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)




"I just wanted to say how happy I am with your service. I was able to download the API docs last week and I was able to replicate Interactive Brokers historical bar queries and realtime bar queries over the weekend. That was about one of the fastest integrations that I've ever done and it works perfectly!!!!" - Comment from Jason via Email
"Awesome response, as usual. It is a sincere and refreshing pleasure to do business with DTN, compared to your competition." - Comment from Ryan
"As a past ******* customer(and not a happy one), IQ Feed by DTN is a much better and cheaper product with great customer support. I have had no problems at all since switching over." - Comment from Public Forum
"I'm satisfied with IQFeed. It's the most reliable and fastest quote feed I have ever used. Although I'm a resident in China, it's still very fast!" - Comment from Xiaofei
"I just wanted to tell you what a fine job you have been doing. While *******, from what I hear, has been down and out, off and on, IQ feed has held like a champ this week." - Comment from Shirin
"It’s so nice to be working with real professionals!" - Comment from Len
"Boy, probably spent a thousand hours trying to get ******* API to work right. And now two hours to have something running with IQFeed. Hmmm, guess I was pretty stupid to fight rather than switch all this time. And have gotten more customer service from you guys already than total from them… in five years." - Comment from Jim
"I noticed that ******* quotes locked up shortly after the interest rate announcement yesterday while yours stayed stable." - Comment from Ron in Utah
"Everything is working great with the API. I love it." - Comment from Calvin
"Everything is working amazing now. I'm already impressed with the true-tick feed of IQFeed and it's ability to support my 480 symbol layout." - Comment from Tyler via Email
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: 1238
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: 1238
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: 1238
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: 1238
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 October 23, 2018 4:05 AM CFBB v1.2.0 16 ms.
© AderSoftware 2002-2003