SPMIB 1!-IDM via desktop API -- missing bids/asks

[BBOXMAN]

Hi,

(I'm using a different user name for this -- BOOXMAN, then the posting user -- recently switched and haven't applied (yet) for forum access)

I have a working eSignal desktop API application that works OK with CME e-minis, eurex, euronext, and IBEX futures. I'm attempting to add the SPMIB future.

When accessing the SPMIB future (SPMIB 1!-IDM), I'm getting somewhat wierd results:
1) The bid is stuck at zero, amount 0. (for approx. 2 hours, the span of this attempt).
2) The ask is stuck at 20090, amount 0. (for approx. 2 hours, the span of this attempt)
3) The transaction price seems to be acting OK, with the exception of:
a) No transaction reports between 4am to 4:10am (EST) -- which seems odd, this is a relatively liquid contract.
b) very frequently reported transaction prices of zero (much more frequent than the e-minis which have single-side quote updates).

I'm accessing 10 other symbols simultenously, and they are all behaving normally.

Any suggestions?

[BBOXMAN]

SPMIB -- screen shot of problem via VB example

Hi,

See attached screen shot of SPMIB via the VB application -- behaviour there is similiar to my application. (ASK/BID stuck at unreal values).

In eSignal itself (chart in tick by tick) I see bids and asks with values that "make sense".

Waiting for feedback.

Many thanks,

Ben

[AChan]

For the screenshot you attached below, can you tell us the time and date when it was being generated?

Can you also tell us the version and build information of the eSignal application you are currently running?

On another note, can you use the month year specific SPMIB M9-IDM instead of the 1! symbol used in eSignal charting.

[BBOXMAN]

1) With the VB sample: generated today (11/05/2009)-- at around 10:45 EST (5 minutes before I posted to the board) . I experienced the same problems with my own application during the entire day -- 02:30-09:30 EST.

2) I'm using eSignal version 10.3.1491.1162 (1/30/2009).

3) Will have an answer with the non-continuous contracts for you tomorrow (M9) -- Italian stock exchange is down for the night.
(I strongly prefer to work with the continuous symbol -- avoids the hassle of remembering to change)

[AChan]

We also recommend that you upgrade to the latest eSignal application version 10.4 which addresses some of the issues with retrieving data via the Desktop API for futures.

http://www.esignal.com/products/download.aspx

[BBOXMAN]

single-sided quotes in 10.4

Hi AChan,

I just tried upgrading to 10.4, and I see that in the e-minis (ES, YM, NQ) I now receive significantly more one-sided quotes (zeros in bid/asks) than before -- in fact every quote I receive seems to be one sided (at this non-active hour (2:00 EST) -- after reverting to 10.3 this returned to the previous situation)

In the past, I just ignored these (until I got a double sided quote) -- however this doesn't seem to be an option ehre.

What's the correct logic for detecting these? A zero on the ask/bid price? A zero on the ask/bid amount?

What's the correct logic for handling these? Should I assume that the previous value (prior to the zero) is still in force?

Many thanks,

Ben

[BBOXMAN]

Version 1.4 -- no Bid/Asks for many European futures

Hi AChan,

I tried upgrading to 10.4.1574.925 (4/23/2009) -- and now I'm getting -NO- bid and ask information for several symbols for which I previously have received bid and ask information (via desktop API).

Specifically, for the US e-minis I do see bid/ask (always via a one-sided update).

For the European futures I subscribe to, when using continuous format (AX 1!-DT) I receive zeros in the bids and asks. Use of continuous futures is very important to me -- I'm following multiple contracts and switching can often go overlooked (and is at different dates, with some contracts switching every month and not every three).

For the FTSE future I'm receiving some odd information -- in additional to single sided updates (when subscribing to the M9 version) I'm also getting updates with a transaction price and no bid and ask price (both zero).

Awaiting feedback.

See screenshots for AX 1!-DT, AX M9-DT, Z 1!-DT, Z M9-DT from now (12/05/2009, 10:10 EST).

[AChan]

In eSignal 10.4, you will see significantly more single-sided bid/ask for futures as updates are sent as we receive from the exchange. Manual bid/ask pairing are eliminated. From the Desktop API, when you see a zero for bid or ask, it is single-sided and if both are zero, these are trades.

As for using 1! futures symbol within the Desktop API, it's currently not supported. I understand that you are seeing trades-only updates right now when 1! symbols are being used. Unfortunately, you will have to use the month/year specific symbology at the moment. The current contract for SPMIB is June 2009 (M9) and the next one after it rolls would be September 2009 (U9).

[BBOXMAN]

Hi AChan,

Thanks for your time.

Two quick questions:
1) will the 1! syntax (or any other syntax to retrieve the front month) be supported in a future eSignal version (and if so, approx. when)?
2) I understand from your response that the timing of the incoming quotes is better from the previous version (10.3)? What sort of latency improvement are we dealing with? (100ms? 1 second?0

With the current state, I'm considering whether to run with the 10.4 or 10.3 -- the operational hassle on my side is significant.

Many thanks,

Ben

[AChan]

The 1! syntax is already supported in the eSignal application. It does indicate the front month when you use it within the quote window. However, from the Desktop API, you will need to use the M9 syntax to retrieve real-time streaming data. There is currently no ETA to support the 1! syntax for the API.

Between 10.3 and 10.4, it is not my intention to indicate the timing of incoming quotes are better with 10.4. It's just that you will see more single-sided quotes in 10.4.

Right now, we do recommend that you stay with version 10.4. When using the Desktop API, please use the month/year specific syntax for futures and be prepared to handle single-sided bid/ask updates.

[zigglzworth]

Failure to retrieve Bid/Ask quotes via Desktop API

Hello,

I am using the latest version of Esignal Desktop API and am unable to retrieve Bid/Ask quotes on
any symbols (stocks/options/futures) I am using the correct symbology and am able to retrieve all other data related to the symbol but not Bids/Asks.
Esignal API team has informed that this is a problem on their side but I have not got a response as to when I can expect this issue to be fixed and what the problem is. Can you please help with this.

Thankyou.

[StarrM]

Hi,

This should be fixed in the next maintenance release of eSignal, slated for release late next week.

Thanks,
Starr

[AChan]

eSignal 10.4 maintenance release build 1608 is now available for download here:

http://www.esignal.com/products/download.aspx

Note that SPMIB M9-IDM is changed to FTMIB M9-IDM.

[BBOXMAN]

Build 1608 -- 1! syntax?

Howdy,

Tried build 1608 tonight, I see that the 1! symbology is still not completely functional (transaction prices are reported when using 1!, bid/asks aren't)-- I've reverted back to 10.3.1491 (where this does work).

I'm using the eSiganl API as part of a much larger operational system -- updating the disparate symbols after each expiry manually will ultimately lead to serious errors.

I actually would've been happy to implement searching for correct symbol my self -- but there the API doesn't contain functionality allowing for searching of symbols and retrieval of meta information regarding said symbol (such as actual expiry date).

[AChan]

The 1! symbology is not supported for use with the Desktop API. While it may have worked in previous editions, it was not intended to be. It should be used within the eSignal application only.

To obtain the last/bid/ask price updates, you will need to use the month year specific symbology.