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Date/Time: Fri, 29 Nov 2024 16:28:08 +0000
Post From: what does SC do with update trade message
| [2015-09-21 09:44:45] |
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Or, how do you ensure that it is never the case that a trade is sent through historical data and from a trade update as well?
We think you are probably overthinking this. In the case of Sierra Chart, it is first going to request streaming market data and then after that it will make it historical price data request.It is a normal case where there are Update Trade messages received, that are also received in the historical data during the historical data download. Sierra Chart handles the transition properly. The only real problem is when at the time the last historical price data record is received, that a subsequent Update Trade message contains a trade already received in the historical data. Sierra Chart can filter this out by looking at the timestamps. It is best to handle this on the client-side. When developing a server, it should be building the historical database from the same real-time stream that it is sending to users. In our own server, when we send the final historical data record, it does lag one or two seconds behind the most recent Update Trade message which has been sent. So we do not experience a problem. Date Time Of Last Edit: 2015-09-21 09:45:34
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