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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »Tick Data Problems?
Author Topic: Tick Data Problems? (3 messages, Page 1 of 1)

DavidG
-Interested User-
Posts: 8
Joined: Sep 29, 2009
Posted: Nov 16, 2010 04:06 PM          Msg. 1 of 3
I'd appreciate a bit of feedback on real-time tick data issues that I've been having. I send the following string to the IQFeed client via TCP/IP, and am receiving some odd results. I'm using version 4.7.0.9.

("S,SELECT UPDATE FIELDS,Symbol,Last,Incremental Volume,Total Volume,Bid,Ask,Bid Size,Ask Size,TickID" & vbCrLf)

Maybe the cause of the problems I'm having is that I've got the order backwards above from the way the data is normally provided without the S,SELECT UPDATE FIELDS request (I haven't tried reversing it yet). The documentation pages say that requests can be made with the fields in any order, but maybe there are consequences in doing this?

Some examples of the ticks I get back via TCP/IP for some high volume symbols are given below (I've only added the local time stamp before the line that was returned)

As you can see, I seem to be getting the same tick number for all the ticks for a given symbol over a period of time (assuming the last 6-digit numbers are really tick numbers.) Is that supposed to happen? It looks like at least some of the same tick data is just being repeated several times, but I don't think that is the case. Also, the total volume does not seem to be updating with the tick volume. Is it supposed to? I'm rewriting some parts of my code, so there are probably issues due to that. I don't believe I was ever getting results like this before though.

Thanks,
David.

16/11/2010 7:44:52 AM Q,DOW,30.5600,1966915,200,30.5600,30.5700,1800,600,530101,
16/11/2010 7:44:52 AM Q,DOW,30.5600,1966915,200,30.5600,30.5700,1900,600,530101,
16/11/2010 7:44:52 AM Q,DOW,30.5600,1966915,200,30.5600,30.5700,1900,500,530101,
16/11/2010 7:44:52 AM Q,DOW,30.5600,1966915,200,30.5600,30.5700,2000,500,530101,
16/11/2010 7:44:52 AM Q,DOW,30.5600,1966915,200,30.5600,30.5700,2100,500,530101,
16/11/2010 7:44:52 AM Q,DOW,30.5600,1967115,200,30.5600,30.5700,2100,500,530101,
16/11/2010 7:44:53 AM Q,DOW,30.5600,1967215,100,30.5600,30.5700,2100,500,530101,
16/11/2010 7:44:55 AM Q,DOW,30.5600,1967215,100,30.5600,30.5700,2100,600,530101,
16/11/2010 7:44:55 AM Q,DOW,30.5600,1967215,100,30.5600,30.5700,2000,600,530101,
16/11/2010 7:44:55 AM Q,DOW,30.5600,1967215,100,30.5600,30.5700,1900,600,530101,
16/11/2010 7:44:55 AM Q,DOW,30.5600,1967215,100,30.5600,30.5700,1800,600,530101,
16/11/2010 7:44:57 AM Q,DOW,30.5600,1967215,100,30.5600,30.5700,1600,600,530101,

16/11/2010 7:43:58 AM Q,BP,41.8400,2784184,100,41.8400,41.8500,2400,1900,396551,
16/11/2010 7:43:58 AM Q,BP,41.8400,2784184,100,41.8400,41.8500,2400,2000,396551,
16/11/2010 7:43:58 AM Q,BP,41.8400,2784184,100,41.8400,41.8500,2300,2000,396551,
16/11/2010 7:43:58 AM Q,BP,41.8400,2784184,100,41.8400,41.8500,2200,2000,396551,
16/11/2010 7:43:58 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,2000,396551,
16/11/2010 7:43:59 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1800,396551,
16/11/2010 7:43:59 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1900,396551,
16/11/2010 7:43:59 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,2000,396551,
16/11/2010 7:43:59 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1900,396551,
16/11/2010 7:44:00 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1800,396551,
16/11/2010 7:44:00 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1900,396551,
16/11/2010 7:44:01 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,2000,396551,
16/11/2010 7:44:02 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1900,396551,
16/11/2010 7:44:02 AM Q,BP,41.8400,2784284,100,41.8400,41.8500,2200,1800,396551,
16/11/2010 7:44:02 AM Q,BP,41.8500,2784384,100,41.8400,41.8500,2200,1800,396551,
16/11/2010 7:44:02 AM Q,BP,41.8500,2784384,100,41.8400,41.8500,2200,1700,396551,
16/11/2010 7:44:02 AM Q,BP,41.8500,2784384,100,41.8400,41.8500,2300,1700,396551,

16/11/2010 7:48:12 AM Q,AAPL,303.1400,5947011,100,303.1000,303.2000,300,300,351756,
16/11/2010 7:48:12 AM Q,AAPL,303.1700,5947111,100,303.1000,303.2000,300,300,351756,
16/11/2010 7:48:12 AM Q,AAPL,303.1800,5947211,100,303.1000,303.2000,300,300,351756,
16/11/2010 7:48:27 AM Q,AAPL,303.1800,5947211,100,303.1200,303.2000,100,300,351756,
16/11/2010 7:48:28 AM Q,AAPL,303.1800,5947211,100,303.1200,303.2000,100,200,351756,
16/11/2010 7:48:29 AM Q,AAPL,303.1800,5947211,100,303.1200,303.2000,100,200,351756,
16/11/2010 7:48:29 AM Q,AAPL,303.1800,5947211,100,303.1200,303.2000,100,300,351756,
16/11/2010 7:48:29 AM Q,AAPL,303.1800,5947211,100,303.1000,303.2000,300,300,351756,
16/11/2010 7:48:29 AM Q,AAPL,303.1996,5947511,300,303.1000,303.2000,300,300,351756,
16/11/2010 7:48:35 AM Q,AAPL,303.1996,5947511,300,303.1000,303.1500,300,100,351756,
16/11/2010 7:49:04 AM Q,AAPL,303.1996,5947511,300,303.1000,303.1500,200,100,351756,
16/11/2010 7:49:05 AM Q,AAPL,303.1996,5947511,300,303.1400,303.1500,100,100,351756,
16/11/2010 7:49:37 AM Q,AAPL,303.1996,5947511,300,303.1400,303.1900,100,100,351756,
16/11/2010 7:49:37 AM Q,AAPL,303.1996,5947511,300,303.1500,303.1900,100,100,351756,
16/11/2010 7:49:37 AM Q,AAPL,303.1996,5947511,300,303.1800,303.1900,2400,100,351756,
16/11/2010 7:49:37 AM Q,AAPL,303.1996,5947511,300,303.1800,303.1900,2500,100,351756,
16/11/2010 7:49:37 AM Q,AAPL,303.1500,5947611,100,303.1800,303.1900,2500,100,351756,
16/11/2010 7:49:37 AM Q,AAPL,303.2000,5947811,200,303.1800,303.1900,2500,100,351756,
16/11/2010 7:49:37 AM Q,AAPL,303.2000,5947911,100,303.1800,303.1900,2500,100,351756,
16/11/2010 7:49:37 AM Q,AAPL,303.2000,5948411,500,303.1800,303.1900,2500,100,351756,
16/11/2010 7:49:37 AM Q,AAPL,303.2000,5948511,100,303.1800,303.1900,2500,100,351756,
16/11/2010 7:49:37 AM Q,AAPL,303.2100,5948611,100,303.1800,303.1900,2500,100,351756,
16/11/2010 7:49:37 AM Q,AAPL,303.2100,5948711,100,303.1800,303.1900,2500,100,351756,
16/11/2010 7:49:37 AM Q,AAPL,303.2100,5948711,100,303.1800,303.1900,3700,100,351756,
16/11/2010 7:49:38 AM Q,AAPL,303.2100,5948711,100,303.1800,303.2100,3700,300,351756,
16/11/2010 7:49:38 AM Q,AAPL,303.2100,5948711,100,303.1800,303.2100,3900,300,351756,

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005
Posted: Nov 16, 2010 04:28 PM          Msg. 2 of 3
David, first, there is a newer version of the feed (4.7.2.0). I would recommend that you update but that is probably unrelated to the issues you are having.

The tickID field is not updated on update messages currently. It is only updated in the initial snapshot message you recieve. All other update messages will simply repeat the same value. As a result, if you process that snapshot message, you won't need the field in your Fieldset since it just results in duplicated data that your app has to parse. We do plan on starting to send it each time it updates in the future but we don't have an ETA currently on when that will start happening.

As far as the rest of the issues you are having, this is because your app will receive an update message everytime ANY of the fields you are watching is updated.

For example, looking at the following group of messages:

Q,AAPL,303.1700,5947111,100,303.1000,303.2000,300,300,351756,

Q,AAPL,303.1800,5947211,100,303.1000,303.2000,300,300,351756,

From the previous message, your price changed, and your total volume change so you are fairly safe assuming that this was a trade for 100 size.

Q,AAPL,303.1800,5947211,100,303.1200,303.2000,100,300,351756,

On the other hand, from this message, your price didn't change, nor did your total volume change so this was most likely a bid or an ask (or both).

Basically, since you have trade fields as well as bid and ask fields, there aren't going to be a whole lot of updates that you are not receiving. And unfortunately, using your fieldset, there also isn't anyway for you to reliably know which updates contained which information.

If you add the Last Trade Time field, that will help you sort out the messages a bit better.

DavidG
-Interested User-
Posts: 8
Joined: Sep 29, 2009
Posted: Nov 16, 2010 09:24 PM          Msg. 3 of 3
Well that pretty much clears up the matter. Thx.
 

 

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