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My tick replay just doesn't work at all. When it downloads the data, there's a lot missing, and I'm getting incomplete quotes. The quotes I am getting have only a bid or an ask in them, the other field is zero in the EPF file that it downloads.
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EPF download issues
Lately the EPF files I've been downloading are incorrect. There are two issues.
First, we must be missing values because we get long tracks of trades without any quotes in between, such as:
Q,090401,215817,0,819,0,53,,
T,090401,215818,818.75,6,
T,090401,215818,819,1,
T,090401,215818,819,1,
T,090401,215818,819,1,
T,090401,215818,819,1,
T,090401,215818,819,2,
T,090401,215818,819,47,
T,090401,215818,819.25,1,
T,090401,215818,819.25,75,
T,090401,215818,819.25,1,
T,090401,215818,819.25,21,
T,090401,215818,819.5,1,
T,090401,215818,819.5,81,
T,090401,215818,819.75,1,
T,090401,215818,819.75,95,
T,090401,215818,819.75,3,
T,090401,215818,819.75,1,
T,090401,215818,819.75,1,
T,090401,215818,819.75,2,
T,090401,215818,819.75,1,
T,090401,215818,819.75,2,
T,090401,215818,819.75,3,
T,090401,215818,819.75,10,
T,090401,215818,819.75,11,
T,090401,215818,820,1,
T,090401,215818,820,238,
T,090401,215818,820.25,1,
T,090401,215818,820.25,27,
T,090401,215818,820.5,1,
T,090401,215818,820.5,11,
T,090401,215818,820.5,1,
T,090401,215818,820.5,2,
T,090401,215818,820.5,2,
T,090401,215818,820.5,2,
T,090401,215818,820.5,6,
T,090401,215818,820.5,3,
T,090401,215818,820.5,3,
T,090401,215818,820.5,6,
T,090401,215818,820.5,6,
T,090401,215818,820.5,6,
T,090401,215818,820.5,6,
T,090401,215818,820.5,6,
T,090401,215818,820.5,6,
T,090401,215818,820.5,1,
T,090401,215818,820.5,1,
T,090401,215818,820.5,1,
T,090401,215818,820.5,1,
T,090401,215818,820.5,1,
T,090401,215818,820.5,1,
T,090401,215818,820.5,2,
T,090401,215818,820.5,1,
T,090401,215818,820.5,1,
T,090401,215818,820.5,4,
T,090401,215818,820.5,22,
T,090401,215818,820.75,6,
T,090401,215818,820.75,4,
T,090401,215818,820.75,3,
T,090401,215818,820.75,2,
T,090401,215818,820.75,1,
T,090401,215818,820.75,18,
T,090401,215818,820.75,51,
T,090401,215818,821,5,
T,090401,215818,821,66,
T,090401,215818,821,1,
T,090401,215818,821,2,
T,090401,215818,821,1,
T,090401,215818,821,2,
T,090401,215818,821,1,
T,090401,215818,821,1,
T,090401,215818,821,12,
T,090401,215818,821,87,
T,090401,215818,821.25,1,
T,090401,215818,821.25,1,
T,090401,215818,821.25,1,
T,090401,215818,821.25,1,
T,090401,215818,821.25,1,
T,090401,215818,821.25,1,
T,090401,215818,821.25,20,
T,090401,215818,821.25,1,
T,090401,215818,821.25,24,
T,090401,215818,821.5,1,
T,090401,215818,821.5,74,
T,090401,215818,821.5,1,
T,090401,215818,821.5,4,
T,090401,215818,821.5,2,
T,090401,215818,821.5,1,
T,090401,215818,821.5,2,
T,090401,215818,821.5,1,
T,090401,215818,821.5,1,
T,090401,215818,821.5,1,
T,090401,215818,821.5,1,
T,090401,215818,821.5,2,
T,090401,215818,821.5,1,
T,090401,215818,821.5,1,
Q,090401,215818,818.5,0,34,0,,
And second, all our quotes have only bid or ask values, they no longer show bid and ask values at the same time:
Q,090401,215819,819,0,7,0,,
Q,090401,215819,819,0,7,0,,
Q,090401,215819,0,819.75,0,7,,
Q,090401,215819,819,0,8,0,,
Q,090401,215819,0,819.5,0,1,,
Q,090401,215819,819.25,0,1,0,,
Does anyone know what is going on? Note: the values here are taken from an ES #F tick download using version 10.4.1540.1035. The file does not replay properly in eSignal either.
Thanks,
John -
Hello John,
It is unusual that we would see such a large number of trades in a short time span coming through during the evening session. I've verified with Reuters that during the time frame this is what was sent from the exchange.
The single side quotes you're seeing was instituted from the CME around the beginning of the year. So there are going to be time more often the not that you'll get either the bid or ask but not both together.And second, all our quotes have only bid or ask values, they no longer show bid and ask values at the same time:
Q,090401,215819,819,0,7,0,,
Q,090401,215819,819,0,7,0,,
Q,090401,215819,0,819.75,0,7,,
Q,090401,215819,819,0,8,0,,
Q,090401,215819,0,819.5,0,1,,
Q,090401,215819,819.25,0,1,0,,
AveryH
eSignal SupportComment
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Ok, if that's the case, I have two questions:
1. How do we know when a zero value is actually legitimate (i.e. there are no bids or there are no asks)?
2. How do we find out the first bid-ask spread of the requested interval? Do we have to over-request beyond the intended interval until we find the last bid/ask that completes the spread?
Thanks,
JohnComment
Comment