Time & Sales Quotes

[Picks]

When downloading Time & Sales is it possible to get the inside bid/ask for each exchange, or is only the BBO available?

I haven't signed up for the API yet, but would like to know this before I try it.

[StarrM]

If you request data for a regional symbol, then all data returned will pertain to that exchange only. For example, IBM=N will return data for IBM on the NYSE only.

Click here for more info on regionals.

[Picks]

Thanks. Are the regional trades and quotes saved for 10 days?

[AChan]

That is correct.

[Picks]

Using a Time and Sales window in the eSignal application, I am only able to get regional quotes if they are collected in real time (for instance AMD=P). So it appears that regional quotes are not stored on the history servers, other than the overall composite Best Bid or Offer.

Is this true or am I doing something wrong?

Also I don't get any regional data for Nasdaq symbols (for instance MSFT=P).

[AChan]

Regional data should also be available. Entering MSFT=P in the eSignal T&S window should return PSE regional data.

[Picks]

It doesn't work for me. Entering MSFT=P returns "No Data". I'm not subcribed to Level II and I would think it may be available as part of Level II feed, but then again Level II is not accessible by the API. I also noticed the link provided on regional symbols only talks about Listed symbols.

NYSE symbols return historical regional trades, but regional quotes are only updated in Time and Sales if they are collected real time.

[StarrM]

How are you processing historical data? Or are you just looking at eSignal?

[Picks]

I am just evaluating eSignal right now, but I need to collect historical Time and Sales data on multiple symbols, including Regional Level I quotes for use in my own program. I was hoping this data was on the history servers so I could download it after hours without affecting the real time symbol limitations.

I was using the QCharts SDK for this. The Quote.Com Continuum servers have regional quotes included in the Time and Sales, but eSignal has discontinued the QCharts SDK.

[AChan]

During after hours, you opened an eSignal T&S window and you entered MSFT=P. After that, you are seeing the message "No Data" and no data gets returned. Is this correct?

When you try just MSFT, do you get T&S data at all?

[Picks]

Yes, MSFT=P always returns "No Data" after or during regular trading hours.

Entering just MSFT does return real time and historical T&S data, including regional exchange quotes that are at the composite BBO. However regional Level I quotes that are outside the composite BBO are omitted.

[dhh]

About TIMESALESFLAGS

TIMESALESFLAGS == tsfTRADEINSIDE (16)

Is the Inside flag about Broker's inside traders or about a Company's insiders such as CEO, top directors?