Support Board
Date/Time: Fri, 29 Nov 2024 16:29:04 +0000
Post From: DTC Low latency routing needs more precise timestamps
| [2023-01-27 01:03:30] |
| User5044343 - Posts: 68 |
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(2) Two items. Pretty please. OrderReceivedDateTime doesn't have any more detail than "seconds" LatestTransactionDateTime only goes to 1 millisecond. If possible please increase granularity on LatestTransactionDateTime and have OrderReceivedDateTime match it. Right now OrderReceivedDateTime rounds up and shows up that a message was received in the future. Example below: 2023-01-27 00:52:02 1674780722.8678 Received: {"Type":301,"RequestID":0,"TotalNumMessages":1,"MessageNumber":1,"OrderStatus":2,"OrderUpdateReason":2,"OrderType":4,"BuySell":1, "Price1":407400,"Price2":407500,"TimeInForce":0,"GoodTillDateTime":0,"OrderQuantity":1,"FilledQuantity":0,"RemainingQuantity":1,"AverageFillPrice":0,"LastFillPrice":0, "LastFillDateTime":0,"LastFillQuantity":0,"NoOrders":0,"Symbol":"MESH23_FUT_CME","Exchange":"","ServerOrderID":"","ClientOrderID":"4","ExchangeOrderID":"", "LastFillExecutionID":"","TradeAccount":"","InfoText":"Order from DTC client #323. execute. 1xxxxx2","ParentServerOrderID":"","OCOLinkedOrderServerOrderID":"","OpenOrClose":0,"PreviousClientOrderID":"","FreeFormText":"","OrderReceivedDateTime":1674780723, "LatestTransactionDateTime":1674780722.863,"Username":""} 2023-01-27 00:52:02 1674780722.8717 Received: {"Type":301,"RequestID":0,"TotalNumMessages":1,"MessageNumber":1,"OrderStatus":2,"OrderUpdateReason":3,"OrderType":4,"BuySell":1, "Price1":407400,"Price2":407500,"TimeInForce":1,"GoodTillDateTime":0,"OrderQuantity":1,"FilledQuantity":0,"RemainingQuantity":1,"AverageFillPrice":0,"LastFillPrice":0, "LastFillDateTime":0,"LastFillQuantity":0,"NoOrders":0,"Symbol":"MESH23_FUT_CME","Exchange":"","ServerOrderID":"1054779","ClientOrderID":"4","ExchangeOrderID":"1384025", "LastFillExecutionID":"","TradeAccount":"","InfoText":"Teton CME Order Routing (New). Info: Order from DTC client #15. Sierra Chart. 6xxxxxxxxx7","ParentServerOrderID":"","OCOLinkedOrderServerOrderID":"","OpenOrClose":0,"PreviousClientOrderID":"","FreeFormText":"","OrderReceivedDateTime":1674780723, "LatestTransactionDateTime":1674780722.867,"Username":""} I'm trying to replicate your speed execution as posted in Teton Order Routing Order Latency Clocked at 250 µs! but I can't replicate/verify/match your findings. Date Time Of Last Edit: 2023-01-27 01:05:31
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