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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »Missing Level 2 transactions... Or assumption is wrong!
Author Topic: Missing Level 2 transactions... Or assumption is wrong! (1 messages, Page 1 of 1)

otterway
-Interested User-
Posts: 5
Joined: Mar 6, 2010

If the world was so simple

Posted: Jun 9, 2011 02:48 PM          Msg. 1 of 1
I am capturing level 2 data (TCP). I work under the assumption that the only way for a level 2 transactions to be canceled (ask or bid) is that a zero value be sent to the bid/bid size or the ask/ask size; or a replacement bid/bid size or ask/ask size.

At the end of the day I am left with maybe 10 to 15 unclosed u transactions on the ask side. Usually these exist on the ask side only, and they usually are less than 200 ask size quantity.

I am not checking reason code, condition code, bid info valid, or ask info valid. Are my assumptions correct so far?

The second part of the question when should I consider all transactions not accounted for as "no longer valid?". Should market close determine that... and should I be using the c<cr><lf> to trigger that in the 9200 TCP stream; or should I always expect a canceling "u" transaction?
 

 

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