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)




"You are much better than lawyers or the phone company because you answer the phone when I call! I just love your customer service." - Comment from Isreal
"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
"I am a hedge fund manager here. It’s funny, I have a Bloomberg terminal and a Bridge feed, but I still like having my DTN feed!" - Comment from Feras
"After all the anxiety I had with my previous data provider it is a relief not to have to worry about data speed and integrity." - Comment from Eamonn
"I ran your IQFeed DDE vs. my broker vs. a level II window for some slow-moving options. I would see the level II quote change, then your feed update instantaneously. My broker's DDE, however, would take as much as 30 seconds to update. I am not chasing milliseconds, but half a minute is unacceptable." - Comment from Rob
"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
"Awesome response, as usual. It is a sincere and refreshing pleasure to do business with DTN, compared to your competition." - Comment from Ryan
"If you are serious about your trading I would not rely on IB data for serious daytrading. Took me a while to justify the cost of IQ Feed and in the end, it's just a 2 point stop on ES. Better safe than sorry" - Comment from Public Forum
"And by the way, have to say this. I love the IQFeed software. It's rock solid and it has a really nice API." - Comment from Thomas via RT Chat
"You have an excellent product !!!!!!" - Comment from Arely
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »IQFeed Developer »IQFeed Developer Support »Bug in Level2 BidTime/AskTime?
Author Topic: Bug in Level2 BidTime/AskTime? (4 messages, Page 1 of 1)

altmany
-Interested User-
Posts: 48
Joined: Jul 30, 2018

IQML - IQFeed-MATLAB connector


Posted: May 2, 2019 04:15 AM          Msg. 1 of 4
when I ran a level 2 request for MSFT outside regular trading hours, I got the following data row among others:

<= 20190502 04:18:38.700 (Level2) Z,MSFT,BATS,0.,129.39,0,600,18:29:49.000347,2019-05-01,52,99:99:99.000000,F,T,T

According to the documentation (http://www.iqfeed.net/dev/api/docs/Level2UpdateSummaryMessage.cfm), this row translates as follows:

      Symbol: MSFT
MMID: BATS
Bid: 0
Ask: 129.39
BidSize: 0
AskSize: 600
BidTime: 18:29:49.000347
Date: 2019-05-01
Condition: 52 (regular)
AskTime: 99:99:99.000000
BidInfoValid: False
AskInfoValid: True
EndOfMessage: True

The reported BidTime and AskTime make no sense - it is the Bid which is invalid (and should have the invalid time of 99:99:99), and the Ask which is valid (and should have the valid time of 18:29:49). Is this a bug in IQFeed's code?

If I'm correct, perhaps it would be simpler to fix the documentation than to fix the code - switching between BidTime/AskTime in the documentation will seem a bit awkward (because Bid is often reported before Ask), but at least it would be consistent with your current code and would not require you to do any code fixes.

Please advise.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

altmany
-Interested User-
Posts: 48
Joined: Jul 30, 2018

IQML - IQFeed-MATLAB connector


Posted: May 14, 2019 10:28 AM          Msg. 2 of 4
Hi guys - kindly comment on this...

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

DTN_Steve_S
-DTN Guru-
Posts: 2086
Joined: Nov 21, 2005


Posted: May 15, 2019 05:41 AM          Msg. 3 of 4
My apologies for the delayed response here.
You've decoded the message correctly.
It would appear that this is a bug in the feed but I don't know how or why it occurred at this time. If you have more examples, it will help in tracking this down, but I don't believe this is a case of simply applying the valid time to the wrong field.

altmany
-Interested User-
Posts: 48
Joined: Jul 30, 2018

IQML - IQFeed-MATLAB connector


Posted: May 15, 2019 06:08 AM          Msg. 4 of 4
Thanks Steve - here is another example that I have just seen, this time for the FB symbol:

<= 20190515 07:01:01.237 (Level2) Z,FB,CHXE,0.,180.71,0,100,07:00:17.012566,2019-05-15,52,99:99:99.000000,F,T,T

In this new example, the Bid is invalid and the Ask is valid, yet the timestamps appear switched.

As far as I could tell, this problem is evident whenever one Bid/Ask is valid and the other is not. But it is quite possible that the problem of switched BidTime<->AskTime is consistent even when both Bid and Ask are valid, and nobody has reported it so far because it would be nearly impossible to detect except in the specific case of just one of them being invalid.


Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

Edited by altmany on May 15, 2019 at 06:08 AM
 

 

Time: Wed June 3, 2020 12:48 AM CFBB v1.2.0 15 ms.
© AderSoftware 2002-2003