Support Board
Date/Time: Fri, 07 Nov 2025 07:25:59 +0000
Post From: Update Frequency of Replayed Market Depth Data
| [2020-05-21 22:47:28] |
| j4ytr4der_ - Posts: 947 |
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From the documentation: Time stamping of market depth data is to the second. There is no millisecond time stamping used at this time. This means during a second, all of the market depth updates will occur at once and not be spread across a single second. So you may notice a burst of changes at once within a single second.
Can this be improved upon at some point? I would very much like to be able to replay market depth data and use it for mechanical trading practice, but having the data jump every 1 second makes this impossible. I thought I had read that you were working on millisecond updates for this, but maybe that was referring to something else. |