Support Board
Date/Time: Thu, 27 Feb 2025 09:23:26 +0000
Market Depth: How to handle out-of-order timestamps?
View Count: 493
| [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 |
| [2021-06-30 02:12:48] |
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What symbol is this for? And is this using one of the Sierra Chart data feeds? 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? Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2021-06-30 02:13:20
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| [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? |
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