Support Board
Date/Time: Tue, 11 Mar 2025 18:01:58 +0000
Post From: Q: are depth ticks always recorded in chronological order?
| [2019-09-17 15:25:42] |
| uM8137 - Posts: 183 |
|
I'm looking through some of the SierraChart .depth ticks that were recorded from the CQG feed back in 2018 on the US 30 year treasury bond futures. There are many cases where the timestamps are badly out of order. Even though the timestamps are out of order, is there any guarantee of "first-in-first-out"? In other words, is the order of ticks recorded on disk the order in which they arrived? Or perhaps, does the timestamp on the depth update represent the time that quote was last updated? I'm trying to make the best of a bad situation. I haven't found a simple workaround. If I throw out the out of order ticks, I loose the majority of the data. F.US.USAZ18 from CQG:
date time (Chicago) dom ask dom bid update (new size not shown here). 2018-09-04 08:59:56.105414 143.18750 0.00000 2018-09-04 08:59:56.106415 143.21875 0.00000 2018-09-04 08:59:56.107415 143.25000 0.00000 2018-09-04 08:59:56.108415 143.21875 0.00000 2018-09-04 08:59:56.109415 143.25000 0.00000 2018-09-04 09:00:05.000000 0.00000 143.12500 2018-09-04 09:00:05.001000 0.00000 143.12500 2018-09-04 08:59:55.999781 0.00000 143.12500 << huh? 2018-09-04 08:59:56.000781 0.00000 143.15625 << WAT? what happened to 09:00:05... 2018-09-04 08:59:56.001781 0.00000 143.15625 2018-09-04 08:59:56.002782 143.18750 0.00000 2018-09-04 08:59:56.003782 143.21875 0.00000 2018-09-04 08:59:56.004782 143.25000 0.00000 2018-09-04 08:59:56.005782 0.00000 143.15625 |