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guest (guest)
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| 11/12/2008 11:43 PM |
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Hello-
I am trying to figure out if I can do anything useful with the ultra type 'X' message. First of all, of the three events (add, cancel, trade), is there any restriction at all on which combination of the three may appear in an 'X' message? Or could any arbitrary combination have happened? I see that the link ID gets set in the case that a trade was part of the event. In this case, is there any way at all I can infer what quantity was traded? Even something that is only approximately correct? It would be nice if this feed could be used to count NYSE trade volumes accurately... but this 'X' message essentially destroys that ability, unless I am missing something. Thanks for your help... |
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Verona
Posts:59
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| 11/25/2008 10:26 AM |
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In response to your questions:
I am trying to figure out if I can do anything useful with the ultra type 'X' message. First of all, of the three events (add, cancel, trade), is there any restriction at all on which combination of the three may appear in an 'X' message? Or could any arbitrary combination have happened?
Answer: Any (and one or more of each) may appear in an 'X' message.
I see that the link ID gets set in the case that a trade was part of the event.
Answer: Yes, linkId is set only when a trade occurs.
In this case, is there any way at all I can infer what quantity was traded?
Answer: No, cannot infer the traded qty out of the X message with linkId.
We advise customers to subscribe to the NYSE Trades feed to get traded quantity. Please visit the product list at http://www.nyxdata.com/products. NYSE Trades Real Time is pending SEC approval. NYSE Trades EOD is available to Infotools customers via the ftp servers. NYSE Trades EOD can also be purchased separately. Please visit
http://www.nyxdata.com/nysedata/default.aspx?tabid=750. |
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