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»Forums Index »Product Support »Data and Content Support »Timestamp Resolution for Tick Data
Author Topic: Timestamp Resolution for Tick Data (3 messages, Page 1 of 1)

-Interested User-
Posts: 10
Joined: Jun 20, 2019

Posted: Jun 20, 2019 03:11 PM          Msg. 1 of 3
Is it possible to get fractions of a second timestamps for tick data? I do this:

HTT,@NQU19,20190620 000000,20190620 170500,,,,1,,

And I see:

2019-06-20 16:05:38,7766.50,1,492761,7766.50,7766.75,232575516,0,0,C,
2019-06-20 16:05:38,7766.50,1,492762,7766.50,7766.75,232575518,0,0,C,
2019-06-20 16:05:38,7766.50,1,492763,7766.50,7766.75,232575518,0,0,C,
2019-06-20 16:05:38,7766.50,1,492764,7766.50,7766.75,232575521,0,0,C,
2019-06-20 16:05:38,7766.50,1,492765,7766.50,7766.75,232575522,0,0,C,
2019-06-20 16:05:38,7766.50,3,492768,7766.25,7766.50,232575523,0,0,C,
2019-06-20 16:05:38,7766.50,1,492769,7766.25,7766.50,232575523,0,0,C,
2019-06-20 16:05:38,7766.50,1,492770,7766.25,7766.50,232575523,0,0,C,

I was under the impression timestamps went down to microseconds...


-Interested User-
Posts: 34
Joined: Jul 30, 2018

IQML - IQFeed-MATLAB connector

Posted: Jun 20, 2019 03:31 PM          Msg. 2 of 3
My hunch is that you are not setting the protocol when you first connect to IQFeed, which then defaults to IQFeed 4.9 behavior. When I run your query using protocol 5.0 I see millisecond timestamp resolution, and with protocol 6.0 or 6.1 I see microsecs resolution.

Yair Altman
IQML - IQFeed-MATLAB connector

I am not a DTN employee; my post reflects my personal opinion

Edited by altmany on Jun 20, 2019 at 03:33 PM
Edited by altmany on Jun 20, 2019 at 03:33 PM

-Interested User-
Posts: 10
Joined: Jun 20, 2019

Posted: Jun 20, 2019 03:39 PM          Msg. 3 of 3
BINGO! My mistake was I just connected and sent my command. I needed to send the "S,SET PROTOCOL,6.0" command immediately after connection. Works now!




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