Context: the point of my question is to figure out which of these fields is either fixed-length or at least reasonably unlikely to roll over to a higher number of digits or shrink to a lower number of digits across most trading days.

I have my IQFeed client set to start watching symbols shortly before market open, so for futures contract ES (for example) the first lines of my captured L1 feed will show values like this for tick id and total volume (respectively below):

Q,@ES#,271429934,...,276430,

and the L2 MBO feed for ES will show order ids like this (final summary line and first delete, add and update lines):

6,@ES#,6412236089210,...,
5,@ES#,6412236980317,...,
3,@ES#,6412236980495,...,
5,@ES#,6412236980188,...,
5,@ES#,6412236980184,...,
4,@ES#,6412236980185,...,

1) I imagine the L1 total volume resets to zero when ES off-hours trading starts at 6:00 pm ET the night before each trading day. Is that accurate?

1A) When it resets, does the field length shrink to the number of digits needed (such as "1" vs "000001")?

2) The L1 tick id, which is enormous in comparison to the daily total volume (since it includes bid/ask) doesn't look like it contains only a single day's L1 transactions. Does this only increase (starting from some fixed time in the past) or does it reset to zero (for example on the first trading session of each year)?

2A) If it resets, does the field length shrink to the number of digits needed (such as "1" vs "000000001")?

3) L2 field values are similarly orders of magnitude above the L1 tick id values (due to the much broader limit order activity). Does this only increase (starting from some fixed time in the past) or does it reset to zero (for example on the first trading session of each year)?

3A) If it resets, does the field length shrink to the number of digits needed (such as "1" vs "0000000000001")?

Thanks in advance.

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-Mark D. Valor
Edited by mkvalor on Aug 21, 2023 at 10:51 PM

Here's what I can tell you right now:

1A and 2A. Volume and TickID never have leading zeroes.

3A. I don't think OrderID does either, but I want to confirm this.

1. I need to confirm exactly when volume resets. It may vary by exchange.

2. TickID is a 32-bit unsigned integer. It is an arbitrary number assigned by the exchange. It does not always increase; it can be any number at any time, and there's no pattern to when it changes.

TickID is not always unique (and therefore isn't natively suitable for a primary key) for two reasons: 1. TickIDs are not unique across exchanges; NASDAQ and NYSE can each have a tick #1234567. and 2. some exchanges "bundle" their tick data in a way that gives multiple ticks the same TickID. Look at @ES# and you'll probably see this happening at any given time.

3, Are you asking about the OrderID? I suspect it is similar to TickID. Other than that, the Level 2 data page http://www.iqfeed.net/dev/api/docs/MarketDepthMessages.cfm tells you the data types for each field. This will dictate how many characters you need. TickID is limited to a 64-bit unsigned integer, which can be up to 20 digits. So I would instruct you to allow for up to 20 digits.

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Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Great info; thanks Gary. Yes, I was talking about L2 Order ID in Q 3. Hmm, yes, I feel that data type indicates it would not be formatted with leading zeros.

I've definitely seen that, for CME ES, Tick ID typically repeats between trades.

I can certainly test pulling data at different times for CME futures to try to discover the daily(?) volume reset. Just thought I'd ask in case this was well known. If you learn the answer please do post it here.

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-Mark D. Valor

In general, total volume resets to zero with the opening of the next trading day session. The exact timing can vary by exchange. For @ES (and all symbols on the CME Mini), that is at 6 p.m. EDT. You can infer the reset time from the data:

HTT,@ES#,20230828 165959,20230828 180000
LH,2023-08-28 18:00:00.000000,4444.00,3,3,4444.00,4444.00,27365437,C,43,01,3,29,
LH,2023-08-28 16:59:59.697984,4444.25,2,1227769,4444.25,4444.50,27365436,C,43,01,2,28,
!ENDMSG!,

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Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist