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Date/Time: Tue, 26 Nov 2024 13:46:25 +0000
Post From: DTC client implementation in C#-some pointers needed
| [2014-03-17 03:29:54] |
| User57650 - Posts: 50 |
|
Hello, I found one weird sequence of events that likely shouldn't be generated (see notes inside) DTC sequence of messages: 17:55:04.724, timeStamp 117,QUOTE_INCREMENTAL_UPDATE_COMPACT,28,1,99.15,99.16,4,1,1395010505 112,TRADE_INCREMENTAL_UPDATE_COMPACT,20,1,99.15,3,AT_BID,1395010505 117,QUOTE_INCREMENTAL_UPDATE_COMPACT,28,1,99.15,99.16,1,1,1395010505 117,QUOTE_INCREMENTAL_UPDATE_COMPACT,28,1,99.15,99.16,1,2,1395010505 112,TRADE_INCREMENTAL_UPDATE_COMPACT,20,1,99.15,1,AT_BID,1395010505 117,QUOTE_INCREMENTAL_UPDATE_COMPACT,28,1,99.12,99.16,5,2,1395010505 117,QUOTE_INCREMENTAL_UPDATE_COMPACT,28,1,99.12,99.15,5,1,1395010505 117,QUOTE_INCREMENTAL_UPDATE_COMPACT,28,1,99.12,99.15,6,1,1395010505 117,QUOTE_INCREMENTAL_UPDATE_COMPACT,28,1,99.12,99.15,5,1,1395010505 17:55:04.724, timeStamp 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.15,AT_BID,0,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.14,AT_BID,0,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.12,AT_BID,5,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.04,AT_BID,3,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.15,AT_ASK,1,DEPTH_INSERT_UPDATE----new best ask level 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.16,AT_ASK,0,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.15,AT_BID,1,DEPTH_INSERT_UPDATE----overriden by a new best bid level 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.12,AT_BID,0,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.15,AT_ASK,0,DEPTH_DELETE----ask deleted 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.16,AT_ASK,1,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.17,AT_ASK,8,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.16,AT_ASK,2,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.17,AT_ASK,9,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.15,AT_BID,0,DEPTH_DELETE----bid deleted 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.03,AT_BID,6,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.15,AT_ASK,1,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.25,AT_ASK,0,DEPTH_DELETE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.12,AT_BID,6,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.12,AT_BID,5,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.11,AT_BID,2,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.1,AT_BID,7,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.12,AT_BID,4,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.08,AT_BID,4,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.15,AT_ASK,2,DEPTH_INSERT_UPDATE 118,MARKET_DEPTH_INCREMENTAL_UPDATE_COMPACT,20,1,99.17,AT_ASK,8,DEPTH_INSERT_UPDATE 17:55:04.740, timeStamp 117,QUOTE_INCREMENTAL_UPDATE_COMPACT,28,1,99.12,99.15,4,1,1395010505 117,QUOTE_INCREMENTAL_UPDATE_COMPACT,28,1,99.12,99.15,4,2,1395010505 I was able to find a matching set of IQFeed depth update messages from that very time period 2,QCLJ14,MD01,99.12,99.15,6,1,18:55:05.668,2014-03-16,52,18:55:05.668,T,T,T, 2,QCLJ14,MD01,99.12,99.15,5,1,18:55:05.668,2014-03-16,52,18:55:05.668,T,T,F, 2,QCLJ14,MD02,99.11,99.16,2,2,18:55:05.668,2014-03-16,52,18:55:05.668,T,T,F, 2,QCLJ14,MD03,99.1,99.17,7,9,18:55:05.668,2014-03-16,52,18:55:05.668,T,T,T, 2,QCLJ14,MD01,99.12,99.15,4,1,18:55:05.668,2014-03-16,52,18:55:05.668,T,T,F, 2,QCLJ14,MD05,99.08,99.19,4,6,18:55:05.668,2014-03-16,52,18:55:05.668,T,T,T, 2,QCLJ14,MD01,99.12,99.15,4,2,18:55:05.668,2014-03-16,52,18:55:05.668,T,T,T, I also noticed that depth updates don't seem to include best bid/ask updates, they are only contained in 'quote' updates. Is that true (intentional by design to save space/be efficient)? I will continue testing and see if I find any more issues. |