TimeSalesData.lFlags

[damageboy]

Hi,
I can't seem to understand from the API documentation what is the source for the lFlags member in TimeSalesData.

I'm wondering since I want to know what does tsfTRADEATBID and friends actually mean.

Are the flags actually transmitted from the exchange or is it some heuristic employed internally by eSignal (either at the server or the client) to produce that data...

If it is transmitted by the exchange than of course that's pretty much it.

In case it's some sort of eSignal heuristic I would like to know how is this implemented since I have to be sure the data I'm reading is actually correct...


Many Thanks,
Dan.

[AChan]

Values from the lFlags are interpreted from the Exchange and populated.

[damageboy]

Thanks for the reply!

Could you please elaborate on how these fields are elaborated?

is there any chance they are wrong?
Is there anyway to detect that?
Does this work as-is for all exchanges or should I rely on this only for certain exchanges?
Is there anything that prevents me from re-implementing this my self through the data feed and get the same results?

Sorry for the long list of questions, I just find this area very touchy and I need to make sure I'm making the right decisions...

[AChan]

My apologies for the confusion. These flags are generated by eSignal based on quotes from the exchange. These flags are provided as-is and not guaranteed to be flawless.

Based on the symbols you are watching, you can obtain these flags during the day and catch for any discrepancies.

[AChan]

Sorry for the confusion. These flags are generated by eSignal based on quotes from the exchange. These flags are provided as-is and not guaranteed to be flawless.

Based on the symbols you are watching, you can obtain these flags during the day and catch for any discrepancies.

[damageboy]

OK, so if I get it right, eSignal, on the server side tries to match the last trade with the latest bid/ask that was reported by the exchange and generate the flags accordingly?

So in essence, the exchange is merely sending you Bid/Ask/Last and YOU (i.e. eSignal) are the ones matching them up and generating the flags....

did I get it correctly?

In case I DID, that means that if I download the bid/ask/trade data myself from eSignal and match them up on my own I should get the same results...
(assuming I'm using the same algorithm).

And one last question... regardless of all of the above questions is there some guarantee from the exchange that the bid/ask/last "streams" are sync'd up? i.e. that the dtTime member of the TimeSalesData class/struct is generated by the exchange and not by eSignal.... because that would be the only way that these flags (regardless who computes them) are actually meaningful...

[AChan]

Your understanding is correct.

According to the documentation, dtTime is a DATE value indicating when this bar data occurred, not necessarily the actual exchange time. However, you are welcomed to take advantage of these flags and calculate your own as needed. These flags are provided as-is.

[damageboy]

Thanks for the reply.

I'm puzzeled by your last comment though.

You said:

dtTime is a DATE value indicating when this bar data occurred, not necessarily the actual exchange time

But if I'm downloading TimeSalesData...
doesn't the dtTime of the TimeSalesData
indicate the time of the trade (or quote) as sent by the exchange? (rather than some eSignal server side timestamp).

For any kind of "ATBID"/"ATASK" interpolation to be meaningful, the time stamp of the trades/quotes/market depth MUST be generated by the exchange, that would be the only "safe" way to interpret where the trade occurred.

What is the origin of the dtTime field in TimeSalesData?
Is the origin the same for Trades and Quotes?

[AChan]

The origin of the dtTime is the Exchange time and we do not alter them in any way other than to ensure that they come in sequence. You can rely on them as needed to determine the time of trade and quotes. They should be reliable for your interpolation calculations.

[damageboy]

Thank you Anthony for all of your help and effort to make things abundantly clear for me

Hope I wasn't too much of a pain in the neck.