Hi,
In looking at the details of v5 of the IQFeed client, it now supports millisecond timestamps, as well as the market center for tick data.
I was also reading "Bulk classification of Trading Activity" available here:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1989555 It states in part:
"In equities, for example, there are now 13 exchanges (and a variety of
trade reporting facilities (TRFs)) sending data to the consolidated tape. The tape
marks trade and quote times when it receives the data, but this will be different from
the actual trade or quote time depending on the latency of the venue’s reporting
technology. Moreover, the aggregate tape is then a blend of all of these reports,
delivered at various latencies.
Most professional traders now purchase direct feeds of data from the individual venues rather than rely on the much slower, and arguably less accurate, tape data."
Which leads me to the question of which timestamps we are getting. Is IQFeed getting direct feeds from individual venues, or are you using the aggregate tape?
Thanks very much,
-Bob