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Direct MessagesDate/Time: Thu, 02 May 2024 14:27:44 +0000
CQG Order Timestamp
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| [2020-05-29 02:41:14] |
| User236937 - Posts: 1 |
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Hi, I'm recording market depth replay according to the manuals. I noticed that when I replay on the DOM, the market orders arrive every second in batches. I searched around and found that it is related to the timestamps of the orders. It's not the chart update interval. I looked in a live market, and noticed that the orders are timestamped in a way that all the orders of a specific second will be timestamped as <hour>:<minute>:<second>.<millisecond> where the miliseconds will be just incremented to keep the correct order, but it's always .001, .002 and such numbers, and never .274 or random times inside a second like you would expect market orders to be. Is that something you are familiar with CQG or other feeds, or is that related to the software? Would using Denali solve that? Also, I saw that enabling 'Timestamp Using Local Computer Clock' should solve this, but the CQG FIX connection doesn't have that option. I'm on the latest version. Any Ideas? Thanks. |
| [2020-05-30 01:02:35] |
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This is because Sierra Chart does not support true millisecond time stamps for trades. But still the replay of market depth data will be at subsecond updates because that data does already use millisecond timestamps. True millisecond time stamping is coming we expect in June. It has been long overdue and we know that. But there is a lot of work to implement it properly due to an important internal core change related to it. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-05-30 01:29:36
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