GetBasicQuote returning garbled quotes

[BBOXMAN]

Hello,
I am using DesktopAPI to access real-time data for about 8-10 symbols. When calling GetBasicQuote, the returned prices often are obviously incorrect: one of the bid/ask/last prices is either 0, or a value that fits one of the other symbols. I tried using the "C ActiveX Sample" from the file sharing here, and got the same results. How can I fix this?

Thanks,
A. M.

P.S. Both my program and the sample were compiled with VS 2008 (C++). I'm using the latest version of ESignal. Thanks!

[AChan]

What type of instruments are you monitoring? Have you tried our VB Sample in VB6? Do you encounter this issue when requesting data 1 symbol at a time? The issue you mentioned below appears to be a coding issue in terms of co-mingled data set.

[BBOXMAN]

Hello Anthony, thanks for the quick reply.
I didn't try the VB6 sample, I don't have that tool. The Desktop API sample in C++ allows only one symbol at a time, I observed this behavior with Nasdaq e-mini futures (NQ #F) as well as with others (app. same behavior observed when requesting multiple symbols). It is 100% not a coding issue, I made sure that there are no multiple calls to GetBasicQuote at a time.

Thanks again for the help,
A.M.

[AChan]

So this doesn't appear to be an issue with requesting BasicQuote for multiple symbols.

Can you compare the dataset you obtained from the Desktop API application with the data from the Time&Sales window in the eSignal application?

Also, it would be helpful if you attach some logs which shows the garbled dataset you are seeing. The zero-ed bid/ask could just be single-sided quote updates.

[BBOXMAN]

A typical output for ES #F looks like this:

ES #F | 869.75 2 | 869.50 869.75 266x323
ES #F | 869.75 2 | 869.50 28.09 1x323
ES #F | 869.75 2 | 869.50 869.75 263x326
ES #F | 869.75 2 | 26.29 869.75 263x2
ES #F | 869.75 2 | 869.50 869.75 278x316

I also tried the VB6 sample, I'm getting the same results there. Example from today:

Last = 819.75 Bid = 819.75 Ask = 19.63
Last = 819.75 Bid = 819.75 Ask = 820
Last = 819.75 Bid = 19.62 Ask = 820

I didn't see anything similar in the Times&Sales window, the data seems to be fine there.

Many thanks for the help,
A.M.

[BBOXMAN]

Multiple quotes -- addendum

When requesting multiple quotes (e.g. ES #F, NQ #F) many of the garbled quotes appear to be "crosses" between the two symbols (i.e. prices in the 800 range appearing in NQ, and prices in the 4000 range appearing in ES).

[AChan]

This appears to be a coding issue as you do not see the same issue in the eSignal Time&Sales window. Can you attach a code snippet which shows how you request basic quotes for two symbols?

As far as the VB sample goes, you can simply have two separate windows for basic quote by entering one symbol at a time and the Real-time Data button afterwards.

As for 19.63 Ask price when requesting data for ES #F, is this for one of the other symbol you requested? It's neither for NQ or ES I believe.

[BBOXMAN]

Desktop VB example: crossed/garbled quotes

See attached image with a cross from NQ to ES (marked with a red arrow).

This is with the Desktop VB sample as posted in the "activeX file sharing group" -- it wasn't modified in any way.

This also happens in several permutations of my own code in C++.

Some of the garbled quotes are not crosses (zeros are clearly not).

When viewing data in the eSignal application itself (e.g. with the tick view and two open charts) -- I'm unable to spot errors similar to what is seen via the desktop API.

[AChan]

I am unable to reproduce the issue within our VB sample at the moment. Can you tell us what version of eSignal application are you running?

[BBOXMAN]

eSignal version

Here's my version/exchange information: (from help->about)

Version: 10.2.1391.1120 (10/22/2008)
OPTIONS.DLL: eSignal Option Analytics Build 7, 05/07/2001
DBCAPI.DLL: Standard eSignal API 07/18/2008 (156)
Internet: 6.0.2900.2180

username: XXXX, version: eSignal, symbols: 2, EManager Version: 20080725, FI,File INTL,International / Full Capture PCFC,PC Full Capture SC1,Symbol Count 1 NSUB,News Subscriber Bit for Winros FSDDE,DDE Product Functionality AXQ,ActiveX Development Kit AXH,ActiveX 3rd Party User AXB,ActiveX Broker SQC,Streaming Quote Conflation Bit MFMM,Mutual & Money Market DB,Index EEI,Euronext Equity and Index Derivatives EUX,Eurex Indices DTB,Eurex (DTB) ENVI,Reserved for Euronext Volatility Indices ENSI,Reserved for Euronext Stategy Indices CBTE,Chicago Board of Trade eMini CMEE,CME Electronic NYL,NYSE Liffe Futures OPTI,Reserved for OPRA Indices ISI,Reserved for ISE Indices NYI,Reserved for NYSE Indices AMI,Reserved for AMEX Indices USI,US Market Indices NQI,Reserved for NASDAQ Indices DJI,Reserved for Dow Jones Indices IBX,IBOXX Indices DBGI,Deutsche Borse Indices & ETF EUB,EB.REXX Bond Indices EIBI,Euronext Indices Basic Services FTSE,FTSE Index Values NINTL,New International Data User FTSJ,Reserved for Johannesburg FTSE Indices Public Companies Knight Ridder (unrestricted) (K1) Public Companies Knight Ridder (restricted) (K2) Public Companies M2 (M2) Public Companies MarketWire (C5) Public Companies Dow Jones (C6) Public Companies UPI (UP) Public Companies PrimeZone (C8) Public Companies Asia (C1) Reserved for Public Companies () Public Companies Associated Press (AP) Public Companies Canada (C3) Public Companies Europe (C4) Public Companies US (C9) Comtex Public Companies (PubCo) Newswire (PC) AFX International Focus (ZE) AFX United Kingdom Focus (ZU) RTT Pro News (RN) AFX CNF News (RNS News) (RS) Dow Jones News Service with Story (DJ_STORY) PR Newswire (PR) Business Wire (BW) Comtex News Service (CT) Dow Jones Financial Wire (DF) ,

[AChan]

This issue has now been addressed by entitlement adjustment. Can you try again and see if the issue still persists?

[BBOXMAN]

Hello Anthony, it looks like this solved the major problem. We're still getting 0's in bid/asks in some symbols (e-minis) - can we fix this too?
Thanks!

[AChan]

0's in bid/ask updates are due to single-sided bid/ask and should not be considered as invalid data. This is common with futures like ES #F. If you see a zero for a bid or ask price, you can consider it as a bid only or ask only quote update.

[BBOXMAN]

Zero bid/ask

Hi,

I understand that this is as a result of eSignal receiving a single-sided update -- but this is clearly not the prevailing state in the market! (particularly in the highly liquid e-mini markets!)

When I do receive a zero bid or ask what should assume vs. the actual quote in the market? (e.g replace with the previous non-zero price+amount? / disregard all together?)

I've seen elsewhere in the forums, reference to a "conflation bit" that can be configured on an account basis that can solve this with some drawbacks (more incoming data?) -- Is this still relevant? What's the drawback in terms of bandwidth if it is still relevant?

my application requires very low latency vs. market data; Fidelity of incoming data is also quite important.

[AChan]

Adding conflation to your account is irrelevant in removing single-sided (zeroed) bid/ask updates from the Desktop API.

Since every update from the Desktop API is coupled with a bid/ask and last price, zero is used to indicate single-sided bid/ask. This bahavior will not change.