wmnelson
-Interested User-
Posts: 4
Joined: Aug 22, 2007
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Posted: Jul 5, 2009 06:08 PM
Msg. 1 of 2
All,
I am trying to understand exactly what is served up with historical tick data. I have three questions.
(1) What is the accuracy of the tick data time stamps? Is there any possibility that these timestamps are sometimes significantly wrong due to machine latencies, e.g., the DTN machines fall behind in receiving data from the exchanges and therefore stamp the ticks with erroneously late timestamps? I see the timestamps are reported in whole seconds (too coarse) and appear to be rather bursty, so that dozens or hundreds of transactions occur in one second, then none for a few seconds, then hundreds more, etc. Is this burstiness real or an artifact of data collection?
(2) Bid/Ask sizes seem always to be reported as 0. Any way I can get this data?
(3) What is the reported tickID? Is there any significance to this? I notice lots of tickIDs are skipped so the sequence has lots of holes in it. Is there anything useful to be understood from these holes?
Thanks again, WN
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DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore
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Posted: Jul 6, 2009 07:53 AM
Msg. 2 of 2
1) The trade time is the exchange trade time so any drift on server clocks won't have an impact. If you are seeing "burstiness", it should be rea. Our NxCore service provides time resolution of 25 milliseconds. However, this time isn't the official exchange time since most exchanges only provide trade time to the nearest second.
2) We don't store bid/ask size data in history and don't currently have plans to. If you need this information, we do provide it with our NxCore service.
3) It is normal to see skips in the tickID and there is no significance to the holes. We provide the tickID as support for possible future enhancements that will allow you to more easily sync up the stream with history as well as handle streaming tick corrections. It is not a "trade sequence", although the sequence of the id should be in order throughout the day.
Jay Froscheiser DTN
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