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Direct MessagesDate/Time: Mon, 29 Apr 2024 01:13:23 +0000
Post From: Your Market Depth Studies have a MAJOR flaw!
| [2023-01-18 05:43:32] |
| voided - Posts: 45 |
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Thank you for the response. I will check out the links. We do not see this at all. Those numbers you list are in ascending order. And how do you get a fractional number from an integer? Sorry for the confusion. The timestamps I printed are only for the records that had negative duration since the prior record -- I omitted the rest of the stream. These records appear at various places throughout the file. As for the fractional durations (second column), these are in seconds. So, I divided the microsecond durations by one million. Here is the context surrounding the record that appeared at 3882636000080000, 305 seconds before the previous record. Looking at the data again, it actually looks like the record at 3882636305235979 was the one out of sequence. ----- 3882635982385000 0.037 3882635982385000 0.000 3882635982385000 0.000 3882635982385000 0.000 3882635982385000 0.000 3882635982385000 0.000 3882635982385000 0.000 3882635982385000 0.000 3882635982385000 0.000 3882635982386000 0.001 3882635982386000 0.000 3882635982387000 0.001 3882635982457000 0.070 3882635983230000 0.773 3882635983251000 0.021 3882636305235979 321.985 3882636000080000 -305.156 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 ----- And here is a portion of the file showing a gap of 2700 seconds between two records: ----- 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882636000080000 0.000 3882638700426000 2700.346 3882638700426000 0.000 3882638700426000 0.000 3882638700426000 0.000 3882638700426000 0.000 3882638700426000 0.000 3882638700426000 0.000 3882638700426000 0.000 3882638700426000 0.000 3882638700426000 0.000 3882638700426000 0.000 3882638700426000 0.000 3882638700426000 0.000 ----- Perhaps this has to do with the snapshot record you mentioned. I will take a closer look at it. If you would like to see the whole file, which shows every record in the sequence I find it in the file, with timestamp in the first column, and the duration in seconds since the last record in the second column, I've uploaded it here: https://mega.nz/file/MO8VUCiY#Cy2XkKFHWR7mFpdIGFSx1vTosSckzHynpIg8phbyp44 Edit: Also, how do i identify a snapshot? Is it something to do with the FLAG_END_OF_BATCH field? Date Time Of Last Edit: 2023-01-18 06:21:46
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