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»Forums Index »Product Support »Data and Content Support »Curious about L1 feed fields Tick and Most Recent Trade Aggressor
Author Topic: Curious about L1 feed fields Tick and Most Recent Trade Aggressor (5 messages, Page 1 of 1)

mkvalor
-Interested User-
Posts: 10
Joined: Oct 6, 2020

Keep your tools sharp.


Posted: Sep 24, 2022 09:19 PM          Msg. 1 of 5
I have been tinkering with the L1 dynamic fields my custom app consumes from IQFeed and I was curious about one thing:

If my application keeps track of the qualified trade values in the "Most Recent Trade" field, is there really any benefit to consuming the "Tick" or "Most Recent Trade Aggressor" fields in the feed? My custom system holds onto the last sent qualified "Most Recent Trade" value, so when a new Qualified Trade message comes through, my code can easily deduce whether the new trade value is higher, lower, or the same.

This seems clear enough, but I hate to assume. So, is there some additional benefit/information conveyed in these fields I am not aware of, besides the relative value of the current qualified trade vs the previous qualified trade?

-Mark D. Valor

DTN_Gary_Stephen
-DTN Guru-
Posts: 281
Joined: Jul 3, 2019


Posted: Sep 27, 2022 07:24 AM          Msg. 2 of 5
The "Tick" field explicitly tells you if the current tick is up, down, or no change from the most recent last qualified trade. If you are storing the value of each tick, you can determine this yourself if you want to, but keep in mind the tick field only applies to last-eligible trades. The Message Contents field will tell you which ones these are. (Or you can use Last instead of Most Recent, which will only return last-eligible trades).

As for trade aggressor, this field can contain information you can't simply infer your self. The CME and ICE exchanges will explicitly report who the trade aggressor is in a given trade. For other exchanges, this can usually be inferred by comparing the last price to the bid and ask price. So if you're not using the trade aggressor field, you're not getting the explicit trade aggressor information ICE and CME provide.

So Trade Aggressor does include some information you can't just infer for ICE and CME exchanges.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

mkvalor
-Interested User-
Posts: 10
Joined: Oct 6, 2020

Keep your tools sharp.


Posted: Oct 22, 2022 07:45 PM          Msg. 3 of 5
Thanks for the reply Gary. Yes, for "Tick" I meant tracking previous trades with Message Contents having trade identifier 'C'.

Would you please help my newbie mind understand what kinds of factors lead to my code not being able to infer the trade aggressor? As you said,

Quote: For other exchanges, this can usually be inferred by comparing the last price to the bid and ask price.


Do the CME and ICE exchanges have additional hidden pools of trades (or some other obscured forms of data) which do not come through the IQFeed L1 stream, making the generic strategy ineffective for them? Or is it simply that -- since those two exchanges do provide the explicit aggressor, it's less error prone to use that instead of relying on custom client code?


-Mark D. Valor
Edited by mkvalor on Oct 23, 2022 at 07:53 AM

DTN_Gary_Stephen
-DTN Guru-
Posts: 281
Joined: Jul 3, 2019


Posted: Oct 26, 2022 11:55 AM          Msg. 4 of 5
Quote: what kinds of factors lead to my code not being able to infer the trade aggressor?


Sometimes the Last price is between the Bid and Ask price. When it doesn't match either, and when the symbol isn't on the ICE or and CME, the trade aggressor can't be inferred.

Quote: Do the CME and ICE exchanges have additional hidden pools of trades (or some other obscured forms of data) which do not come through the IQFeed L1 stream, making the generic strategy ineffective for them? Or is it simply that -- since those two exchanges do provide the explicit aggressor, it's less error prone to use that instead of relying on custom client code?


As far as I know, it's the latter. I'm not aware of any hidden data that would make this method ineffective. I look at it this way: why wouldn't you want to use the data the exchange provides? It's more authoritative, and less processing for your app to do.

Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

mkvalor
-Interested User-
Posts: 10
Joined: Oct 6, 2020

Keep your tools sharp.


Posted: Nov 14, 2022 03:00 PM          Msg. 5 of 5
Ah, I hadn't thought of the wider spread situation since I mostly trade markets where that is rare (during the hours when I am active). Thank you for your explanation.

-Mark D. Valor
 

 

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