Support Board
Date/Time: Mon, 25 Nov 2024 23:32:12 +0000
Post From: Version 1047: Millisecond time stamping
| [2013-11-29 00:35:45] |
| TastyRisk - Posts: 119 |
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The trades do not have millisecond timestamps, but the fix message which contains multiple trades does have a sending time that has milliseconds.
I thought about this and came to realise that when the exchange receive a marketable order (can be matched) there exists the possibility that other trades could be triggered. For example; stop orders and some other other resting order types. I speculate that the above is the reason why information is sometimes "bundled" onto the egress of the MDP Gateway with the same time-stamp / into one message. In this case, all the trades effectively happened at the same time... Although I am interested to know if sequential order is maintained. So, If I understand correctly; the present data structures in SC would easily allow MS support but there would be no "room" for the existing sequence count without a major overhaul that would break compatibility ? OK, I'll wait for the new SC v2.00. 64-bit and Milli/Micro second support *with* extended sequential trade flag. :-) Regards. Date Time Of Last Edit: 2013-11-29 00:54:15
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