eSignal feed

[ahhaha]

For the last 2 days the feed hasn't been providing bid/ask information on most stocks. It only has been providing trades.

Does anyone know if this is caused by a change in Esignal's feed filtering?

Or is it caused by other problems which will be resolved so that we get bid/ask info again?

[ScottJ]

Hi,

We are still sending all bid/ask data as usual. Are you looking back for historical bid/ask data? If so, are you trying via a time&sales window or a chart?

Thanks.

[ahhaha]

No, but the historical data going back two days is similarly affected. For example, a T&S display of today's AAPL trading shows only trades.

I'm using Qcharts 6.0.11 with the Esignal feed.

I alerted an associate today who emailed me this:

"This is an eSignal issue. Check the eSignal time and sales and you should see the same thing. When it first fills in with history data there are no bid/ask quotes. I don't know why it has started doing this unless they've made server changes to conserve bandwidth.

Regards,

Dave DeLuca
Tradeworks Software "

[eSignal_AveryH]

Hi Dave,
Could you please check to see if you have the “Filter Type” checked? By right clicking on the T&S window and selecting filters. If so, could you please uncheck the “Filter Type” and see if you get the Bid/Ask data long with the Trades.

Once we can confirm the B/A and trades are being displayed you can the go back to filtering should you decide too.

AveryH
eSignal Support

[ahhaha]

Could you please check to see if you have the “Filter Type” checked?

As we've discussed via email the problem isn't of that nature, but is associated with eSignal's need to throttle the throughput. Trying to swallow all that artificially generated phantom B/A garbage causes the servers to slow, or in Qcharts, forces the developers to write new versions which eliminate the B/A atomic actions locally so only executions show in the trace.

Thanks for recovering my account.

[ahhaha]

Confirmed.

B/A data is no longer being provided on an historical basis through eSignal. Also, during the trading day the feed only provides it briefly.

[ScottJ]

We've been analyzing the use of historical b/a data for the past 6 months and feel the vast majority of our users do not need access to historical bid/ask prices. Due to a number of issues we encountered last week, we have turned OFF the collection of b/a data on some tick servers.

The good news is that the trade-only tick servers are far more responsive w/o bid and ask data so charts load much faster. The downside is the absence of that data.

Not to worry though. We should have a new routing bit available next week so those users that need historical b/a will be sure to get routed to those servers that still store bid/ask prices.

Hope that makes sense.

Thanks.

[ahhaha]

[Not to worry though. We should have a new routing bit available next week so those users that need historical b/a will be sure to get routed to those servers that still store bid/ask prices.

Hope that makes sense.]

Makes a great deal of sense. I have been requesting a solution like this for many years.

My own preference is to retain only trades, and Best Bid and Best Ask quotes, in the stream (trace). Bid and Ask quotes are just ECN generated phantoms and pick off trader limit orders which have no informational value, but which generate a whole lot of garbage that clogs the system and ruins it for everyone. Also, these spurious bids and asks always are conditioned by the state of the principal exchange and its abiding Best Bid and Best Ask so they're derived reports.

I recognize that there would be a 30 millisecond hit on performance to remove the garbage from the trace during processing of the input feeds. However, it isn't possible for any trader to operate within this short time frame. Just a suggestion if data volume continues to grow at an exponential rate.

I assume that you will tell us how to point to the B/A servers. Probably, you don't know about QFAI which accomplishes a similar pointing in the older versions of Qcharts. Also, will we be able to get say, the previous 10 days of B/.A data, as has been the normal historical reachable frame? I maintain historically contiguous every atomic action charts and right now they have major non contiguity.