Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"You have an excellent feed. Very few spikes for Spot Forex." - Comment from Public Forum Post
"And by the way, have to say this. I love the IQFeed software. It's rock solid and it has a really nice API." - Comment from Thomas via RT Chat
"I will tell others who want to go into trading that DTN ProphetX is an invaluable tool, I don't think anyone can trade without it..." - Comment from Luther
"I "bracket trade" all major news releases and I have not found one lag or glitch with DTN.IQ feed. I am very comfortable with their feed under all typical news conditions (Fed releases, employment numbers, etc)." - Comment from Public Forum
"The people at Nirvana have very nice things to say about your company and I can see why! Price and service is a potent combination." - Comment from Ed
"I am a hedge fund manager here. It’s funny, I have a Bloomberg terminal and a Bridge feed, but I still like having my DTN feed!" - Comment from Feras
"I just wanted to let you know how fast and easy I found it to integrate IQFeed into our existing Java code using your JNI client. In my experience, such things almost never go so smoothly - great job!" - Comment from Nate
"Interactive Brokers tick data was inconsistent, so I have switched to using DTN exclusively. It is great to no longer have to worry about my datafeed all day long." - Comment from Philippe
"I was on the phone with a friend who uses CQG and right after the Fed announcement, CQG was as much as 30 seconds behind DTN.IQ. Some quotes were off by as much as 15-18 cents. Your feed never missed a beat." - Comment from Roger
"I am enjoying the feed very much - so superior to the broker provided feed I was previously using." - Comment from George
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »Product Support »Data and Content Support »Tick timestamps out of order
Author Topic: Tick timestamps out of order (5 messages, Page 1 of 1)

programmer
-Interested User-
Posts: 35
Joined: Feb 3, 2010


Posted: Jul 31, 2011 09:24 PM          Msg. 1 of 5
I was looking through some of the raw data in the platform I use and I noticed that sometimes (fairly rarely) that some of my backfill data has ticks with timestamps that are out of order. For example:

@ES#
2011-07-11 15:58:34,1315.00,4573299 <-- tick id
2011-07-11 15:58:34,1315.00,4573298
2011-07-11 15:58:33,1315.00,4573297
2011-07-11 15:58:33,1315.00,4573296
2011-07-11 15:58:34,1315.00,4573295
2011-07-11 15:58:33,1315.00,4573294
2011-07-11 15:58:33,1315.00,4573293


You can see the third tick from the bottom has a timestamp that is out of order. The tick ID seems to suggest that the timestamp is incorrect (either that or the tick id is incorrect). I refreshed the data and it stays the same so I believe it's stored on the server this way. It doesn't happen too often but it always happens the same way with the timestamp slightly off but the tick id is in order.

Even though it seems to not happen often, I'm a bit fanatical about having accurate data so I'm wondering if I should manually correct the timestamp or move the ticks to their correct position in the stream?
Edited by programmer on Jul 31, 2011 at 09:25 PM

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1754
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Jul 31, 2011 09:29 PM          Msg. 2 of 5
unfortunately the exchange doesn't always send data in order. What you are seeing is data you would have seen on the stream as well. It would be up to you if you want to re-order the data, but if you backtest on data you have made adjustments to, just be aware that in the stream you will be seeing it differently which likely would affect your live trading results. Unfortunately "accurate" data and "orderly" data don't always go hand in hand.

Jay Froscheiser
Telvent DTN

programmer
-Interested User-
Posts: 35
Joined: Feb 3, 2010


Posted: Jul 31, 2011 09:34 PM          Msg. 3 of 5
OK thanks. If that's the way it would show up in the live stream then I'll just leave it as is.

sma202
-Interested User-
Posts: 24
Joined: Nov 20, 2010


Posted: Aug 9, 2011 01:03 AM          Msg. 4 of 5
what does it mean when tick ids are non-consecutive? ie example below 2558081 jumps to 2558117, is there any significance?


2011-08-09 01:55:07 1.0121 0 C 1.0119 0 1.0121 1 2558117 49518
2011-08-09 01:54:59 1.012 0 C 1.0119 0 1.012 1 2558081 49517
2011-08-09 01:54:57 1.0121 0 C 1.012 0 1.012 5 2558058 49516
2011-08-09 01:54:57 1.0121 0 C 1.012 0 1.012 1 2558057 49511

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1754
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Aug 9, 2011 10:25 AM          Msg. 5 of 5
There is no significance to the tickid. It is a unique identifier for the tick and you may not always see them in order.

Jay Froscheiser
Telvent DTN
 

 

Time: Sat August 8, 2020 12:44 PM CFBB v1.2.0 16 ms.
© AderSoftware 2002-2003