Support Board
Date/Time: Tue, 11 Feb 2025 13:45:19 +0000
Post From: ACSIL - TS Data - Potential Bug
| [2020-09-03 12:46:59] |
| ejtrader - Posts: 688 |
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SC Team - Thanks for the reply. I do understand the T&S window doesn't have the bid ask updates. I do process T&S records correctly taking into consideration whether it's an actual trade or a bid ask update. The point here is - There are records with a higher sequence number - that have lower timestamp than the previous records. Out of these records - One of them is actual trade record as well (Rest of them are bid ask records). If you don't want to spend time on this - it's fine but you might be ignoring underlying problem. As of now I am filtering these records in ACSIL processing by checking the timestamp if it is lower than the previous one - but this shouldn't be happening by design. This seems to happen only during the friday's session close. This has happened in 2 instances (both of them are main instances) and I have provided the T&S snapshot from both of them showing higher sequence numbers showing lower timestamps (just that I didn't had the microseconds captured during this round - but would be capturing next time when it happens). PS: This reminds me of the sticky thread you had couple of months ago where there was an incorrect Depth records at the start of session immediately after the weekend and you had to put a patch for it not to consider them only during the start of the session. Thanks Date Time Of Last Edit: 2020-09-03 13:29:11
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