Posted: Sep 28, 2011 @ 11:07 AM             Msg. 1 of 15

On September 26 at 9:14AM CT our client software which connects to OEC API saw a huge discrepancy in the data received for ESZ1. We were running two clients and client 1 recorded 66988 trades with total volume of 241803. Client 2 recorded 3544 trades with volume of 11264. We believe client 2 to be correct.

Is there a particular reason that this might occur? We can send the tick files via email if you want to take a look.

Posted: Sep 28, 2011 @ 11:10 AM             Msg. 2 of 15

What environments were used to get data? What type of subscriptions and events were used to record data? Could you please provide usernames of these clients?

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Victor Vins
Lead Software Developer

Posted: Sep 28, 2011 @ 11:14 AM             Msg. 3 of 15

Can we email the usernames? Not comfortable posting them here since one of them is a Live account login. The other is a demo account.

Posted: Sep 28, 2011 @ 11:26 AM             Msg. 4 of 15

Sure. You can send it as Private Message

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Victor Vins
Lead Software Developer

Posted: Sep 28, 2011 @ 12:03 PM             Msg. 5 of 15

I see these users started their sessions at different time. So, what subscriptions and events do you use to accumulate trades?

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Victor Vins
Lead Software Developer

Posted: Sep 28, 2011 @ 12:43 PM             Msg. 6 of 15

We are calling SubscribeTicks, and listening to OnTicksReceived.

We're using the data received on this callback to aggregate traded volume at a price.

Posted: Sep 28, 2011 @ 12:59 PM             Msg. 7 of 15

Please send me these ticks, I will compare them with OEC Trader .

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Victor Vins
Lead Software Developer

Posted: Sep 28, 2011 @ 01:14 PM             Msg. 8 of 15

http://www.marketdelta.com/download/914ticks.zip

There are 2 files in the zip.
my914 is from the live login
oec_ticks... is from the demo login.

Posted: Sep 28, 2011 @ 01:29 PM             Msg. 9 of 15

Our Excel doesn't show more 64K rows.

Does it include any initial historical ticks?

Last/LastQty - are you sure you are using ticks, not quotes?

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Victor Vins
Lead Software Developer

Posted: Sep 28, 2011 @ 01:43 PM             Msg. 10 of 15

I have reposted as a csv so you can view in textpad or notepad. These contain data only from the single minute.
http://www.marketdelta.com/download/914ticks_csv.zip

It is tradeQTY, not quotes.

Posted: Sep 28, 2011 @ 02:07 PM             Msg. 11 of 15

Did you check time stamps of incoming ticks? I see SIM user started to load tick data at 09:14 AM CST and requested them for three previous hours. So, I think the first 64K rows (that appeared in the first 6 seconds according your logs) can include historical ticks.

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Victor Vins
Lead Software Developer

Posted: Sep 28, 2011 @ 02:38 PM             Msg. 12 of 15

Who is "SIM user"? Does this refer to the my914.csv file data?

In our application, we are calling OECClient::SubscribeTicks(contract, DateTime.UtcNow). Is that the correct usage?

(In the file oec_ticks_9.14th_min.csv, I see now that the timestamp there is the time-of-logging stamp, which is pretty meaningless for debugging this issue.)

Can you tell in your system that a specific user made a subscription request with a specific parameter? e.g. Can you see the request that THarnett81 made which specified 3 hours of history?

Posted: Sep 28, 2011 @ 04:04 PM             Msg. 13 of 15

We have figure out the issue: at that time we had internal network trouble and, as result, all current subscriptions were re-executed as-is. So, your application received all tick data starting since the request time. I will place to development queue a task to avoid re-sending historical data in such situations.

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Victor Vins
Lead Software Developer

Posted: Sep 28, 2011 @ 04:24 PM             Msg. 14 of 15

Thanks for the update Victor.

Is there potentially going to be a DLL change? Or something we'll have to implement?

Also, is there a way to get notified of updates/fixes/changes to the API? Some automated mailing list?

Please let us know.
Thank you.
John Vatianou
Connamara Systems
Project Manager
jvatianou@connamara.com
312-235-6772

Posted: Sep 28, 2011 @ 04:35 PM             Msg. 15 of 15

No, DLL will not be updated. This is definitely server-side issue.

I will publish changes inside OECAPI in this topic: http://www.openecry.com/cfbb/index.cfm?page=topic&topicID=579

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Victor Vins
Lead Software Developer