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cirque3 has contributed to 1 posts out of 21192 total posts (0.00%) in 1,979 days (0.00 posts per day).

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IQFeed Developer Support » Message Contents vs Timestamps - order of ticks question Dec 10, 2018 07:27 PM (Total replies: 0)

I have listed some example tick below.

'Q,ABX,7,13.9000,32,12/10/2018,13:02:22.393725,87,10,13.9000,13.9100,2100,22900,13:02:22.835404,13:02:22.835404,7,7,,N,ba,'
'Q,ABX,7,13.9000,32,12/10/2018,13:02:22.393725,87,10,13.9000,13.9100,2100,19900,13:02:22.843366,13:02:22.843366,7,7,,N,ba,'
'Q,ABX,7,13.9000,68,12/10/2018,13:02:22.834812,87,10,13.9000,13.9100,2100,19900,13:02:22.843366,13:02:22.843366,7,7,,N,O,'
'Q,ABX,7,13.9000,100,12/10/2018,13:02:22.834852,01,10,13.9000,13.9100,2100,19900,13:02:22.843366,13:02:22.843366,7,7,,N,C,'
'Q,ABX,7,13.9000,500,12/10/2018,13:02:22.834935,3D,28,13.9000,13.9100,2100,19900,13:02:22.843366,13:02:22.843366,7,7,,N,C,'
'Q,ABX,7,13.9000,100,12/10/2018,13:02:22.835813,01,153,13.9000,13.9100,2100,19900,13:02:22.843366,13:02:22.843366,7,7,,N,C,’

If you look at the last quote the Message Contents 'C' means the tick was generated by a trade at 13.90 for 100 shares on Market Center 153 at 13:02:22.835813. The last time the bid/ask was updated was 4 ticks prior and happened at 13:02:22.843366 on Market Center 7. How is it possible that the bid/ask was updated 4 ticks prior but the trade happened earlier? Shouldn't the Most Recent Trade Time always be the most recent timestamp with the Message Contents are 'C'? Or is this due to latency between different market centers?

Thanks, Kyle M


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