Support Board
Date/Time: Mon, 25 Nov 2024 11:22:13 +0000
Post From: Order of data received by sc.GetTimeAndSales()
| [2024-03-11 22:39:45] |
| autobahn - Posts: 25 |
|
My function requires quotes, trades and market depth to be processed in the correct order. When calling sc.GetTimeAndSales(), I have observed the following: a. Quote data and Trade data is accurate to the millisecond. b. Quote data always has microseconds set to 0. c. Within the same millisecond, Trade data has microseconds set to a sequential number staring at 0 for the first trade in that millisecond. d. Within the same millisecond, all quote data is sequenced first, then all trade data is sequenced after, irrespective of the true order of the quotes and trades within that millisecond. Questions: 1. Referring to (c): what happens if there are more than 1000 trades in the same millisecond? Does the millisecond increase by 1 on trade 1001, and would this result in an incorrect millisecond timestamp? 2. Within the same millisecond, are quotes guaranteed to be sequenced in order? 3. Within the same millisecond, are trades guaranteed to be sequenced in order? 4. Referring to (d): within the same millisecond, are all quotes guaranteed to be sequenced before all trades, irrespective of the true order of the quotes and trades within that millisecond? 5. During a study Update, Is it guaranteed that sc.GetBidMarketDepthEntryAtLevel() will always return a snapshot of the DOM after the last trade returned by sc.GetTimeAndSales()? Thank you. |