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The timestamps of the Intraday file records with this recording mode, are set according to the timestamp of the trade and bid/ask updates. These timestamps have precision to the millisecond. There is also a microsecond component to timestamps. The microsecond component is incremented by 1 anytime there a new record which has a duplicate timestamp as compared to the prior timestamp in the file. This microsecond component as described is also used even with the normal default recording mode for trades.

Studies like the Bid Ask Depth Bars which use market depth data, use timestamps which have a precision to the millisecond only. There is no microsecond adjustment done with market depth data. Therefore, the market depth data for the Bid Ask Depth Bars study is aligned with chart bars that contains the time range which fits the timestamps of the market depth data. In the case of a 1 Trade Per Bar this can result, in the market depth data being fit to a chart bar which is immediately before a chart bar that is associated with the bid/ask update. For example consider a market depth update with the timestamp 00:00:01.500000. And 2 chart bars with these timestamps: 00:00:01.100000, 00:00:01.500001. The market depth data with a timestamp 00:00:01.500000 will be aligned to the chart bar with the timestamp 00:00:01.100000 since it is considered to contain the time range from 00:00:01.100000 to 00:00:01.500000.

The historical market depth data can be directly accessed through the storage files that contain this data. Refer to Market Depth Data File Format.