Equity data in milliseconds.

Dawid.Wallat

Hello,

Is it possible to download the data for Equities (the Timestamp) so that it will show the miliseconds? We have the data, as you can see in the Time & Sales application.

I am checking right now VOD.L in the Time Sales app and I see the miliseconds.

Thanks and Regards,

Dawid

Alex Putkov.1

Hi Dawid,

You're right, it seems to be not quite as straightforward as I thought. It appears that for UK stocks in order to get the timestamps including milliseconds you need to include extended hours trades in the request. If you need to filter out extended hours trades, you can do it by setting up time restrictions for your request using From and To methods of ITimeSeriesDataRequestSetup interface. Here's an example code snippet.

private void RequestTimeseriesData()
{
	_timeSeriesRequest = _timeSeries.SetupDataRequest("VOD.L")
        	.WithInterval(CommonInterval.Tick)
                .WithFilter(filter => filter.IncludeOutOfSessionRecords(true))
                .WithNumberOfPoints(250)
                .OnDataReceived(ProcessReceivedData)
                .CreateAndSend();
}

private void ProcessReceivedData(DataChunk chunk)
{
	_trades.AddRange(chunk.Records.ToTickRecords());
        if (chunk.IsLast)
        {
        	foreach (var trade in _trades)
                {
                    DateTime timestamp = trade.Timestamp.Value;
                    double? lastprice = trade.Value;
                    double? volume = trade.Volume;
                    Console.WriteLine(timestamp.ToString("dd-MMM-yy HH:mm:ss:fff") + " " + lastprice.ToString() + " " + volume.ToString());
                }
	}
}

I hope this helps.

Alex