Joined: Jul 20, 2012
Posted: May 2, 2018 10:54 PM
Msg. 1 of 3
Some level2 updates are being transmitted with missing digits, resulting in non-tradable prices for US Treasury futures (cme-globex). Here is a snapshot of data 4/30/2018 data with times being EST (iqfeed original binary data)
119.4062 is not a tradable price, 119.40625 is (the 5th decimal digit is missing in the above update)
I am attaching a file from 4/30/2018 with the following structure:
cme ticker, timestamp in CST (hh:mm:ss.fffffff-to a tenth of a microsecond), bid,ask, depth (where depth is zero based, i.e. 2 means MD03 update in iqfeed terms). I scanned data from 1/1/2018-4/30/2018 and this happens daily. I can provide a full list of instances with times similar to the attached file.
File Attached: BinaryToDeltaBinary2TranslationLog_30042018.txt (downloaded 1063 times)