bludev
-Interested User-
Posts: 16
Joined: Nov 14, 2012
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Posted: Sep 19, 2017 01:04 AM
Msg. 1 of 2
We found that some live tick data are different from historical tick data.
Live reporting more ticks than historical. These differences occur quite often throughout the day (thousands of ticks different).
Both live and historical use the same IQFeed on the same machine.
Live Q,@ESZ17,09/18/2017,08:18:09.681,2501.75,1,298390 Q,@ESZ17,09/18/2017,08:18:10.080,2502,1,298393 Q,@ESZ17,09/18/2017,08:18:10.080,2502,1,298393 Q,@ESZ17,09/18/2017,08:18:10.080,2502,1,298393 Q,@ESZ17,09/18/2017,08:18:21.772,2502,1,298413 Q,@ESZ17,09/18/2017,08:18:27.135,2502,1,298440 Q,@ESZ17,09/18/2017,08:18:27.135,2502,1,298440 Q,@ESZ17,09/18/2017,08:18:33.750,2502,2,298461 ... Q,@ESZ17,09/18/2017,10:40:49.321,2504,6,777536 Q,@ESZ17,09/18/2017,10:40:52.318,2504,7,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,5,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,1,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,1,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,1,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,3,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,3,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,3,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,3,777627 Q,@ESZ17,09/18/2017,10:40:55.292,2504.25,1,777748 Q,@ESZ17,09/18/2017,10:40:55.292,2504.25,1,777748 Q,@ESZ17,09/18/2017,10:40:56.993,2504,2,777772
Historical Q,@ESZ17,09/18/2017,08:18:09.681,2501.75,1,298390 Q,@ESZ17,09/18/2017,08:18:10.080,2502,1,298393 Q,@ESZ17,09/18/2017,08:18:21.772,2502,1,298413 Q,@ESZ17,09/18/2017,08:18:27.135,2502,1,298440 Q,@ESZ17,09/18/2017,08:18:33.750,2502,2,298461 ... Q,@ESZ17,09/18/2017,10:40:49.321,2504,2,777536 Q,@ESZ17,09/18/2017,10:40:49.321,2504,6,777536 Q,@ESZ17,09/18/2017,10:40:52.318,2504,7,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,5,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,1,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,1,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,1,777627 Q,@ESZ17,09/18/2017,10:40:52.318,2504,3,777627 Q,@ESZ17,09/18/2017,10:40:55.292,2504.25,1,777748 Q,@ESZ17,09/18/2017,10:40:56.993,2504,2,777772
Which one is correct? Is live reporting more ticks or is the historical missing some ticks?
Thanks
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