Time & Sales: 95% of lFlags = 0?

[ondafringe]

Using Excel 2007/VBA and the API to bring in T&S on stocks, but at least 95% of the lFlags are set to 0 (Undertermined). Opening and using the T&S window in eSig gives the same result.

This is my filter:

tsFilter.sSymbol = "AA"
tsFilter.bQuotes = False
tsFilter.bTrades = True
tsFilter.lNumDays = 1
tsFilter.bFilterPrice = False
tsFilter.bFilterVolume = True
tsFilter.lVolume = 10000
tsFilter.bFilterQuoteExchanges = False
tsFilter.bFilterTradeExchanges = False

It doesn't just happen with AA, either.

What needs to be done to correct this? Does this have something to do with the conflation bit I have read about?

George

[AChan]

Conflation only applies to quotes only and since you are only requesting trades data, it's irrelevant.

The lFlags field from the Time&Sales structures should not be zero. We are unable to reproduce the issue below. Can you attach a code snippet showing how you are processing this field?

[ondafringe]

I now know where all those lFlags=0 were coming from.

Apparently, once after-hours trading stops, that current day's session suddenly becomes the previous day's session, and almost all of the lFlags information is 0'd out at that time. Since I was playing around with the API and T&S late in the evening, I was getting lFlags = 0. During market hours today, I did't have that problem, but did see it again this evening.

Okay, one mystery solved.

However, during market hours I do see quite a few lFlag values like: 16, 272, 514, 520, 1025, 1032. The majority of the time those numbers show up during pre-market and after-hours trading. The documentation I have on lFlags doesn't have any info pertaining to those values. Do you have a complete list of lFlag values you could post, or could you tell me what the above values indicate?

Thanks,
George

[AChan]

The lFlags values are described at the end of chapter 4 of the Desktop API documentation. The value can be a combination of the following:

tsfTRADEASK 0x00000001
tsfTRADEBID 0x00000002
tsfTRADEABOVEASK 0x00000004
tsfTRADEBELOWBID 0x00000008
tsfTRADEINSIDE 0x00000010
tsfQUOTEBID 0x00000020
tsfQUOTEASK 0x00000040
tsfFOMUPTICK 0x00000100
tsfFORMDOWNTICK 0x00000200
tsfFORMT 0x00000400

[ondafringe]

Okay, I think I have it.

One of the lFlag values I was seeing in my watch list as I stepped through the code was 1032.

The hex representation for decimal 1032 is: 0x00000408

That corresponds to the following two lFlag values:

tsfTRADEBELOWBID 0x00000008
tsfFORMT 0x00000400

I understand what all the lFlag values mean except for tsfFORMT. What does that mean?

Thanks,
George

[AChan]

FORMT refers to pre/post market hours.

[ondafringe]

Okay, I'm good to go.

Appreciate your help.

George