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»Forums Index »Product Support »Data and Content Support »Same Timestamp with different TickID
Author Topic: Same Timestamp with different TickID (2 messages, Page 1 of 1)

Pierre845
-Interested User-
Posts: 1
Joined: Dec 18, 2018


Posted: May 30, 2020 11:28 PM          Msg. 1 of 2
Hi All,

While in the process of analysing data for efficient storage purpose (eliminating redundant or unecessary data) I encountered occurences where there is a serie of Timestamps of same value (to the microsecond).
Within it there is the same TickID to a point (also same Bid/Ask and same agressor).
Then the TickID changes, Bid/Ask as well, and also agressor, ss follows:

Seconds | Last | LastSize | Bid | Ask | TickID | Agressor
7.013979 | 3055.5 | 1 | 3055.50 | 3055.75 | 272584026 | 2
7.013979 | 3055.5 | 1 | 3055.50 | 3055.75 | 272584026 | 2
7.013979 | 3055.5 | 1 | 3055.50 | 3055.75 | 272584026 | 2
7.013979 | 3055.5 | 1 | 3055.25 | 3055.50 | 272584027 | 1 <---------

1. So Bid is hit 3 times - and I believe it's unbundled data hence the same TickID,
but how come at the same timestamp the bid/ask goes lower 0.25 pt, and a new buyer comes to hit the offer?

2. I was thinking .. is it the same agressor who was hitting the bid, but CME/IQfeed classify it as an offer agressor because the bid/Ask went down, and they calculate the agressor flag as 'last price at bid' or 'last price at ask' (and in this case the agressor field is useless as we can calculate it easily (redundant for data storage purpose).

3. Can it be explained otherwise if we had nanoseconds? as the timestamp might actually be different to the nanosecond?

DTN Todd
-Interested User-
Posts: 50
Joined: Mar 24, 2010


Posted: Yesterday @ 10:55 PM          Msg. 2 of 2
Hello Pierre845

We will look into your inquiry, we should have an answer for you within 24 hours

Thanks
Todd
 

 

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