Joined: Nov 21, 2005
Posted: Apr 11, 2008 01:02 PM
Msg. 2 of 2
IQFeed does not alter the timestamps sent by the exchange and they will be sent through at the time the exchange sends them without reguard to if it is "in order" or not.
So if a trade comes through at 14:00:00 that is timestamped 13:55:00, we will send it out with the 13:55:00 timestamp when it comes through at 14:00:00.
This very rarely ever happens to this extent ("off by a few minutes") but happens much mroe frequently on a "off by a few seconds" basis. It still isn't what I would deem a frequent occurance in the feed, but it does happen.
The only way you could really identify these trades would be to monitor the timestamp. If a trade comes in that is prior to the previous timestamp, you will know that they were sent out of order. But ultimately, you have to determine what criteria you would want to filter these on ("How late is too late?").