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Date/Time: Thu, 28 Mar 2024 18:51:23 +0000



Post From: Millisecond timestamps on TICK-NASDAQ

[2014-05-24 11:24:44]
graggy - Posts: 15
It seems that when I collect data during regular market hours, the symbol TICK-NASDAQ has many instances of individual records with the millisecond part of their timestamps greater than 0 (that is, several records share the same value for date, hour, minute, second, but have differing millisecond values). This is good.

However, when I download TICK-NASDAQ tick data (that has not been previously collected live) the millisecond part of the timestamp is always set to 0, making an effective download granularity of 1 second.

I am running version 1139 with OEC FIX/FAST, and have my "Intraday Data Storage Time Unit" set to "1 Tick".

Am I missing something?