singletons more consistent with the others before release.

Tim

kytmanov
-Interested User-
Posts: 13
Joined: Jun 16, 2015


Posted: Oct 13, 2015 12:09 PM          Msg. 5 of 7
I'm affraid I did not make my situation clear.

I have hardcoded this market tree, but this didn't affect the problem.
For ticker MSFT I still receive trades from EDGA, EDGX, BATS, NYSE_ARCA, BX, etc.

Despite these markets were not marked as 'NASDAQ sections'.

So I must throw away all market structure and use only security types instead of 'markets' or to add even more heuristics to merge all trades of MSFT to a single data stream.

DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006


Posted: Oct 13, 2015 12:46 PM          Msg. 6 of 7
Those are market centers that you are looking at, if you look at Listed Market, that might be what you are looking for?

Tim

kytmanov
-Interested User-
Posts: 13
Joined: Jun 16, 2015


Posted: Oct 22, 2015 06:26 AM          Msg. 7 of 7
Just to make things much more weird, I'd like to mention futures @ES# and @ESZ15 from section CMEMINI (ID:43) of exchange CME (ID:34).

After subscribing to these tickets with commands 't@ES#' and 't@ESZ15' I'm receiving the following Update Messages:
Q,@ES#,22,43,1993.00,1,05:55:58.765,1992.75,62,1993.00,55,1991.50,1996.50,1989.25,1994.00,-1,-0.000501505,104279,7538601,,2883659,10/14/2015,05:56:16.958,05:56:16.958,Cbasohlc,01,

and

Q,@ESZ15,22,43,1993.25,1,06:03:22.936,1993.00,79,1993.25,101,1991.50,1996.50,1989.25,1994.00,-0.75,-0.000376128,105215,7545235,,2883659,10/14/2015,06:03:22.207,06:03:21.956,C,01,

field #3 is ExchangeID (it is 22:CANTOR )
field #4 is MarketID ( it is 43:CMEMINI )

So I receive updates for futures @ES# and @ESZ15 of market CMEMINI of exchange CANTOR! This makes me a little bit crazy.

Is it possible this is some kind of a bug in data translation?..

I have verified the situation with your utility IQMarketDepth.exe.
 

 

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