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I have received an answer from DTN IQFeed about EUREX feed. As always with them, quick and very precise.
DTN IQFeed send to their clients exactly the data they receive from EUREX, with no filtering or altering.
DTN IQFeed have checked in the feed, and they have observed the same behaviour as the one I underlined above (with the colors).
For instance (this is my example, not theirs):
[108761] Update without trade: Ask = 458 @ 2484.00 - Bid = 270 @ 2483.00 | 2012-08-21 02:42:29
[108762] New trade at the BID: 10 @ 2483.00 - Ask = 458 @ 2484.00 - Bid = 270 @ 2483.00 | 2012-08-21 02:42:29
[108764] Update without trade: Ask = 487 @ 2484.00 - Bid = 216 @ 2483.00 | 2012-08-21 02:42:29
--> 270 - 10 is not equal to 216.
DTN IQFeed have even sent me a snapshot of the EUREX T&S data they see with a similar example, to confirm that they observe the same phenomenon.
So, at this stage, my preliminary conclusion is that this "issue" is not due to my coding or to DTN IQFeed, but to the way EUREX send their Level 1 T&S messages.
I have just written to EUREX. We'll see...
Nicolas
The following 2 users say Thank You to Nicolas11 for this post:
Reminder... I expected that: Bid size shown in next "quote update" message after a trade at the bid = bid size before the trade minus size of the trade
It is the case for CME.
It is not the case for EUREX.
Below please find their explanation.
In short, and as far as I understand, the "quote update" messages are not a continuous feed reflecting all updates of inside bid / inside ask. It is more a "snapshot" sent regularly.
So, between the trade and the next "quote update" message, inside bid/inside ask might have already undergone several actual updates.
Nicolas
The following 3 users say Thank You to Nicolas11 for this post:
