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» Today's tick feed has previous day's data?
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| Author | Topic: Today's tick feed has previous day's data? (8 messages, Page 1 of 1) |
 jwilson -Interested User- Posts: 8 Joined: Mar 7, 2010 |
Posted: Mar 25, 2010 11:37 AM
Msg. 1 of 8
Here are 3 abbreviated lines of data I captured for the tick feed for SPY on 03/25/2010.
Q,SPY,E,116.8400,0.,,0,150,0,0,117.0900,117.1300,2000,2000,,,0.,16:00:00b,,0,116.8400,0.04,,,,p,,,,,03/24/2010 Q,SPY,E,116.8400,0.,,100,100,0,0,117.0900,117.1300,2000,2000,,,0.,04:13:16b,,0,116.8400,0.04,,,,p,,,,,03/24/2010 Q,SPY,E,116.8400,0.,,100,100,0,0,117.0700,117.1200,2000,2000,,,0.,04:13:16b,,0,116.8400,0.05,,,,p,,,,,03/25/2010 1. I'm getting some ticks from around the time of the market close for yesterday. Is this some correction data, and if not how do I filter it out? 2. There is some quote activity around 04:13:16 this morning, and inexplicably the date field rolls from 3/24 to 3/25 with no record of a trade in between. This means there is ambiguity in determining the time of the tick data. If I take (today's date, feed timestamp), then the first and second line are interpreted in error. If I take (feed date, feed timestamp), then the second line is interpreted in error. Does anyone have a suggestion on resolving this? |
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jwilson -Interested User- Posts: 8 Joined: Mar 7, 2010 |
Posted: Mar 25, 2010 11:42 AM
Msg. 2 of 8
Correction: If I take (today's date, feed timestamp), then the first line is interpreted in error. If I take (feed date, feed timestamp), then the second line is interpreted in error.
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005 
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Posted: Mar 25, 2010 02:37 PM
Msg. 3 of 8
I am looking into this.
Looking at history, the first trade of the day occured at 04:13:16 EDT this morning (it was an extended trade) which explains why the trade date updated. However, this doesn't explain why you got a bid with the current trade time but a previous trade date at that time. Can you send me the complete log you received this morning at this time to developer support? Thanks, |
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jwilson -Interested User- Posts: 8 Joined: Mar 7, 2010 |
Posted: Mar 26, 2010 10:09 AM
Msg. 4 of 8
Steve, I mailed a partial log to dev support that illustrates the problem.
I'm watching the feed this morning and seeing the same problem (previous day in feed timestamp) reported for premarket ticks for many stocks. |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005
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Posted: Mar 26, 2010 10:24 AM
Msg. 5 of 8
I got your email and I am still investigating this. I agree that something isn't right somewhere (although I cant determine where exactly yet).
Can you send me a log similar to yesterday's but from this morning? |
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parallelguy -Interested User- Posts: 12 Joined: Feb 17, 2010 |
Posted: Mar 28, 2010 11:58 PM
Msg. 6 of 8
I'm pretty sure I also found this or a related error. It seems to be related somehow to quotes before markets open. Once globex officially opened (Sunday night), the weird timestamps went away.
From my custom log (Time is Date Time in UTC that the packet was received from IQfeed) Quote: 20100328T211459.902159>Q,@ESU10,1158.75,0,1,1147.00,1161.50,1,1,16:14:21b,, 20100328T211459.902159>Q,@ESM10,1163.25,0,10,1163.00,1163.50,114,40,16:14:59b,, 20100328T211459.902159>Q,@NQU10,1943.25,0,5,1428.00,1956.00,5,1,15:25:33b,, 20100328T211459.902159>Q,@NQM10,1950.75,0,5,1948.50,1952.00,2,1,16:14:59b,, 20100328T211459.902159>Q,@ADM10,0.8967,0,1,0.8955,0.8970,4,1,16:59:40b,, 20100328T211459.902159>Q,@BPM10,1.4893,0,1,1.4887,1.4901,11,1,16:57:00b,, 20100328T211459.902159>Q,@ADU10,0.8862,0,3,0,0.9150,0,5,16:43:20a,, 20100328T211459.902647>Q,@BPU10,1.4883,0,1,1.4110,1.4953,1,1,16:56:36b,, 20100328T211459.902647>Q,@CDU10,0.9734,0,1,0.9700,0.9760,6,2,16:46:12b,, 20100328T211459.902647>Q,@CDM10,0.9742,0,2,0.9735,0.9749,1,1,16:59:55b,, 20100328T211459.902647>Q,@EUM10,1.3409,0,3,1.3402,1.3415,41,1,16:59:48b,, 20100328T211459.902647>Q,@MEM10,1.3414,0,1,1.3387,1.3428,1,1,16:58:30b,, 20100328T211459.902647>Q,@JYM10,0.010811,0,1,0.010799,0.010825,3,3,16:59:54b,, 20100328T211459.902647>Q,@JEM10,0.010813,0,1,0.010680,0.010869,1,1,16:44:50b,, 20100328T211459.902647>Q,@RUM10,0.33480,0,1,0,0.34200,0,1,09:42:55a,, 20100328T211459.902647>Q,@SFM10,0.9392,0,1,0.9383,0.9400,2,5,16:59:00b,, |
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parallelguy -Interested User- Posts: 12 Joined: Feb 17, 2010 |
Posted: Mar 29, 2010 12:07 AM
Msg. 7 of 8
This example might better illustrate the point:
Quote: 20100328T211459.902159>Q,@ESM10,1163.25,0,10,1163.00,1163.50,114,40,16:14:59b,, ... 20100328T212336.109902>Q,@ESM10,1163.25,0,10,1163.00,1163.50,164,40,16:14:59b,, To clarify my earlier comment: I had also been watching in real time in quote tracker, and it seems to be a systemic problem where quotes before the globex opening hours at 17:00 central on Sunday seem to pick a rather arbitrary time rather then give the correct time. Hope this is helpful. |
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DTN Todd -Interested User- Posts: 74 Joined: Mar 24, 2010 |
Posted: Mar 29, 2010 12:37 AM
Msg. 8 of 8
Just wanted to let you know that we received the additional information you posted and that we will continue to look into this issue.
Todd DTN |
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