Joined: Sep 16, 2019
Posted: Sep 16, 2019 11:01 AM
Msg. 1 of 3
I have frequent out of order timestamps problems since the end of july on multiple markets. mainly on futures.
They happen on 3 different machines / locations / networks.
I am very careful on the setting of the time zone and the date/time synching.
Out of order timestamps can happen on some occasion, for exemple rollover days, but what is happening recently is making my platform unsuable with IQFeed, after few years where everything was ok.
More details :
The out of order timestamp I encounter happens on a daily basis at specific hours.
It happens on multiple markets, but not necesserily the same markets.
For ex, in happens on @ES# almost everyday, and on QCL# / @NQ# / @JY# here and there.
The problem : A certain point of the day we get timestamps "from the future". After that, it goes back to normal.
It looks like this :
T : Timestamp DateA:TimeX
T+1 : Timestamp DateB:TimeX
T+2 : Timestamp DateA:TimeY
DateB is greater (newer) than DateA.
TimeY is greater (newer) than TimeX.
For ex, on 5 mn bars, on september 15 you get around 19:00 to 19:05 timestamps like this:
T-1. Timestamp september 15 18:55 ...
T. Timestamp september 16 19:00 ...
T+1. Timestamp september 15 19:00 ...
T+2. Timestamp september 15 19:05 ...
The out of order occurs because the datetime of T+1 is an "older timestamp" than T.
As far as I understand timestamp T is an error.
Last thing : The errors occurs mainly on 19:00 and 17:00 (CET).
Joined: Aug 22, 2014
Posted: Sep 16, 2019 03:01 PM
Msg. 2 of 3
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