Support Board
Date/Time: Tue, 26 Nov 2024 01:59:13 +0000
Post From: Version 1047: Millisecond time stamping
| [2013-11-27 12:52:49] |
| jesslinn - Posts: 108 |
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Do I correctly understand from the engineering response that SC truncates the incoming timestamp to the second and then increments the milliseconds for each tick from a particular instrument that truncates to the same second? Presumably the difficulty of keeping the vendor timestamp is that even at millisecond precision there may be duplicate timestamps which you want to avoid. If you want unique timestamps, since you are using a double to represent time, why not increment the microseconds or even nanoseconds. If you did that you could probably have unique timestamps for every piece of information across all instruments. There may be a great deal of interest in supporting external timestamps for vendors that provide them from the exchanges. I certainly would be interested in that. Data vendors who provide exchange time stamps are attempting to support the growing interest in automated trading and multi-instrument strategies that may depend on when a trade happens relative to another trade from a different exchange. You are correct that most people do not need milliseconds but an ever growing number want them. Milliseconds can have a great effect on the accuracy of charts and always have. The biggest problem historically has been comparing bars from vendors who decide to put there own timestamp on a tick rather than keep the exchange timestamp. If a trade happens close to a bar boundary it can easily appear in one bar or the other depending on how the exchange, the aggregator, the data vendor, and the charting software handled the timestamps. Even more important is the effect that improper timestamps can have on multi-instrument strategies. This is a blurb from iqFeed's website: Millisecond timestamps DTN IQFeed’s new millisecond timestamps show software developers and traders the exact time of each trade - as provided by the exchanges — with single millisecond precision. While most of our top third-party software partners are working to add support for our millisecond timestamps, you can see it today with Multicharts (www.multicharts.com) software — our first partner to release a display for this new level of IQFeed data. I recommend that Sierra Charts jump on this bandwagon. Exchange timestamps are much improved from the old days and if any vendor supplies them, it would be nice to use them. |