FAQ
Connectivity
Our core technology processes a typical event stream at 60 microseconds on average. Delays may result from various factors like the connection quality, the client's code, or the distance between the endpoint and the client.
Java, C#, and FIX API provide the lowest latency. REST and Python API provide slightly higher latency.
To measure latency use this QDS command: qds compare <endpoint1> Quote <symbol> -A <endpoint2> -c stream -s 10. The -s parameter returns statistics for the last n seconds.
Read more about QDS Tool.
Yes. Some data feeds require several endpoints due to technical reasons (e.g., Nasdaq basic and CTA/UTP feeds), and not all data feeds can be merged.
In most cases, having several endpoints will increase the service cost.
IPO process
All US exchanges begin publishing market data on the day of IPO. That means, new symbols appear in our data feed only after they have started trading. On the day of the IPO, the new symbol first appears in IPF. A little later, once public trading begins, the quotes begin ticking. The date and time are not provided in the data feed beforehand.
Info
New instruments begin trading on all US exchanges simultaneously.
That said, we suggest following the exchange’s and/or company’s Twitter accounts since information is usually published there.
Info
To start receiving market data for the requested symbol on time, be sure you subscribe to it beforehand. For this, you’ll need to wait for dxFeed IPF to update, or use the ticker published on the exchange website.
For Nasdaq IPOs, dxFeed may receive free format messages prior to the start of trading hours. This is our log format. Example:
I 201117 075025.790 [Receiver-bin-ny-utdf-06-B] SIACLine-bin-ny-utdf-06-B - Administrative message: IPO PRICE AT 09:50 DGNS 1000....NASD
It says here that the DGNS IPO should start trading (or probably just start accepting bids) at 09:50 and the IPO price is set at $10. We then post this IPO price to Summary.PrevDayClosePrice. When the quotes start going out, you can read the net change relative to the IPO price. In the morning of the IPO, the exchange accepts applications for DGNS. At the end of this process, all received orders are matched with each other and published as one mega-deal. After that, normal trading begins. Here is an example for LAM stocks:
#=TimeAndSale EventSymbol EventTime Time Sequence ExchangeCode Price Size BidPrice AskPrice SaleConditions Flags TimeAndSale DGNS 20201117-102657.311-0500 20201117-102657-0500 311:1 Q 11.23 1032536 NaN NaN "@O X" 22532
Read more about the Nasdaq IPO process. dxFeed starts getting data from the exchange on step 4. The exchange determines the exact execution time.
Read about the NYSE IPO process here. dxFeed starts getting data from the exchange on step 9. The exchange determines the exact execution time.
Calculations and methodology
Black-Scholes and Binomial models are used to calculate Greeks.
Yes, dividends and splits apply to stocks and options.
dxFeed data services
The limit on real-time data: the HTTP request header should not exceed 128k for the REST API.
The limit on historical data is historical data market depth. Historical data is available from 2009 for some markets. Some events can be requested only 1000 ticks back.
For historical data, dxFeed has developed an algorithm that uses a compression factor technique to parse, index, and store data in the proprietary Compressed Data Format (CDF) with no data loss.
We have endpoints in Chicago, New York, Istanbul, Amazon Cloud (Northern Virginia), Frankfurt, and Zurich.
Instrument Profile Format (IPF) is a service that retrieves a list of securities and related information.
Go to IPF web service.
Use the provided credentials to check your subscribtion.
Use https://tools.dxfeed.com/ipf?help/ for help.
This can happen because of one or more of the following:
The symbol is out of your scope
The symbol name has changed
The symbol is no longer traded
Not all instruments are traded in real-time (e.g., CME block trades)
Please contact us if you encounter any problem.
You can find your account information in your welcome letter, or by contacting your account manager.
Go to Help Desk.
Fill out the form.
Wait for the support team to reply to your ticket.
You can also reach support via phone: +1-855-565-5536
Yes, but only from whitelisted IP addresses.
Please contact your account manager or dxFeed Solution Delivery team.
Exchange licenses
You need to purchase an exchange license If you represent a company.
Market data from Investor Exchange (IEX) and Members Exchange (MEMX) do not require any exchange license.
To use Morningstar, Mergent and Naviga you need to purchase a license. Please contact dxFeed Solution Delivery team for details.
Trial
We can add a new trial to your existing production connection. You have no restrictions during the trial period, apart from the duration.
Your account manager will contact you for your feedback when your trial is over. You have up to five business days to decide if you want to switch to production. You will need to sign our data services Customer Agreement contract to complete the switching process.
The trial period is two weeks.