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Viewing User Profile for: jayflatland
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Joined: Jun 20, 2019 03:09 PM
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jayflatland has contributed to 10 posts out of 19218 total posts (0.05%) in 66 days (0.15 posts per day).

20 Most recent posts:

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


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


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

Data and Content Support » Is Historical Level 1 Tick Data Available? Jun 21, 2019 01:54 PM (Total replies: 4)

Okay thanks, just wanted to be sure I wasn't just missing the option somewhere. Quotes will be nice when it comes!

Thank you!
Jay

Jay

Data and Content Support » Is Historical Level 1 Tick Data Available? Jun 21, 2019 01:43 PM (Total replies: 4)

Does that work for historical data? What you sent seems to be just for streaming real-time.

Jay

Jay

Data and Content Support » Is Historical Level 1 Tick Data Available? Jun 21, 2019 11:35 AM (Total replies: 4)

For historical tick data, I see just trades, with bid/ask included. Is level 1 data available? By that I mean bid size/ask size, and ticks whenever they change?

Jay
Edited by jayflatland on Jun 21, 2019 at 11:36 AM

Data and Content Support » Historical Tick Data Beyond 8 Days Jun 21, 2019 11:27 AM (Total replies: 2)

Oh I see...I just have to pull the data outside of regular market hours. Got it. Thanks!

Jay

Data and Content Support » Historical Tick Data Beyond 8 Days Jun 21, 2019 09:27 AM (Total replies: 2)

I'm only able to get 8 days back of tick data. I believe there should be 180?

HTT,SPY,20190612 100000,20190612 101000,,,,1,,
E,!NO_DATA!,,
!ENDMSG!,

One day later produces data as expected:

HTT,SPY,20190613 100000,20190613 101000,,,,1,,
2019-06-13 10:09:57.563401,289.0100,100,8020385,289.0000,289.0100,808545101,C,26,01,
2019-06-13 10:09:57.563410,289.0100,100,8020485,289.0000,289.0100,808597071,C,18,01,
2019-06-13 10:09:57.563511,289.0100,200,8020685,289.0000,289.0100,809842247,C,11,01,
2019-06-13 10:09:57.563546,289.0100,100,8020785,289.0000,289.0100,809842248,C,11,01,
2019-06-13 10:09:57.736460,289.0100,200,8020985,289.0100,289.0200,959797303,C,19,01,
2019-06-13 10:09:58.003046,289.0200,200,8021185,289.0100,289.0200,808597072,C,18,3D,
2019-06-13 10:09:58.532882,289.0150,176,8021361,289.0100,289.0200,959852609,C,19,01,
2019-06-13 10:09:58.581828,289.0197,500,8021861,289.0100,289.0200,842151993,C,24,01,
2019-06-13 10:09:58.631686,289.0150,58,8021919,289.0100,289.0200,878195037,O,5,87,
2019-06-13 10:09:58.668081,289.0137,7,8021926,289.0100,289.0200,959852627,O,19,87,
2019-06-13 10:09:58.749871,289.0150,400,8022326,289.0100,289.0200,959852853,C,19,01,
2019-06-13 10:09:58.794137,289.0110,50,8022376,289.0100,289.0200,808481883,O,28,87,
2019-06-13 10:09:59.053357,289.0100,100,8022476,289.0100,289.0200,809842250,C,11,01,

Jay

Data and Content Support » Timestamp Resolution for Tick Data Jun 20, 2019 03:39 PM (Total replies: 2)

BINGO! My mistake was I just connected and sent my command. I needed to send the "S,SET PROTOCOL,6.0" command immediately after connection. Works now!

Thanks!
Jay

Jay

Data and Content Support » Timestamp Resolution for Tick Data Jun 20, 2019 03:11 PM (Total replies: 2)

Is it possible to get fractions of a second timestamps for tick data? I do this:

HTT,@NQU19,20190620 000000,20190620 170500,,,,1,,

And I see:

2019-06-20 16:05:38,7766.50,1,492761,7766.50,7766.75,232575516,0,0,C,
2019-06-20 16:05:38,7766.50,1,492762,7766.50,7766.75,232575518,0,0,C,
2019-06-20 16:05:38,7766.50,1,492763,7766.50,7766.75,232575518,0,0,C,
2019-06-20 16:05:38,7766.50,1,492764,7766.50,7766.75,232575521,0,0,C,
2019-06-20 16:05:38,7766.50,1,492765,7766.50,7766.75,232575522,0,0,C,
2019-06-20 16:05:38,7766.50,3,492768,7766.25,7766.50,232575523,0,0,C,
2019-06-20 16:05:38,7766.50,1,492769,7766.25,7766.50,232575523,0,0,C,
2019-06-20 16:05:38,7766.50,1,492770,7766.25,7766.50,232575523,0,0,C,

I was under the impression timestamps went down to microseconds...

Jay


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