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»Forums Index »IQFeed Developer »IQFeed Developer Support »How to handle late reporting
Author Topic: How to handle late reporting (2 messages, Page 1 of 1)

SierraChart
-Interested User-
Posts: 25
Joined: May 23, 2006


Posted: Apr 11, 2008 12:42 PM          Msg. 1 of 2
We have one user who is asking about trades which are reported late and if we filter those out. In your level 1 data, do late reported trades have an old timestamp? Are there late reported trades? How do we identify them if they exist so they can be filtered.?

Here is the post from the user:

http://supportboard.sierrachart.com/showpost.php?p=88613&postcount=1

DTN_Steve_S
-DTN Guru-
Posts: 2086
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?").
 

 

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