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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »Receiving multiple updates of zero price & size in several instruments
Author Topic: Receiving multiple updates of zero price & size in several instruments (2 messages, Page 1 of 1)

cgeorgan
-Interested User-
Posts: 3
Joined: Apr 22, 2009
Posted: Jul 30, 2010 02:01 PM          Msg. 1 of 2
Hi-

I've been using DTN for some time with a couple different products (NeoTicker & NinjaTrader). I've been doing some work recently that involves examining bid/ask sizes and prices.

What I've noticed is that I often (as in, at least once/twice a day per instrument in question) get situations where I'll get a zero price and zero size update. This causes all sorts of problems for a platform like NinjaTrader, which does not accommodate filtering for bids/asks.

This happens (or rather, I've witnessed this) in the following:
HG
GC
SI
CL
NG
TF

I've attached a screen shot of this. In this case you can see two updates of zero at 1:30:52 and 1:30:56 CST.


File Attached: CL.JPG (downloaded 1617 times)

DTN Brian Wood
-Interested User-
Posts: 17
Joined: Jun 2, 2004
Posted: Jul 30, 2010 04:00 PM          Msg. 2 of 2
What those are, is the exchange clearning the postion.

Edited by DTN Brian Wood on Jul 30, 2010 at 04:02 PM
 

 

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