This question is a follow-up to this old post:
For some reason I cant just append another comment to it, so I have to open this new one…
Okay, and I just dug into the data, seems this UpdateTypeNum() is not that useful. For the RIC we are currently investigating, 301372.SZ, all the updates are marked as UNSPECIFIED
301372.SZ,Market Price,2024-11-18T01:59:22.810483189Z,+8,rawMP,UPDATE,UNSPECIFIED,,,,5601,,26672,44
,,,,FID,25,,ASK,22.65,
,,,,FID,730,,BEST_BSIZ1,300,
,,,,FID,30,,BIDSIZE,300,
,,,,FID,77,,NUM_MOVES,1607,
,,,,FID,735,,BEST_ASIZ1,300,
,,,,FID,22,,BID,22.59,
,,,,FID,445,,BEST_ASK5,22.76,
,,,,FID,56,,PCTCHNG,-1.778,
,,,,FID,3854,,SALTIM_MS,7161000,
,,,,FID,11,,NETCHNG_1,-0.41,
,,,,FID,379,,SALTIM,01:59:21.000000000,
,,,,FID,32741,,TRNOVR_UNS,11629163,
,,,,FID,734,,BEST_BSIZ5,100,
,,,,FID,13432,,TR_TRD_FLG,1,"OB "
,,,,FID,178,,TRDVOL_1,300,
,,,,FID,3404,,VWAP,22.731,
,,,,FID,443,,BEST_ASK3,22.69,
,,,,FID,31,,ASKSIZE,300,
,,,,FID,32743,,ACVOL_UNS,511600,
,,,,FID,736,,BEST_ASIZ2,1900,
,,,,FID,100,,TURNOVER,11629163,
,,,,FID,6,,TRDPRC_1,22.65,
,,,,FID,438,,BEST_BID3,22.56,
,,,,FID,1496,,WEIGHTING,22.731,
,,,,FID,439,,BEST_BID4,22.55,
,,,,FID,440,,BEST_BID5,22.47,
,,,,FID,739,,BEST_ASIZ5,1000,
,,,,FID,732,,BEST_BSIZ3,500,
,,,,FID,733,,BEST_BSIZ4,9900,
,,,,FID,444,,BEST_ASK4,22.74,
,,,,FID,442,,BEST_ASK2,22.66,
,,,,FID,5,,TIMACT,01:59:22.000000000,
,,,,FID,373,,IRGVOL,511600,
,,,,FID,731,,BEST_BSIZ2,300,
,,,,FID,436,,BEST_BID1,22.59,
,,,,FID,738,,BEST_ASIZ4,11300,
,,,,FID,1067,,EXCHTIM,01:59:21.000000000,
,,,,FID,737,,BEST_ASIZ3,1100,
,,,,FID,32,,ACVOL_1,511600,
,,,,FID,18,,TRDTIM_1,01:59:21.000000000,
,,,,FID,441,,BEST_ASK1,22.65,
,,,,FID,437,,BEST_BID2,22.58,
,,,,FID,14,,PRCTCK_1,2,#FE#
,,,,FID,3855,,QUOTIM_MS,7161000,
Now our problem is this, using the above update from a dump csv file as a example, many timestamp field, such as:
301372.SZ,Market Price,2024-11-18T01:59:22.810483189Z,+8,rawMP,UPDATE,UNSPECIFIED,,,,5601,,26672,44
,,,,FID,379,,SALTIM,01:59:21.000000000,
,,,,FID,5,,TIMACT,01:59:22.000000000,
,,,,FID,1067,,EXCHTIM,01:59:21.000000000,
,,,,FID,18,,TRDTIM_1,01:59:21.000000000
,,,,,FID,3855,,QUOTIM_MS,7161000
are consistent, showing that such update happened at 2024-11-18T01:59:21Z
. And the metadata timestamp 2024-11-18T01:59:22.810483189Z
implies that it takes ~2.8 seconds for the dumping application to receive this update. By our standard, this is not too bad. The real problem is this: our real-time feed handler also stamp a time immiedately after such update is received from a call back, accroding to our record, this update was received by our FH at 2024-11-18 01:59:40.332
meaning that it takes almost 20 seconds for our FH to receive it.
The question is, which component(s) is to be blamed? Is it that our FH just too slow or is it that the network is not stable? Without a metadata timestamp, we cant be sure now. For this kind of question, usually how will you advise your clients to do?
Thanks,