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» Basis for Last Trade - Qualified Trade vs Other?
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| Author | Topic: Basis for Last Trade - Qualified Trade vs Other? (6 messages, Page 1 of 1) |
 jayflatland -Interested User- Posts: 13 Joined: Jun 20, 2019 |
Posted: Aug 3, 2019 06:35 AM
Msg. 1 of 6
With respect to the "Basis for Last Trade" field in tick data, what is the difference between a qualified trade (C or E) and not qualified (O)? It appears "O" is not included in interval data, but is in tick data. For CRD# at ICEEC, this happens to be a quite large amount of volume, around 75% of the volume is marked "O" and thus excluded from intervals.
Jay Jay |
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DTN_Stephen -DTN Guru- Posts: 453 Joined: Aug 22, 2014 
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Posted: Aug 5, 2019 08:26 AM
Msg. 2 of 6
This is last qualifying vs. non-last qualifying trades (implied). These implied trades are mostly from the spread market and are deemed non-last qualifying per the exchange. These implied are also excluded from setting highs or lows, only implied volume is included in the day’s total.
Stephen Shockey Senior Customer Support Representative and Product Support Specialist DTN 800-779-7299 stephen.shockey@dtn.com |
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jayflatland -Interested User- Posts: 13 Joined: Jun 20, 2019 |
Posted: Aug 5, 2019 11:02 AM
Msg. 3 of 6
Ah, interesting, thanks! Is the non-qual from spread volume ICE specific, or more general? Is there a way to map this onto ICE market data documentation?
Thanks again, that's super helpful and interesting to know! Jay |
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DTN_Stephen -DTN Guru- Posts: 453 Joined: Aug 22, 2014
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Posted: Aug 5, 2019 02:13 PM
Msg. 4 of 6
The non-qualified volume is more general, however ICE and some other European exchanges currently send implied trades. For example CME group used to send implied trades, but this could change in the future.
In regards to your mapping question, are you speaking about the IQ API? Stephen Shockey Senior Customer Support Representative and Product Support Specialist DTN 800-779-7299 stephen.shockey@dtn.com |
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jayflatland -Interested User- Posts: 13 Joined: Jun 20, 2019 |
Posted: Aug 5, 2019 02:21 PM
Msg. 5 of 6
Interesting, thanks again. By mapping to exchange, I mean can I go to the ICE market data spec somewhere and see a message flag that says "Implied trade"? Just wondering if it's possible for me to try to walk through exchange docs to figure these things out, or do I just need to post questions here?
Jay |
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DTN_Stephen -DTN Guru- Posts: 453 Joined: Aug 22, 2014
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Posted: Aug 5, 2019 02:44 PM
Msg. 6 of 6
IQ Feed sends trade conditions in our tick data labeled " Implied Trade". You can see this in our Time and Sales Application after turning ENABLE EXTENDED TRADES in the settings. It is also passed through our API information.
If you have an API License with us you can locate the information at the following link within our API Documents. http://www.iqfeed.net/dev/index.cfm?login=login Stephen Shockey Senior Customer Support Representative and Product Support Specialist DTN 800-779-7299 stephen.shockey@dtn.com File Attached: Implied.png (downloaded 1018 times) |
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