Hi,
on Nov 5th I started my automated trading at 02:47 am (EST) by subscribing L1 for approx 450 stock-symbols.
I understand that there is no or an old open prices in the message.
But the real problem was, that in the summary message content the "o" was set.

Why is the "o" flag set for summary at a point of time of a day where definitifly was no trading? And in update messages there was no further "o" flag for the rest of the day.
I would expect when subscribing to symbols on a day the first message containing an "o" will be sent around 09:30 but not at 02:47. Also giving sometimes an "old" open from the prev day does not make sense to me.

Is there a defined time on your side when you "reset" the open flag and the open price?

br
Erich
Edited by opttrade on Nov 7, 2018 at 07:38 AM
Edited by opttrade on Nov 7, 2018 at 07:39 AM

Hello, sorry for the delay responding here.

I'm not seeing this same behavior currently (~6:45AM Eastern). Can you provide some specific examples of this?

Hi Steve,
sure
Samples from Nov 5th having the problem:
STZ, AMTD, AAP, AEO, A, ADI, AEE, AEP, AET, AFL, ALB, BA, BAX, BRK B, BK, BSX,....
(and many more...)

samples from Nov 5th WITHOUT problem:
AIG, FCX, ATI, BJ, ADBE, DE...
(and a few more)

Knowing about the problem I currently avoid subscribing symbols in the morning and start the subscription at aprx. 10:00 or 11:00 EST. But to improve my automated trading it would be helpful to find the rootcause when and why this could happen.

br
Erich

OK, I'm pretty sure I've figured out what is going on here.

We have a maintenance process that runs right around that time in the early AM that clears the previous day's OHL values. My guess is that you caught it in the middle of that process running which is why only some of the symbols were affected.

If you startup sometime after 4AM eastern, you should be safe.

Hi Steve,
thanks for clarifying!

br
Erich