nsolot
-DTN Guru-
Posts: 273
Joined: Sep 4, 2004
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Posted: Sep 12, 2006 10:04 AM
Msg. 1 of 11
Three times this morning (twice on the bid and once on the ask) the quotes have been "stuck". I'm pretty sure the underlying problem is with an exchnage (AMEX), but it sure would be slick if IQ or the underlying provider could build in logic to provide a "more accurate quote"
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dtnpaul
-Interested User-
Posts: 6
Joined: Jul 31, 2006
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Posted: Sep 12, 2006 10:12 AM
Msg. 2 of 11
Hello sir
When the bid and ask were "stuck" this morning, what did you do to resolve it? I have been watching the bid/ask change for about 5 minutes since your post and haven't seen the problem occur again. If we can determine how you solved the problem, we can possibly determine the initial cause.
Thank you
Paul
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nsolot
-DTN Guru-
Posts: 273
Joined: Sep 4, 2004
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Posted: Sep 12, 2006 10:16 AM
Msg. 3 of 11
I didn't change anything to resolve the problem. Currently I'm seeing 39.34x39.29 (ask is stuck). Interactive Brokers "Smart Quote" is showing 39.34x39.35
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nsolot
-DTN Guru-
Posts: 273
Joined: Sep 4, 2004
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Posted: Sep 12, 2006 10:17 AM
Msg. 4 of 11
BTW, the "stuck" ask at 39.29 has been there about 15 minutes.
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DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006
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Posted: Sep 12, 2006 10:23 AM
Msg. 5 of 11
I have the market data team checking into the issue currently and initial reports show you are correct and that we are not receiving the data from the exchange to update these fields. If you could send me your user id in a private message I can place a customer suggestion in our system for your above mentioned idea. Edited by DTN_Tim Walter on Sep 12, 2006 at 10:23 AM
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DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore
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Posted: Sep 12, 2006 10:25 AM
Msg. 6 of 11
looks like there is an AMEX quote that has been stuck with 100000 shares for 50+ minutes (since 10:32:22) . It is no longer the best Ask, so now the BBO is going to not look "stuck". If the best ask heads back above 39.29 it may effect it again. We will have to see what is going on with that quote as it obviously is stale.
Jay Froscheiser DTN - Trading Markets
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DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore
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Posted: Sep 12, 2006 10:28 AM
Msg. 7 of 11
I see that AMEX has a screwy bid also with 100000 shares that has been stuck for the same amount of time. It is at 39.25 so it too may present an issue if the bid reaches that level. Hopefully our market data group will be able to get in touch with the exchange/MMID to figure out what is going on.
Jay Froscheiser DTN - Trading Markets
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nsolot
-DTN Guru-
Posts: 273
Joined: Sep 4, 2004
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Posted: Sep 12, 2006 10:40 AM
Msg. 8 of 11
Yup, that sounds right to me, and just as you forecast the mkt moved back over the stuck ask.
What I suggest, is when the bid/ask gets crossed up, to insert some logic to look at other quote sources. Regional bid/ask from CINN, ARCX and NMS are accurate. AMEX is messing up the Level 1 quotes.
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nsolot
-DTN Guru-
Posts: 273
Joined: Sep 4, 2004
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Posted: Oct 30, 2006 10:05 AM
Msg. 9 of 11
Is happening again. I've got 42.38x42.28 on QQQQ.
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DTN_Tim Walter
-DTN Guru-
Posts: 1238
Joined: Apr 25, 2006
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Posted: Oct 30, 2006 10:24 AM
Msg. 10 of 11
Look ok now? Showing 42.46/42.47 last I looked and moving
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nsolot
-DTN Guru-
Posts: 273
Joined: Sep 4, 2004
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Posted: Oct 30, 2006 10:28 AM
Msg. 11 of 11
Yup, OK now, but it was crossed up for around 14 minutes. The other feed I use did not exhibit the same during this time span.
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