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» EUREX feed corrupt
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| Author | Topic: EUREX feed corrupt (6 messages, Page 1 of 1) |
 AHA -Interested User- Posts: 37 Joined: Jan 31, 2012 |
Posted: Nov 19, 2015 04:17 PM
Msg. 1 of 6
Starting today, lasting the whole day got screwed EUREX quotes for all products.
Please check timestamp... applies for bid/ask/last Mixed timestamp order. E.g. getting quote timestamps in this order: 1 08:00:11.xxx 2 08:00:15.xxx 3 08:00:12.xxx Check e.g. symbol XGZ15. Also a lot of missing quotes and trades too, today the feed was totally unrealiable. Wondering if a) I'm the only customer noticing this b) there is any monitoring on your side to check delivery of screwed quotes. |
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AHA -Interested User- Posts: 37 Joined: Jan 31, 2012 |
Posted: Nov 19, 2015 05:49 PM
Msg. 2 of 6
See attached a snapshot comparision between IB feed and your feed.
Looks like you edit EUREX timestamp- Have a look at IB feed - 09:02:22 - Trade at 11048 with volume 4. Your feed trades at 09:02:25 Why can't you just pass through the original EUREX data instead of obviously editing and somehow corrupting the data? File Attached: IB_vs_IQF.jpg (downloaded 1717 times) |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004 
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Nov 19, 2015 05:58 PM
Msg. 3 of 6
Our Engineers are looking into this. We have identified an issue on the servers that could be causing this. More to follow...
Jay Froscheiser Vice President, Active Trader Products |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Nov 19, 2015 09:40 PM
Msg. 4 of 6
We have corrected the issue. It stemmed from changes that were made in our ticker plant to support the rollout of microsecond timestamps which will be coming to IQFeed in a future release. We will be reviewing this issue with our QA and development teams to understand how the issue wasn't identified prior to release and do everything we can to keep this type of issue from happening again.
Jay Froscheiser Vice President, Active Trader Products |
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AHA -Interested User- Posts: 37 Joined: Jan 31, 2012 |
Posted: Nov 20, 2015 12:54 PM
Msg. 5 of 6
Now getting one duplicate. See pic.
Two trades at 11108,5 with volume 2. Can tell it's a duplicate because the timestamp is in mixed order again. Seems like this happened only once during the whole trading day, but you may want to have a look into it. File Attached: IB_vs_IQF_2.jpg (downloaded 1625 times) |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Nov 20, 2015 01:42 PM
Msg. 6 of 6
We will look into this as we believed the problem had been resolved.
Jay Froscheiser Vice President, Active Trader Products |
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