I use protocol 5.1 (also tried 5.0) when I subscribe to the Lookup socket. When I request tick data (fx data, such as EURUSD.COMP the tick data that is returned includes the Date and Time BUT not any milliseconds. Milliseconds is always "000". Why is that the case and how can this be solved?

Thanks
Matt

I don't believe Forex publishes the millisecond activity, but I will confirm with our market data team when they come in.

Tim

Well, I would be very surprised if they do not because several ticks per second are received for each symbol. That should definitely be on the to-do list for the next release (if it is not) because it makes using tick based data pretty impossible for low-latency sensitive use.

I am sure it is something they would like to add, but I have no ETA on seeing it. I will see if there is anything on the horizon I haven't heard of and let you know.

Tim

I see the same lacking on Level1 quote subscriptions for fx. Can you confirm that milliseconds are also not reported on Level1 quotes? I do not understand why your servers would not time stamp everything that comes in, regardless of asset class? (unless of course it is already exchange time stamped)

By the way could you please let me know the field descriptor to specify in "Select Update Fields" in order to have a full time stamp (with date) returned. I do not see dates returned right now for Level1 quote subscriptions. I currently use "Bid TimeMS", "Ask TimeMS", and Last TimeMS", so how can I get the full date & time returned? Thanks


Edited by bbmat on Mar 31, 2014 at 04:19 AM
Edited by bbmat on Mar 31, 2014 at 04:21 AM

That is correct, we do not have millisecond on level one as well. We do not timestamp any of the data, the milliseconds displayed with other exchanges is exchange sent, not DTN created. I believe this is a feed limitation, but as I mentioned I do have an email out to confirm this and I will report back once I know for sure.

Tim

got it, regarding my last line in the previous post,

"By the way could you please let me know the field descriptor to specify in "Select Update Fields" in order to have a full time stamp (with date) returned. I do not see dates returned right now for Level1 quote subscriptions. I currently use "Bid TimeMS", "Ask TimeMS", and Last TimeMS", so how can I get the full date & time returned?"

Could you please point me to the right field?

I do not believe there are date fields available for bid and ask since we do not have historical bids and asks, but I will confirm that as well.

so how would you deal with the fact that the stream continues throughout a date switch? Anyone who does not deal with EST as local time needs to convert to UTC or local time which makes it very error prone if no date can be retrieved.

I am not sure I understand the question, wouldn't the reset of the time to 00:00:00 be the identifier you would need to know the date switched?

Tim

no I would not because the EST time 00:00:00 would show on my machine as 12:00:00 noon (12 hours ahead) and no date switch would be made. My problem is that I want to convert all time stamps to UTC datetime and right now the date portion is missing on streaming data.

I don't think I have a way to help that one unfortunately, about the best you could do is watch the timestamp messages that we send each second to level one and populate a date field that way and prepend that date to the timestamp.

Tim

got it, thanks.

I confirmed that Forex does not place a millisecond timestamp on their quotes, so there is nowhere to get an accurate millisecond timestamp from.

Tim

Thanks for checking.

Not wanting to open another topic, could you please let me know what the cutoff time is for fx data when requesting historical DAILY data? What is the time at which the Daily Close of a compressed data point is taken? Is it midnight EST?

We close them at 5:00 pm EST.

Tim

Thanks

No problem. Let me know if anything else comes up.