Profile Picture

Tick data timestamp

Posted By herd 5 Years Ago
Message
Posted Saturday October 06 2012
In the context of saved live tick data, does the recorded timestamp come from the broker or my computer?
Posted Sunday October 07 2012
It depends on the broker plugin. IB doesn't send the timestamp with every tick, so with the TWS plugin it is based on your computer's local time, modified by the difference between your computer's local time and the exchange time from the last time IB sent the current exchange time.

Thanks,
Daniel
Posted Sunday October 07 2012
So, if my computer's time is incorrect, the timestamp will still be right because it's based on a previous exchange timestamp?

Follow-up question regarding tick type - do "HighPrice" and "LowPrice" reflect trades, and if so, why don't I always see a prior Trade tick type with the same print?
Posted Sunday October 07 2012
The timestamp should be close to right at least. Latency between IB and your computer means it will never be the exact time that the trade was recorded at the exchange.

I think HighPrice and LowPrice are the high and low for the day, or possibly for the previous day. So they may correspond to a trade that happened when you weren't connected to receive the tick. The live trading window displays those values but I wouldn't generally recommend using them in trading systems.

Thanks,
Daniel


Similar Topics


Reading This Topic


2005-2017 © RightEdge Systems