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»Forums Index »IQFeed Developer »IQFeed Developer Support »C Today.
Author Topic: C Today. (11 messages, Page 1 of 1)

Craig
-DTN Guru-
Posts: 258
Joined: Apr 16, 2010


Posted: Apr 13, 2020 04:29 PM          Msg. 1 of 11
I don't seem to have received any trades until about 9:45 today.
Oh course, the back-fill looks completely different from what I recorded live.
Was there a problem today?

Craig
-DTN Guru-
Posts: 258
Joined: Apr 16, 2010


Posted: Apr 15, 2020 01:43 PM          Msg. 2 of 11
Is there any point in posting here anymore?

DTN_Gary_Stephen
-Interested User-
Posts: 73
Joined: Jul 3, 2019


Posted: Apr 15, 2020 02:25 PM          Msg. 3 of 11
Craig,

I apologize for not responding to your message until now. That's my fault.

I'm not aware of any data or system issues that happened on Monday morning. If you can provide some examples of the mismatched data, I can investigate what happened. If you wish, feel free to send it to me directly at the developer support email address.

Sincerely,
Gary Stephen
DTN IQFeed API Support


Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Edited by DTN_Steve_S on Apr 15, 2020 at 05:00 PM

Craig
-DTN Guru-
Posts: 258
Joined: Apr 16, 2010


Posted: Apr 15, 2020 03:16 PM          Msg. 4 of 11
Here is a plot of the data I received. As you can see I was getting bid / ask updates, but no trades.
Also the bid / ask was nowhere near the market. I had I few others on the same day similar to this, though I as watching 100s of symbols and 99% of them were fine. I can't rule out error on my end, but it seems odd that I was able to process other symbols with no trouble.

If you need any further details, please ask.
Edited by Craig on Apr 15, 2020 at 03:17 PM



File Attached: C.png (downloaded 67 times)

DTN_Gary_Stephen
-Interested User-
Posts: 73
Joined: Jul 3, 2019


Posted: Apr 15, 2020 04:18 PM          Msg. 5 of 11
If I'm reading this correctly: Blue is the ask, Red is the bid, and Green is that last, which only starts appearing at 9:45. And C, Citigroup, is the symbol. That chart does vary significantly from the past data that is visible in Time and Sales, which looks pretty normal. There are ticks before 9:45, and the Bid/Ask vary normally. You retrieved this data as it came in via a watch (wC) command, correct? Did you customize the fields at all with an S,SELECT UPDATE FIELDS command?

I'll ask our data team if there were any corrections made to that symbol's data, or problems that morning.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Craig
-DTN Guru-
Posts: 258
Joined: Apr 16, 2010


Posted: Apr 15, 2020 05:00 PM          Msg. 6 of 11
In order:

1. Blue = Ask, Red = Bid, Green = Last.
2. C = Citigroup.
3. Retrieved data attached.
4. Yes the application sends a 'wC'.
5. Select command = S,SELECT UPDATE FIELDS,Symbol,Last,Bid,Ask,Most Recent Trade Size,Message Contents,Most Recent Trade Market Center,Bid Size,Ask Size



File Attached: C2.png (downloaded 58 times)

DTN_Gary_Stephen
-Interested User-
Posts: 73
Joined: Jul 3, 2019


Posted: Apr 16, 2020 08:34 AM          Msg. 7 of 11
Craig,

I got a reply from our data team. First, there wasn't any problem with the feed that morning, nor any corrections made to the symbol C. It appears your being data was delayed. The times on your chart appear to be 15 minutes behind what our historical data shows for that morning:

Time Last
9:20:00 $47.98
9:25:00 $47.90
9:30:00 $47.51 (9:45 on your chart)
9:35:00 $46.59 (9:50 on your chart)
9:40:00 $46.27 (9:55 on your chart)
9:45:00 $45.76 (10:00 on your chart)
9:50:00 $45.47
9:55:00 $46.05

The same is true if we look at the Bid and Ask:

Time Bid Ask
9:15:00 $47.43 $47.84 (9:30 on your chart)
9:20:00 $47.62 $47.99 (9:35 on your chart)
9:25:00 $47.71 $47.96 (9:40 on your chart)
9:30:00 $47.50 $47.65 (9:45 on your chart)

It's normal for the Bid/Ask gap to be wider before the market actually opens, because these are all non-regular trades, many of which are for small lots.

So why was this data delayed? First, C is an NYSE symbol. Are you subscribed to live data from the NYSE exchange? If you're not sure, double-click the blue IQConnect logo, and then the "Authorizations" dropdown. "NYSE" will be present if you are. (Keep in mind that if you have more than one IQFeed login, each login can have its own subscriptions.)

If you are subscribed to NYSE, were any other symbols delayed in the same way? There are some known causes data feed can be delayed, but generally they would affect all symbols, not just one. And, the delays wouldn't be quite as regular as this.

Let me know the answers to these two and I can investigate further as needed.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Craig
-DTN Guru-
Posts: 258
Joined: Apr 16, 2010


Posted: Apr 16, 2020 01:58 PM          Msg. 8 of 11
I checked my subscriptions, I def. have the NYSE subscription.
I'm watching 100s of NYSE with no problems, except on this day.
The problem occurred in a handful of symbols on the day, I can track down the others if this helps?

DTN_Gary_Stephen
-Interested User-
Posts: 73
Joined: Jul 3, 2019


Posted: Apr 16, 2020 03:24 PM          Msg. 9 of 11
Yes, I would be curious to know what other symbols were affected, to see if there's any pattern to it all.


Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Edited by DTN_Gary_Stephen on Apr 17, 2020 at 07:01 AM

Craig
-DTN Guru-
Posts: 258
Joined: Apr 16, 2010


Posted: Apr 16, 2020 03:54 PM          Msg. 10 of 11
On the same morning ED, FOX, O.
All a little frighting actually...I'm obviously going to have to add yet more checking.

DTN_Gary_Stephen
-Interested User-
Posts: 73
Joined: Jul 3, 2019


Posted: Apr 20, 2020 12:22 PM          Msg. 11 of 11
Unfortunately, there's not really a way for us to know what happened after the fact. However, to help track down the problem, there are a few fields you could add to your request going forward, which will be helpful if it happens again:

One field is called Delay. This tells you if the symbol's data is being delayed, for reasons of not being subscribed to the realtime data. This should always be 0 for your symbols, because you appear to have all the necessary subscriptions. If it isn't, let us know right away.

You can also add the Most Recent Trade time field as well along with the Bid/Ask Time fields. This information will help us determine the exact nature of the delay problem.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist
 

 

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