Support Board
Date/Time: Sat, 18 Jan 2025 05:01:47 +0000
Post From: Problem with AMP/CQG data feed (Singapore Exchange)
| [2018-01-17 23:29:35] |
| User626121 - Posts: 82 |
|
Hello! I have AMP/CQG data feed that I use to record the historical bid/ask data (SC runs constantly). But there is a problem with data of some symbols like Mini JGB of SGX exchange, symbol F.US.ZT?## (it has low volume/low number of trades in a given timeframe, so the problem becomes severe): The error is: Many trades have a wrong timestamp (Volume and Price are always correct, though). What this means: Many ticks have the same timestamp as their predecessors, although they obviously occur at a later time. I looked at Times&Sales and it shows many trades at e.g. 08:45:01.001, although the next trades occured at e.g. 08:55:50.001 (I have 2 other data feeds that can confirm this, also I watched the feed in realtime). So a 5 min chart shows a bar at 08:45, but not at 8:55 (it is missing). Problem is (next to wrong smaller timeframe charts), when I do e.g. a Bid&Ask Depth Bars study (cumulative bid-ask), it obviously shows no value at 08:55, although it should print a value. So the cumulative study is incomplete, obviously. Thanks |