Joined: Apr 16, 2014
Posted: Jul 25, 2016 06:52 AM
Msg. 1 of 2
I was trying to get historical tick data for GC (Gold future). I noticed that a settle trade (basis for last='S') with an older time stamp came after a trade with basis for last='C'. I was getting historical tick data with oldest to newest order. Is this natural or an error? It was messing up my historical tick database.
The time stamp in question was 2016-02-08 14:14:59.
Joined: Nov 21, 2005
Posted: Jul 25, 2016 09:36 PM
Msg. 2 of 2
Hello, this is correct. Almost all tick timestamps are generated by the exchanges and/or data provider. We store our tick data in the order it was received and processed so it is possible for the timestamps to be out of order chronologically in our historical data. This applies to settlements as well.