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Hello everybody,
I'm using the request time sales function to get trade data for the S&P 500 futures contract "ES H5".
However, sometimes the lFlags bit field (which should indicate whether the trade was a bid, ask, below bid, or above ask) has a value of 0. I already filter for DataType to be tsdTrade, so I should only be getting trade data. Does anybody know why the lFlags bit field is sometimes 0? The eSignal documentation has no mention of a 0 value.
If the 0 value is being sent by the exchange, how should this data be processed? Should I just assume the trade is of the same type as the most recent trade where lFlag was non-zero?
Can eSignal shed some light on this?
Thanks,
Michael
I'm using the request time sales function to get trade data for the S&P 500 futures contract "ES H5".
However, sometimes the lFlags bit field (which should indicate whether the trade was a bid, ask, below bid, or above ask) has a value of 0. I already filter for DataType to be tsdTrade, so I should only be getting trade data. Does anybody know why the lFlags bit field is sometimes 0? The eSignal documentation has no mention of a 0 value.
If the 0 value is being sent by the exchange, how should this data be processed? Should I just assume the trade is of the same type as the most recent trade where lFlag was non-zero?
Can eSignal shed some light on this?
Thanks,
Michael