Support Board
Date/Time: Thu, 27 Feb 2025 13:00:36 +0000
Post From: Market Depth: How to handle out-of-order timestamps?
| [2021-06-30 01:13:49] |
| homestar - Posts: 21 |
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Hello to SC support and to the community, I have read the page about handling out-of-order timestamps in intraday files (sierrachart.com/index.php?page=doc/helpdetails63.html). I do not know how to handle out-of-order timestamps in market depth files, however. For example, I have read the following data from a `.depth` file saved under my `Data/MarketDepthData` folder: DateTime Command Flags NumOrders Price Quantity Reserved 0 3829921030507000 4 1 56 4141.25 132 0 1 3829921030519000 4 1 14 4144.50 39 0 2 3829921030518984 4 1 13 4144.50 38 0 3 3829921030519000 4 1 12 4144.50 33 0 Notice that the datetimes are out-of-order; the last timestamp is earlier than the second-to-last. Here is a more extreme case where the datetime jumps forwards and backward by several minutes: DateTime Command Flags NumOrders Price Quantity Reserved 0 3822677476791000 2 1 1 387750.0 10 0 1 3822677700432000 5 1 2 393500.0 2 0 2 3822677847378344 1 1 0 0.0 0 0 3 3822677700000000 1 0 0 0.0 0 0 4 3822677700000000 2 0 0 390250.0 5 0 How should these jumps be interpreted? Any tips for how to reconstruct an orderbook from data that has jumps like this? Thanks |