Date/Time: Wed, 20 Nov 2019 17:53:23 +0000
Post From: True Millisecond/Microsecond Time Stamping and ACSIL
|Merlin - Posts: 70|
What will be the availability for millisecond-accurate market data?
I'm specifically interested in historical and current CME data through the Sierra data feed, but also the Sierra market statistics, especially Tick for the various indexes.
Are your data servers already capturing and storing the true millisecond data from the exchange? Or will that only happen once this is ready for release?
I'm also thinking about potential backtesting issues if there is a crossover point, where all data up to a certain date is in the old format with false milliseconds, and then suddenly one day the data shows true milliseconds.
Also, it would be great to have the Replay functionality extended to provide smooth, accurate sub-second playback once millisecond data is available.
These days it seems that more and more market action takes place within a single second.