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»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: 54
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: 54
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: 54
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
 

 

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