Support Board
Date/Time: Thu, 27 Feb 2025 13:10:25 +0000
Post From: Market Depth: How to handle out-of-order timestamps?
| [2021-06-30 14:02:42] |
| homestar - Posts: 21 |
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What symbol is this for? And is this using one of the Sierra Chart data feeds?
The first example is from the Denali datafeed, `F.US.EPM21.2021-05-11.depth`. The second example is from CQG, `ESM21_FUT_CME.2021-02-16.depth`. When reconstructing the order book you just simply use each record in order as you read it without any regard to its timestamp . Why would the timestamp affect this?
Thanks for the advice. The context is that I am crunching historical data, and I want to reconstruct the order book at a specific timestamp. In the first example, how do I know what the order book looked like at 3829921030518984? Should I ignore the later timestamps (3829921030519000) even if those records come first in the depth file? |