Support Board
Date/Time: Sun, 23 Feb 2025 22:03:32 +0000
what to make of MarketDataUpdateBidAskCompact message with same Bid and Ask price?
View Count: 643
| [2021-02-17 23:11:53] |
| uM8137 - Posts: 183 |
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This seems to report an impossible situation. But I find them quite frequently on my Denali feed over DTC. A MarketDataUpdateBidAskCompact that has the same BidPrice and AskPrice: message MarketDataUpdateBidAskCompact { float BidPrice = 3951.5; float BidQuantity = 2; float AskPrice = 3951.5; float AskQuantity = 2; sfixed32 DateTime = (translates to "2021-02-15T17:01:13-06:00"); uint32 SymbolID = (translates to "ESH21-CME" from the realtime Denali not historical Denali feed); } Feels like this could be a copy paste bug internally where one side is just a copy of the other; especially since the Quantities match too. Could engineering take a look and correct it if its off, or let me know what it means otherwise? I have no idea what to make of it. But it is messing up my book keeping. Thank you. |
| [2021-02-17 23:52:00] |
| uM8137 - Posts: 183 |
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(I use the ProtocolBuffers encoding).
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| [2021-02-18 02:50:46] |
| uM8137 - Posts: 183 |
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Here are 35 examples from a just single recent hour, sampled from ESH21-CME as above. The quantities do differ, so my copy-paste theory is bunk. MarketDataUpdateBidAskCompact{BidQuantity:2, AskPrice:3951.500000, BidPrice:3951.500000, AskQuantity:2, DateTime:"2021-02-15T17:01:13-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:2, AskPrice:3949.500000, BidPrice:3949.500000, AskQuantity:2, DateTime:"2021-02-15T17:03:00-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:4, AskPrice:3949.750000, BidPrice:3949.750000, AskQuantity:4, DateTime:"2021-02-15T17:04:08-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3950.000000, BidPrice:3950.000000, AskQuantity:3, DateTime:"2021-02-15T17:04:52-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:6, AskPrice:3949.750000, BidPrice:3949.750000, AskQuantity:4, DateTime:"2021-02-15T17:05:23-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3950.750000, BidPrice:3950.750000, AskQuantity:2, DateTime:"2021-02-15T17:06:20-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:3, AskPrice:3950.500000, BidPrice:3950.500000, AskQuantity:6, DateTime:"2021-02-15T17:07:42-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:2, AskPrice:3950.750000, BidPrice:3950.750000, AskQuantity:1, DateTime:"2021-02-15T17:07:42-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:3, AskPrice:3950.750000, BidPrice:3950.750000, AskQuantity:3, DateTime:"2021-02-15T17:07:46-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:5, AskPrice:3950.250000, BidPrice:3950.250000, AskQuantity:1, DateTime:"2021-02-15T17:10:03-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:5, AskPrice:3949.750000, BidPrice:3949.750000, AskQuantity:5, DateTime:"2021-02-15T17:10:26-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:7, AskPrice:3948.750000, BidPrice:3948.750000, AskQuantity:3, DateTime:"2021-02-15T17:13:43-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:15, AskPrice:3949.000000, BidPrice:3949.000000, AskQuantity:10, DateTime:"2021-02-15T17:13:46-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.250000, BidPrice:3948.250000, AskQuantity:3, DateTime:"2021-02-15T17:21:19-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.250000, BidPrice:3948.250000, AskQuantity:6, DateTime:"2021-02-15T17:21:21-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.250000, BidPrice:3948.250000, AskQuantity:1, DateTime:"2021-02-15T17:21:21-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.250000, BidPrice:3948.250000, AskQuantity:1, DateTime:"2021-02-15T17:21:21-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:6, AskPrice:3948.500000, BidPrice:3948.500000, AskQuantity:2, DateTime:"2021-02-15T17:23:43-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.250000, BidPrice:3948.250000, AskQuantity:1, DateTime:"2021-02-15T17:33:07-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.250000, BidPrice:3948.250000, AskQuantity:1, DateTime:"2021-02-15T17:35:31-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.750000, BidPrice:3948.750000, AskQuantity:4, DateTime:"2021-02-15T17:37:32-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:5, AskPrice:3949.000000, BidPrice:3949.000000, AskQuantity:5, DateTime:"2021-02-15T17:37:39-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:7, AskPrice:3949.000000, BidPrice:3949.000000, AskQuantity:3, DateTime:"2021-02-15T17:38:32-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:38, AskPrice:3949.500000, BidPrice:3949.750000, AskQuantity:34, DateTime:"2021-02-15T17:42:43-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:9, AskPrice:3948.500000, BidPrice:3948.500000, AskQuantity:1, DateTime:"2021-02-15T17:45:03-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:3, AskPrice:3948.750000, BidPrice:3948.750000, AskQuantity:8, DateTime:"2021-02-15T17:46:06-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.750000, BidPrice:3948.750000, AskQuantity:1, DateTime:"2021-02-15T17:46:18-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:1, AskPrice:3948.750000, BidPrice:3948.750000, AskQuantity:1, DateTime:"2021-02-15T17:46:22-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:7, AskPrice:3948.500000, BidPrice:3948.500000, AskQuantity:4, DateTime:"2021-02-15T17:46:39-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:3, AskPrice:3948.000000, BidPrice:3948.000000, AskQuantity:1, DateTime:"2021-02-15T17:47:28-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:6, AskPrice:3948.000000, BidPrice:3948.000000, AskQuantity:5, DateTime:"2021-02-15T17:47:46-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:7, AskPrice:3947.500000, BidPrice:3947.500000, AskQuantity:8, DateTime:"2021-02-15T17:49:51-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:10, AskPrice:3947.500000, BidPrice:3947.500000, AskQuantity:5, DateTime:"2021-02-15T17:49:54-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:3, AskPrice:3947.500000, BidPrice:3947.500000, AskQuantity:2, DateTime:"2021-02-15T17:50:57-06:00"} MarketDataUpdateBidAskCompact{BidQuantity:4, AskPrice:3947.500000, BidPrice:3947.500000, AskQuantity:7, DateTime:"2021-02-15T17:51:41-06:00"} |
| [2021-02-18 04:16:41] |
| uM8137 - Posts: 183 |
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Okay. I think I get. By looking at the pattern of messages before and the sequence of messages, it appears this is just giving the earliest indication of price movement, and it makes sense if you compare it to the one-earlier MarketDataUpdateBidAskCompact which will then tell if the market is going bid or going ask with this current message. All good. Thanks. |
| [2021-02-24 03:58:50] |
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Have a look at step 13 for the flags to use the most up-to-date market data messages: Data and Trading Communications (DTC) Protocol Server: Server Usage Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2021-02-24 04:19:33] |
| uM8137 - Posts: 183 |
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Thank you. I have been using this one for a while. DTC_LOGON_REQUEST_INTEGER_1_USE_MARKET_DEPTH_UPDATE_FLOAT_WITH_MS_MESSAGES = 0x80 These others, below, are new to me. I'm a little afraid of breaking stuff that is already working and debugged. I cannot seem to find any documentation about what these flags change. Could you let me know which messages are impacted or changed by these, and how? DTC_LOGON_REQUEST_INTEGER_1_SUPPORT_UNBUNDLED_TRADES = 0x4 DTC_LOGON_REQUEST_INTEGER_1_SUPPORT_MARKET_DEPTH_SNAPSHOT_LEVEL_FLOAT = 0x800 DTC_LOGON_REQUEST_INTEGER_1_SUPPORT_MARKET_DATA_UPDATE_TRADE_WITH_UNBUNDLED_INDICATOR_2 = 0x80000 DTC_LOGON_REQUEST_INTEGER_1_SUPPORT_MARKET_DATA_UPDATE_BIDASK_MICROSECOND_MESSAGE = 0x100000 |
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