Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"Interactive Brokers tick data was inconsistent, so I have switched to using DTN exclusively. It is great to no longer have to worry about my datafeed all day long." - Comment from Philippe
"Everything is working great with the API. I love it." - Comment from Calvin
"Its working FABULOUSLY for me!! Holy cow...there has been so much I've been missing lately, and with this feed and Linnsoft software...I'm in the game now." - Comment from Chris R.
"Version 4.0.0.2 has been working well for me and I appreciate that it is now a much tighter client to work with. I feel I can go to press with my own application and rely on a stable platform" - Comment from David in IA.
"Awesome response, as usual. It is a sincere and refreshing pleasure to do business with DTN, compared to your competition." - Comment from Ryan
"I've been using Neoticker RT with IQFeed for two months, and I'm very happy with both of the products (I've had IQFeed for two years with very few complaints). The service from both companies is exceptional." - Comment from Public Forum
"You have an excellent product !!!!!!" - Comment from Arely
"If someone needs the best quality data and backfill beyond what their broker provides at a rate that is the best in the industry, I highly recommend IQFeed." - Comment from Josh via Public Forum
"Thank you so much - awesome feed, awesome service!" - Comment from Greg via Email
"I was on the phone with a friend who uses CQG and right after the Fed announcement, CQG was as much as 30 seconds behind DTN.IQ. Some quotes were off by as much as 15-18 cents. Your feed never missed a beat." - Comment from Roger
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »IQFeed Developer »IQFeed Developer Support »Bug in Level2 BidTime/AskTime?
Author Topic: Bug in Level2 BidTime/AskTime? (4 messages, Page 1 of 1)

altmany
-Interested User-
Posts: 70
Joined: Jul 30, 2018

IQML - IQFeed-MATLAB connector


Posted: May 2, 2019 04:15 AM          Msg. 1 of 4
when I ran a level 2 request for MSFT outside regular trading hours, I got the following data row among others:

<= 20190502 04:18:38.700 (Level2) Z,MSFT,BATS,0.,129.39,0,600,18:29:49.000347,2019-05-01,52,99:99:99.000000,F,T,T

According to the documentation (http://www.iqfeed.net/dev/api/docs/Level2UpdateSummaryMessage.cfm), this row translates as follows:

      Symbol: MSFT
MMID: BATS
Bid: 0
Ask: 129.39
BidSize: 0
AskSize: 600
BidTime: 18:29:49.000347
Date: 2019-05-01
Condition: 52 (regular)
AskTime: 99:99:99.000000
BidInfoValid: False
AskInfoValid: True
EndOfMessage: True

The reported BidTime and AskTime make no sense - it is the Bid which is invalid (and should have the invalid time of 99:99:99), and the Ask which is valid (and should have the valid time of 18:29:49). Is this a bug in IQFeed's code?

If I'm correct, perhaps it would be simpler to fix the documentation than to fix the code - switching between BidTime/AskTime in the documentation will seem a bit awkward (because Bid is often reported before Ask), but at least it would be consistent with your current code and would not require you to do any code fixes.

Please advise.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

altmany
-Interested User-
Posts: 70
Joined: Jul 30, 2018

IQML - IQFeed-MATLAB connector


Posted: May 14, 2019 10:28 AM          Msg. 2 of 4
Hi guys - kindly comment on this...

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

DTN_Steve_S
-DTN Guru-
Posts: 2090
Joined: Nov 21, 2005


Posted: May 15, 2019 05:41 AM          Msg. 3 of 4
My apologies for the delayed response here.
You've decoded the message correctly.
It would appear that this is a bug in the feed but I don't know how or why it occurred at this time. If you have more examples, it will help in tracking this down, but I don't believe this is a case of simply applying the valid time to the wrong field.

altmany
-Interested User-
Posts: 70
Joined: Jul 30, 2018

IQML - IQFeed-MATLAB connector


Posted: May 15, 2019 06:08 AM          Msg. 4 of 4
Thanks Steve - here is another example that I have just seen, this time for the FB symbol:

<= 20190515 07:01:01.237 (Level2) Z,FB,CHXE,0.,180.71,0,100,07:00:17.012566,2019-05-15,52,99:99:99.000000,F,T,T

In this new example, the Bid is invalid and the Ask is valid, yet the timestamps appear switched.

As far as I could tell, this problem is evident whenever one Bid/Ask is valid and the other is not. But it is quite possible that the problem of switched BidTime<->AskTime is consistent even when both Bid and Ask are valid, and nobody has reported it so far because it would be nearly impossible to detect except in the specific case of just one of them being invalid.


Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

Edited by altmany on May 15, 2019 at 06:08 AM
 

 

Time: Sat December 3, 2022 6:27 AM CFBB v1.2.0 31 ms.
© AderSoftware 2002-2003