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Viewing User Profile for: FullyArticulate
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Joined: Sep 22, 2005 10:17 PM
Last Post: Jun 18, 2008 04:43 PM
Last Visit: Jun 18, 2008 05:10 PM
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Post Statistics
FullyArticulate has contributed to 331 posts out of 20767 total posts (1.59%) in 6,278 days (0.05 posts per day).

20 Most recent posts:
Data and Content Support » +HGZ8 seems stuck Jun 18, 2008 04:43 PM (Total replies: 5)

Hmm... Another issue. +HGN8 and +HGZ8 report a settle date of today, despite the settle being for yesterday. If the electronic session closes at 1625, shouldn't the settle date be yesterday?

Data and Content Support » +HGZ8 seems stuck Jun 18, 2008 04:36 PM (Total replies: 5)

Ah! I've found the problem.

+HGN8 reports market is open (1 in field 44). +HGZ8 reports market is closed (0 in field 44).

When the market is open, I use the last, when the market is closed, I use the settle. Hence the reason these two don't match.

Presumably they should both be open or closed right now.
Edited by FullyArticulate on Jun 18, 2008 at 04:36 PM

Data and Content Support » +HGZ8 seems stuck Jun 18, 2008 04:29 PM (Total replies: 5)

Ah, you're right, sorry about that. Semantics changed between versions of IQFeed. Settle used to be 0 until the settle of the day. With the addition of the settle date field, I can work that out in my code.


Data and Content Support » +HGZ8 seems stuck Jun 18, 2008 03:29 PM (Total replies: 5)

Close is shown as 363.10. This can't be right.

According to NYMEX, the "most recent settle" is 372.30, and the last trade is 371.50.

Thanks Loren!

Hi Sarah,

The problem, as you can see from my first post, is that the open interest is radically more than the previous day's open interest + volume.

In other words, say today's OI is 100, and today's volume is 100. The maximum that OI can be tomorrow is 200, right? It could be as little as 0 (if all trades were closing), it could be as much as 200 (if all trades were opening), or it could be anywhere in between.

In the case I mentioned above (and many others), the new OI is dramatically more than the volume + previous OI. Somehow trades are happening which cannot be accounted for in the volume reported by DTN. In some cases, thousands of contracts cannot be accounted for.

This discrepancy makes understanding the flow of money within a stock very difficult. In one particular case, the missing options opening contracts represented, on a notional basis, *several times* the total stock volume of that day. This makes it very difficult to understand that market.

Either OCC/OPRA is giving out radically bad data (which should be identified and corrected for the good of all market participants, including your customers), or DTN is reporting bad data.

The data is essentially saying 1+1=7. That's not good for anyone. :-)

Data and Content Support » RBK8, HOK8 broken Feb 22, 2008 02:22 PM (Total replies: 2)

DTN shows HOK8 has an open, high, low, and close of 2.6823, yet IB shows:
high: 2.7106
low: 2.6593
open: 2.6976
close: 2.7036
last: 2.7036

Similar discrepencies on RBK8 (ohlc are equal)

I noticed this yesterday when PRGS showed up on one of my option scans.

DTN (as well as IB) had the open interest of the March 30 puts (RGQ OF) as 555.

If you retrieve yesterdays historical ticks, you'll see that 500 options changed hands. Even if you assumed all of those were opening new positions, how is the RGQ OF Open Interest now 1554?

If you look at The OCC's history for yesterday, they do not summarize by strike, only by root code. Even if you take all of the put volume yesterday (960 + 842) / 2 = 901, add in all of the previous OI of 555, you still get an open interest of 1456.

At least 98 contracts were invented somewhere.

In addition, I know there were 370 RGQ Mar 25 puts traded. So, you'd get ((960 + 842) / 2) - 370 = 1011. In this case, an additional 444 contracts were invented.

Any insight into this discrepancy?

Edited by FullyArticulate on Feb 20, 2008 at 02:58 PM

Data and Content Support » Eurodollar electronic mid-curves? Feb 12, 2008 10:59 AM (Total replies: 1)

Are the electronic Eurodollar mid-curves available? E0, E2, E5 are, but no @E0. It might be under another symbol, I suppose, but DTN was a little inconsistent in how they named mid-curves. Searching under "mcurve", "mid-curve", and "midcurve", all turn up different products.

If these are not available now, are there any plans to make them so?

Data and Content Support » All optionable hotlists are empty Feb 7, 2008 11:07 AM (Total replies: 4)

Still empty. Any update? This is a very important data source!

Data and Content Support » All optionable hotlists are empty Feb 5, 2008 12:25 PM (Total replies: 4) O* (the optionable hotlists) are empty.
Edited by FullyArticulate on Feb 5, 2008 at 12:26 PM

Data and Content Support » No daily history yesterday for Eurodollars? Jan 18, 2008 01:58 PM (Total replies: 1)

@EDH8, @EDH9 (at the least) has no daily history for 2008-01-17.

IQFeed Developer Support » Intermittent Error None symbols Jun 8, 2007 01:47 PM (Total replies: 20)

Will this be fixed in the server release next weekend? I just had to request AIG 8 times.

Data and Content Support » Bid/Asks missing from ICE NYBOTs May 31, 2007 05:08 PM (Total replies: 10)

So, @CCN7 is *not* the ICE contract?

Data and Content Support » Bid/Asks missing from ICE NYBOTs May 31, 2007 04:59 PM (Total replies: 10)

Hi Steve,

I'm confused, am I right with these statements:

- CCN7 is NYBOT floor Cocoa. It should not have bids or asks.
- @CCN7 is ICE electronic Cocoa. It should have bids and asks.

If your data source for @CCN7 is ICE, the bids/asks should be available as well?

Data and Content Support » Bid/Asks missing from ICE NYBOTs May 31, 2007 01:40 PM (Total replies: 10)

I'm sorry if I'm a pain in the neck, but it's time for my weekly "any update" check. :-)

Data and Content Support » Bid/Asks missing from ICE NYBOTs May 25, 2007 12:02 PM (Total replies: 10)

Any feedback?

Data and Content Support » @NQM7 has a low of -7216.79 May 24, 2007 03:54 PM (Total replies: 2)

Looks like it's fixed now. Thanks!

Data and Content Support » @NQM7 has a low of -7216.79 May 24, 2007 12:44 PM (Total replies: 2)

@NQM7 has a low of -7216.79

Data and Content Support » Bid/Asks missing from ICE NYBOTs May 22, 2007 12:49 PM (Total replies: 10)

Right now, @CCN7 and @CCZ7 show no bids or asks on IQFeed. At the same time, however, IB shows active trading (and a 4 point bid/ask spread).

At the moment, @CCN7 is (according to IB) bid 1924, ask 1928, @CCZ7 iis bid 1966, ask 1971.

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