Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"Thanks for following up with me. You guys do a great job in tech support." - Comment from Phelps
"My broker in Davenport suggested I give you a try as he uses your service and says its the best." - Comment from Bill via RT Chat
"This is an excellent value, the system is generous (allowing for 500 stocks) and stable (and really is tick-by-tick), and the support is fantastic." - Comment from Shirin via Email
"You have an excellent product !!!!!!" - Comment from Arely
"I have to tell you though that using the IQFeed API is about the easiest and cleanest I have seen for some time." - Comment from Jim
"IQ feed is brilliant. The support is mind-bending. What service!" - Comment from Public Forum Post
"I started a trial a few weeks back before the market went wild. DTN.IQ didn’t miss anything and beat my other provider. I decided to stay with you because of the great service through all the volatility." - Comment from Mike
"This beats the pants off CQG, I am definitely switching to the ProphetX 3.0!" - Comment from Stephen
"The people at Nirvana have very nice things to say about your company and I can see why! Price and service is a potent combination." - Comment from Ed
"Just a thank you for the very helpful and prompt assistance and services. You provided me with noticeably superior service in my setup compared to a couple of other options I had looked at." - Comment from John
Home  Search  Register  Login  Blogs Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTN_IQFeed on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »Product Support »Data and Content Support »Trade types
Author Topic: Trade types (9 messages, Page 1 of 1)

damarcant
-Interested User-
Posts: 9
Joined: Oct 4, 2017


Posted: Oct 16, 2017 06:29 AM          Msg. 1 of 9
Hello,

I can see that when I request real time trades, there is a field named "Message Contents" that can have different values. Some of these values are the following:

C - Last Qualified Trade.
E - Extended Trade = Form T trade.
O - Other Trade = Any trade not accounted for by C or E.

I understand C and E values, but I was wondering why some trades are classified as O. Is there any reason for this? When is a trade considered as O?

Thank you

DTN_Tim Walter
-DTN Guru-
Posts: 1204
Joined: Apr 25, 2006


Posted: Oct 17, 2017 04:01 AM          Msg. 2 of 9
Good morning,

The exchange has many trade conditions, many they mark as non-last qualifying. The O designation is the bucket we use for those.

A common example would be an oddlot trade. These are trades of less than 100 shares that, generally, do not show up in most trading apps. The reason being is that it helps to prevent people from manipulating the current market value by buying one share at an unrealistic price.

Each exchange is different in what their requirements are for what is last-qualifying and what is not. But, the C, E, and O designate is how we try to simplify all of that for you, so that you don't have to parse out the trade conditions yourself.

Tim

jacknsa
-Interested User-
Posts: 10
Joined: Nov 1, 2017


Posted: Nov 1, 2017 07:55 AM          Msg. 3 of 9
In addition to Trade Condition the documentation describes the field "Most Recent Trade Conditions" as a string of 2 digit hex numbers. These values are "provided by the exchange". In order to determine the cause of an "O" designation I assume we need to parse the Trade Condition values. Do you have (or know where I can find) descriptions of these hex values (for NYSE and NASD say)? Examples of the kinds of values I'm seeing are: 873D17 and 40010101

Thanks.

DTN_Tim Walter
-DTN Guru-
Posts: 1204
Joined: Apr 25, 2006


Posted: Nov 1, 2017 08:14 AM          Msg. 4 of 9
You first need to convert the hex to decimal, then compare that value to the conditions that are returned by the trades condition lookup detailed on this page. I believe this alone may be enough. But, if not I have included links where the exchanges have more on how they send these values.

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

http://www.utpplan.com/DOC/utdfspecification.pdf

https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/cts_output_spec.pdf

jacknsa
-Interested User-
Posts: 10
Joined: Nov 1, 2017


Posted: Nov 1, 2017 08:38 AM          Msg. 5 of 9
Sorry if I'm missing something but I can't seem to find the page you're referring to as: "trades condition lookup" . The first link seems to be the symbol lookup description.

jacknsa
-Interested User-
Posts: 10
Joined: Nov 1, 2017


Posted: Nov 1, 2017 08:41 AM          Msg. 6 of 9
Is this what you're referring to?

"Request a list of Trade Conditions from the feed."

Edited by DTN_Tim Walter on Nov 1, 2017 at 08:51 AM

DTN_Tim Walter
-DTN Guru-
Posts: 1204
Joined: Apr 25, 2006


Posted: Nov 1, 2017 08:50 AM          Msg. 7 of 9
Yes, but the API is not open sourced, so I don't post specifics generally. Via email, is probably the best way to go to communicate on issues when you need specifics.

Tim

jenzi
-Interested User-
Posts: 1
Joined: May 9, 2018


Posted: May 9, 2018 02:04 PM          Msg. 8 of 9
Hello,

regarding the 'message contents'. There are messages containing a 'v - volume update'. I see them sometimes in Future Instruments. Can you explain, how there can be a change in volume without a trade being logged? From where does this volume change come from? Since there is no change in 'number of trades today' or 'last' or anything else, can it perhaps be ignored or is it of any importance?

Thanks,

JenZi

DTN_Tim Walter
-DTN Guru-
Posts: 1204
Joined: Apr 25, 2006


Posted: May 9, 2018 02:09 PM          Msg. 9 of 9
The exchange will occasionally send a volume update that will include any trades that are not in the regular feed. It will also reference any changes to the previously totaled volume due to corrections they may have sent.

With futures specifically, sometimes the unseen volume comes from spread trades and things like that. But, I do think these are often ignored in peoples's feed handling.

Tim
 

 

Time: Tue August 21, 2018 1:41 AM CFBB v1.2.0 16 ms.
© AderSoftware 2002-2003