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Direct MessagesDate/Time: Sun, 28 Apr 2024 23:37:55 +0000
How is it possible for intraday records to be out of sequence?
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| [2016-11-29 12:51:07] |
| skelcap - Posts: 139 |
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I assumed .scid records were always in strict chronological order, but I just tracked a bug in my code down to failure of this fact in CGB-201612-CDE-CAD-1000.scid (Canada 10y Bond): Wed 11/23/16 11:58:10 Wed 11/23/16 11:58:11 Wed 11/23/16 11:58:10 I haven't checked any other markets. Are you aware of this possibility and is it something one just has to allow for in one's code? |
| [2016-11-29 13:18:03] |
| skelcap - Posts: 139 |
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I just ran a quick check for out of sequence .scid records in the last 30 days across 60 markets and here's what it came up with: Total # Records Out of Sequence 67 UK 10y Gilt 53 FTSE 100 27 Dax 24 Euro Bund 22 Euro STOXX 50 21 Hang Seng 18 Canada 10y Bond 17 H-Shares 12 Euro OAT 7 CAC 40 6 VIX 5 SMI 4 S&P TSX 60 4 Euro Bobl 3 Euro Buxl 2 Euro BTP 1 Euro Schatz |
| [2016-11-29 13:22:00] |
| skelcap - Posts: 139 |
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The negative time gaps are all between 1-5 seconds
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| [2016-11-29 17:54:33] |
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This does not surprise us and can have a couple of different causes. It is not something we can provide any help with. Just accept it.
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