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Direct MessagesDate/Time: Thu, 18 Apr 2024 23:13:32 +0000
The Millisecond Time Stamping Myth
View Count: 5006
| [2013-10-14 23:46:22] |
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For those of you wanting millisecond timestamps from the exchange, what we have found is that the CME does not provide millisecond time stamping. The trades are time stamped to the second. No milliseconds. A message which can contain multiple trades, does have a sending time on it which does have a millisecond component to it. Although this does not represent the time that those trades within the message actually executed. 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: 2013-10-15 00:02:28
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| [2013-10-15 00:28:58] |
| ganz - Posts: 1048 |
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Hello SC Support. There is the official format for T&S. http://www.cmegroup.com/market-data/datamine-historical-data/files/TxSLayoutguideCSV.pdf Is CME using a Trade Sequence Number only to separate trades w the same time stamp? ftp://ftp.cmegroup.com/datamine_sample_data/ts/2012-11-05-euro-fx-futures.csv Are you sure that there are no other ways to get a ms-part from CME? Maybe some kind of DMA? Thank you for the info. |
| [2013-10-15 00:40:31] |
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What we believe that data providers like IQ Feed are doing is they are using the sending time of the FIX message which contains multiple trades and that serves as the timestamp. What we are trying to point out, is that is not the true execution time of the trade. So if there is a reliance upon this, then it's not accurate. We have the direct market access ourselves. And what we see is there is no millisecond timestamp. other than for the sending time of an FIX message which contains trades. 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 |
| [2013-10-15 00:44:49] |
| ganz - Posts: 1048 |
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SC Support. This explanation is more concrete. Thank you very much. |
| [2013-10-15 21:56:02] |
| TastyRisk - Posts: 119 |
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"...what we see is there is no millisecond timestamp. other than for the sending time of an FIX message which contains trades. " Ah, very interesting. Thanks for the explanation. So HFT shops are using the timestamps of the FIX messages as trade timestamps. I note that my DSL connection can process more than a thousand incoming packets-per-second. Therefore, as long as your circuit is performing singularly, you'd only need to be able process 2,000 PPS (re; Nyquist theorem) to capture at MS resolution... which I'm sure your "SC GigE NIC - CME GigE NIC" connection can do no problems!! |
| [2021-08-25 15:10:10] |
| Tomanova - Posts: 1 |
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Hello SC Support, is this still hold true in 2021? Or something has changed since you provided this information...? Thank you. |
| [2021-08-25 15:19:54] |
| User907968 - Posts: 802 |
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Search millisecond you will find the answer - True Millisecond/Microsecond Time Stamping and ACSIL
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| [2021-08-25 15:27:41] |
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This thread is from 8 years ago. At this time we use the sending time from the exchange for millisecond time stamping. That is the sending time and not the execution time. Not sure if the execution time is in the data messages from the exchange but it is not something we would use anyway because in our experience there are problems with using anything other than the sending time. 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 |
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