Support Board
Date/Time: Sat, 30 May 2026 13:16:30 +0000
Post From: CFE feed: PITCH data preservation in SCID/SCDD
| [2026-04-30 16:19:44] |
| AndyB - Posts: 111 |
|
I appreciate the correction on the data source coming direct from Cboe rather than Barchart or CQG. That alone was useful and updates my understanding. I want to push back gently on the “declining support” framing though. I’m not asking for support in the sense of help configuring the software or troubleshooting an issue. I’m asking clarification questions about your own data files and what’s preserved versus dropped from the source feed. Three of my four questions were yes/no or “exchange-side or vendor-ingest” answerable in a sentence each. The fourth was a planning question about future L3 access that “no plans” would have fully answered. Given that you’ve now confirmed the data comes direct from Cboe, the technical questions become straightforward to answer for someone with knowledge of your pipeline: 1. Are PITCH Trade Condition codes received and discarded, or filtered upstream of your ingest? 2.Are Transaction Begin/End messages received and discarded, or filtered upstream? 3. Are the microsecond timestamps in SCDD files exchange-side or applied during your ingest? 4. Any current or planned L3 access for CFE, even just yes/no? Heavy emphasis on question #3. I need to understand the time stamping convention, because you have only described behaviors relevant to CME. The dismissiveness wasn’t necessary for questions about your own data, especially considering I’ve been a paying customer for seven years. A one-line answer per question would have closed this out. I do understand that most support requests you receive pertain to topics that users could easily answer themselves if they were to read the documentation. But I’m likely one of the few who has actually done so. I only submit support requests as a last ditch effort. Thanks. PS. I am referring to the _FUT_CFE tagged /vx symbol. I have not looked at the -CFE tagged data yet and do not know if the time stamping is the same or different. Here are seven consecutive records from VXK26_FUT_CFE.2026-04-27.depth showing genuine microsecond-level timestamp deltas. Fields are DateTime, Command, Flags, NumOrders, Price, Quantity, Reserved: 2026-04-27 00:00:00.186571, 5, 1, 25, 20.75, 204, 0 2026-04-27 00:00:00.186575, 5, 1, 21, 20.799999237060547, 233, 0 2026-04-27 00:00:00.186620, 4, 1, 3, 20.700000762939453, 15, 0 2026-04-27 00:00:00.186630, 4, 1, 4, 20.700000762939453, 41, 0 2026-04-27 00:00:00.186667, 4, 1, 5, 20.700000762939453, 59, 0 2026-04-27 00:00:00.186692, 4, 1, 6, 20.700000762939453, 60, 0 2026-04-27 00:00:00.186696, 5, 1, 24, 20.75, 202, 0 Deltas of 4us, 45us, 10us, 37us, 25us, 4us. These don’t look like the synthetic +1us counter pattern. For reference, here are records from VXK26_FUT_CFE.scid showing the documented synthetic +1us pattern at the SCID level for comparison. Fields are DateTime, Open, High, Low, Close, NumTrades, TotalVolume, BidVolume, AskVolume: 2025-09-08 18:47:02.254000, 0.0, 21.899999618530273, 21.799999237060547, 21.850000381469727, 1, 1, 0, 1 2025-09-08 18:47:02.254001, 0.0, 21.850000381469727, 21.799999237060547, 21.850000381469727, 1, 1, 0, 1 2025-09-09 13:55:24.431000, 0.0, 21.950000762939453, 21.850000381469727, 21.899999618530273, 1, 1, 1, 0 2025-09-09 13:55:24.431001, 0.0, 21.899999618530273, 21.850000381469727, 21.899999618530273, 1, 1, 0, 1 2025-09-09 13:55:24.431002, 0.0, 21.950000762939453, 21.899999618530273, 21.899999618530273, 1, 1, 1, 0 So my question is whether the depth file timestamps are exchange-side (preserved from PITCH through to SCDD) or applied somewhere in your ingest pipeline. |