Why SEQNUM is in order but QUOTIM_MS is not?

Horace · 2016-12-13T06:52:29+00:00

Here is the log I receive: * 2016-12-09T22:23:25,711 [NQZ6],{NO_ASKORD1=5, SPARE_TS1=14:23:25:000:000:000, SEQNUM=3.4544904E7, ASKSIZE=34.0, ASK_COND_N=1, ASK=4879.75, ASK_TIME1=14:23:25:000:000:000, ASK_TIM_MS=51805581, SEQNUM_QT=3.4544904E7, QUOTIM_MS=51805581} * 2016-12-09T22:23:25,711 [NQZ6],{NO_BIDORD1=7,…

Horace

Here is the log I receive:

2016-12-09T22:23:25,711 [NQZ6],{NO_ASKORD1=5, SPARE_TS1=14:23:25:000:000:000, SEQNUM=3.4544904E7, ASKSIZE=34.0, ASK_COND_N=1, ASK=4879.75, ASK_TIME1=14:23:25:000:000:000, ASK_TIM_MS=51805581, SEQNUM_QT=3.4544904E7, QUOTIM_MS=51805581}
2016-12-09T22:23:25,711 [NQZ6],{NO_BIDORD1=7, BID_TIME1=14:23:12:000:000:000, SPARE_TS1=14:23:12:000:000:000, SEQNUM=3.4544907E7, BID_COND_N=0, BID=4879.25, BIDSIZE=9.0, BID_TIM_MS=51792696, SEQNUM_QT=3.4544907E7, QUOTIM_MS=51792696}

May I ask why SEQNUM(2>1) is in order but QUOTIM_MS(2<1) is not?

Thanks!!

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Accepted answers

Jirapongse

I have verified the data in the tick history and found the same data as yours on 9 Dec 2016 at 14:23:25 GMT, as shown below.

I have contacted the content team to verify the data. The case number is 05126039.

All comments

Jonathan Haruni - Refinitiv

We're assuming this data is coming from TR's Elektron real time feed, and we've asked the specialists for CME content to look at this question. Please let us know if this is from another source.

Nipat Kunvutipongsak

I'm not the data or content expert, but if referring to the field description,

SEQNUM shows the message sequence order while QUOTIM_MS is the bid/ask quote update. It might be possible that the original source of that update provided that particular tick late. It is just my assumption anyway.

Did this problem happen only once or it happens frequently?

Jirapongse

I have verified the data in the tick history and found the same data as yours on 9 Dec 2016 at 14:23:25 GMT, as shown below.

I have contacted the content team to verify the data. The case number is 05126039.

s.tang

This is happening to us as well for quote subscription to JYEN Future and S&P Midcap 400 Future. Any progress?

Jirapongse

The data team has confirmed that the Bid time represents the time of Bid was quoted. At 14:23:25 the last bid was quoted at 14:23:12 hence it was displaying this time.

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