Some level2 updates are being transmitted with missing digits, resulting in non-tradable prices for US Treasury futures (cme-globex). Here is a snapshot of data 4/30/2018 data with times being EST (iqfeed original binary data)
Z,@TYM18,MD02,119.4062,119.4531,2728,2948,02:57:47.063273,2018-04-30,52,02:58:05.033101,T,T,T,
Z,@TYM18,MD10,119.2812,119.5781,2686,2938,02:56:56.026410,2018-04-30,52,02:55:53.000703,T,T,T,
Z,@TYM18,MD07,119.3281,119.5312,3073,3010,02:55:53.000854,2018-04-30,52,02:55:53.000668,T,T,T,
Z,@TYM18,MD04,119.375,119.4844,4011,3183,02:58:02.013251,2018-04-30,52,02:55:53.000627,T,T,T,
Z,@TYM18,MD09,119.2969,119.5625,3105,4493,02:55:55.026573,2018-04-30,52,02:55:53.000691,T,T,T,
Z,@TYM18,MD01,119.4219,119.4375,1720,353,02:58:03.012086,2018-04-30,52,02:58:07.060752,T,T,T,
Z,@TYM18,MD06,119.3438,119.5156,2837,3079,02:57:19.030662,2018-04-30,52,02:55:53.000648,T,T,T,

119.4062 is not a tradable price, 119.40625 is (the 5th decimal digit is missing in the above update)
I am attaching a file from 4/30/2018 with the following structure:
cme ticker, timestamp in CST (hh:mm:ss.fffffff-to a tenth of a microsecond), bid,ask, depth (where depth is zero based, i.e. 2 means MD03 update in iqfeed terms). I scanned data from 1/1/2018-4/30/2018 and this happens daily. I can provide a full list of instances with times similar to the attached file.

Is anyone looking into this? Looking in the past (year 2015 for example), this problem used to affect more securities but now seems to only linger still in treasury futures.

Good morning,

Sorry, yes we are looking into this, but I have not found the answer yet. We will find out where that extra digit is being truncated and get it written up for resolution.


Tim