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»Forums Index »Archive (2017 and earlier) »IQFeed Developer Support »Timestamps in 5.0

Author	Topic: Timestamps in 5.0 (10 messages, Page 1 of 1)
AHA -Interested User- Posts: 37 Joined: Jan 31, 2012	Posted: Jan 30, 2013 10:49 AM Msg. 1 of 10 Q,XGH13,7805.50,1,7805.50,7806.50,16,25,11:31:41.114,11:31:42.044,11:31:42.044,C Q,XGH13,7805.50,1,7805.50,7806.00,16,5,11:31:42.154,11:31:42.154,11:31:42.044,ba Q,XGH13,7806.00,4,7805.50,7806.00,16,5,11:31:42.154,11:31:42.154,11:31:42.018,C Fieldset: Last,Last Size,Bid,Ask,Bid Size,Ask Size,Ask TimeMS,Bid TimeMS,Extended Trade TimeMS,Message Contents (I'm using Level 1 via TCP/IP) Question 1: Why is the timestamp in row 1 (11:31:42.044) older than in row 3 (11:31:42.018) although trade in row 3 occured after trade in row 1? Question 2: I would like to use field Last TimeMS, but it's always empty. Which field is the replacement for Last Trade Time? The wrong timestamp applies also to bid and ask quote.
DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005	Posted: Jan 30, 2013 01:22 PM Msg. 2 of 10 I have verified that the timestamps are correct and that the order the way we received them (and thus the same order we sent them out). The Extended Trade TimeMS field is the direct replacement for the time portion of the old Last Trade Time field since it updates with both Last-Qualified trades and Extended Trades. Last TimeMS would be the correct field to use if you are only interested in last qualified trades. Unfortunately, it looks like there is a bug in the IQFeed 5.0 beta causing this field to not get populated.
AHA -Interested User- Posts: 37 Joined: Jan 31, 2012	Posted: Jan 30, 2013 02:16 PM Msg. 3 of 10 As you confirmed the correct order of the trades - 7806 was traded later than 7805.5. The timestamp at 7806 is 26 milliseconds earlier than the timestamp at 7805.5. How could you verify that this is correct?
DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005	Posted: Jan 30, 2013 02:33 PM Msg. 4 of 10 I simply verified the data we recieved was the same as the data we sent out.
AHA -Interested User- Posts: 37 Joined: Jan 31, 2012	Posted: Jan 30, 2013 03:04 PM Msg. 5 of 10 Does that mean the exchange or 3rd party data provider does send wrong timestamps??
DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005	Posted: Jan 30, 2013 03:08 PM Msg. 6 of 10 Yes, the exchanges send trades out of order chronologically occasionally.
AHA -Interested User- Posts: 37 Joined: Jan 31, 2012	Posted: Jan 30, 2013 03:45 PM Msg. 7 of 10 Steve, that issue is not occasionally. As I checked with my other feeds, this problem does apply only to EUREX feed. Every timestamp (Last, Bid and Ask) is limited from HH:MM:SS.000 to HH:MM:SS.254 I recorded 48000 bid quotes, 16050 quotes are wrong I recorded 49000 ask quotes, 16800 quotes are wrong I recorded 32500 last trades, 3600 trades are wrong Please do check that issue on your site and with your 3rd party providers, as it seems to be a data type bug (using the "byte" data type) .
DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005	Posted: Jan 30, 2013 04:07 PM Msg. 8 of 10 My apologies. I am seeing the same thing (no ms > 254) which I agree has to be a bug somewhere along the lines. We are looking into this.
AHA -Interested User- Posts: 37 Joined: Jan 31, 2012	Posted: Mar 20, 2013 04:08 PM Msg. 9 of 10 TimeStamp still is wrong. I do not receive the 1/1000 part of second. HH:SS:MM:abc where c is always zero. This bug exists since 2/11. On that day the >254 ms bug was fixed. The missing 1/1000 only applies to EUREX.
DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005	Posted: Mar 20, 2013 04:45 PM Msg. 10 of 10 Unfortunately, we only get 100ths of a second from the EUREX exchange.