Why are Intraday summaries not showing when the market is pulled?

ivan.lovrencic

Comparing the Market depth feed and Intraday summaries feed, I have noticed that Intraday summaries will not report empty when the market is pulled right before the end of the interval.

For example, in the RIC ES100R7 these were the market depth feed:

ES100R7,Market Price,2017-04-11T23:09:34.885504017Z,-5,Normalized LL2,,,,0.15,899,1,,,,,,,,,,,,
ES100R7,Market Price,2017-04-11T23:09:34.937508016Z,-5,Normalized LL2,,,,,,,,,,,,,,,,,,

As we can see in the second line, the market was pulled.

However, in the Intraday summaries (with a sampling frequency of 5 seconds), we can see the following:

ES100R7,,Market Price,2017-04-11T23:09:30.000000000Z,-5,Intraday 5Sec,,0.05,0.15,,,10,899
ES100R7,,Market Price,2017-04-11T23:09:35.000000000Z,-5,Intraday 5Sec,,0.05,0.15,,,10,899
ES100R7,,Market Price,2017-04-11T23:09:40.000000000Z,-5,Intraday 5Sec,,0.05,0.15,,,10,899

All three samples report the values from the first row, although we can see that right before the start of the 9:35-9:40 interval, the market was pulled so I would expect something like this:

ES100R7,,Market Price,2017-04-11T23:09:30.000000000Z,-5,Intraday 5Sec,,0.05,0.15,,,10,899
ES100R7,,Market Price,2017-04-11T23:09:35.000000000Z,-5,Intraday 5Sec,,,,,,,

Can someone explain to me why it is like that? Also, is there something I could do to change that?

zoya faberov

Hello @ivan.lovrencic and all,

Conveying the resolution summary from RTH content case:

"Please note that Intraday Summaries is creating on the fly using Tick History Raw data based on certain internal logical rules. The boundaries of RTH intraday summaries are represented by the first second of the bar. Example: 1minute bar "00:01"represents ticks starting from 00:01:00.000 and ending with 00:01:59.999

In this case; For 5 Sec interval, For 23:09:30 (it considers data from 23:09:30 until 23:09:34.999) and last non null values updated.

And in case of 23:09:35 (it considers data from 23:09:35 until 23:09:39.999) and we see data updated on raw feed during this time frame and same has been updated in summary interval.

Also, please note that the Bid or Ask values are persistent. For instance, if there is only Ask being updated on Raw, previous Bid values will be updated alongside Ask in Summaries data.

Additionally if you set the ‘Timebar Persistence’ to True; it carry over values from the previous bar to the next bar (optional). When false, persistence is disabled.
Which means for 5 sec bar; with Timebar Persistence as True, you would see tick for every 5 second even though there is no data on raw since previous values would persist.
However if you have Timebar Persistance as False, you will see data in summaries interval only if there are updates in the Raw feed.
In below summaries I extracted; you can see data at 23:13:50 after 23:09:35 since the timebar persistence was set to False; and there is no data between these intervals in raw feed.

5 Second Summaries:


Tick History Raw:

ES100R7 Market Price 2017-04-11T23:09:34.884989360Z -5 Raw UPDATE QUOTE
FID 25 ASK 0.15
FID 31 ASKSIZE 899
FID 3855 QUOTIM_MS 83374878
FID 3516 ASK_TIME1 09:34.0
FID 4147 ASK_TIM_MS 83374878
FID 6580 ASK_COND_N 1
FID 6554 NO_ASKORD1 1
FID 118 PRC_QL_CD 160
FID 1021 SEQNUM 32142456
FID 3887 SEQNUM_QT 32142456
ES100R7 Market Price 2017-04-11T23:09:34.937587624Z -5 Raw UPDATE QUOTE
FID 25 ASK
FID 31 ASKSIZE
FID 3855 QUOTIM_MS 72605657
FID 3516 ASK_TIME1 10:05.0
FID 4147 ASK_TIM_MS 72605657
FID 6580 ASK_COND_N
FID 6554 NO_ASKORD1
FID 1021 SEQNUM 32142472
FID 3887 SEQNUM_QT 32142472
ES100R7 Market Price 2017-04-11T23:09:38.824187463Z -5 Raw UPDATE QUOTE
FID 25 ASK 0.15
FID 31 ASKSIZE 899
FID 3855 QUOTIM_MS 83378819
FID 3516 ASK_TIME1 09:38.0
FID 4147 ASK_TIM_MS 83378819
FID 6580 ASK_COND_N 1
FID 6554 NO_ASKORD1 1
FID 118 PRC_QL_CD 160
FID 1021 SEQNUM 32142514
FID 3887 SEQNUM_QT 32142514 "