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» Different numbers of ticks, streaming vs HTT
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| Author | Topic: Different numbers of ticks, streaming vs HTT (4 messages, Page 1 of 1) |
 JoshSN -Interested User- Posts: 29 Joined: Apr 8, 2010 |
Posted: Apr 5, 2013 12:41 PM
Msg. 1 of 4
My example is for the symbol CA, from [10:00:00 to 10:01:00) this morning.
When running live, I found 1142 Q,CA messages. When using the historical data, HTT, I found only 272. Over a longer time period, the 10 minutes from [10:00:00 to 10:10:00), I see 611 ticks from HTT and about 1093 Q,CA messages. I have two files containing the data from each, if you would like me to attach them. Why would this be happening? |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005 
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Posted: Apr 5, 2013 12:48 PM
Msg. 2 of 4
Josh, only trades are stored in history but all updates are sent through the streaming feed. My guess is that you are not properly filtering trades messages in the streaming feed. Having the files would probably the be the easiest way to explain the difference. Feel free to either attach them or email them to developer support.
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JoshSN -Interested User- Posts: 29 Joined: Apr 8, 2010 |
Posted: Apr 5, 2013 12:53 PM
Msg. 3 of 4
The ca_ticks file has T, and Q,CA messages from the live feed for the symbol CA between 10:00 and about 10:10.
File Attached: ca_ticks.txt (downloaded 1793 times) |
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DTN_Steve_S -DTN Guru- Posts: 2093 Joined: Nov 21, 2005
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Posted: Apr 5, 2013 01:20 PM
Msg. 4 of 4
the ca_ticks file contains both trades and bid/asks.
In order to match historical data, you will need to filter out only the trade messages. It looks like there is only about 240 trades in that file. The Last Trade Time field has a character identifier to indicate if the message contains bid/ask or trade information. |
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