In
market BY price data (level 2) we can use fields LV_TIM_MS or LV_TIM_NS to
get the timestamp of updates. However if an update consist of just
DELETE updates, these fields are not set and the only time related
fields left to use are TIMACT_MS or TIMACT_NS. However sometimes TIMACT
get substantially behind LV_TIM and is clearly wrong. See example. How
can we determine the timestamp of the DELETE update then? If an order is
deleted how can we get the exchange timestamp of the deletions? Example:
7203.T,Market By Price,2018-01-14T23:14:48.223296470Z,+9,Raw,UPDATE,UNSPECIFIED,,,,4742,,1808,0
,,,,Summary,,,,,,,,,6
,,,,FID,17,,ACTIV_DATE,2018-01-14,
,,,,FID,4148,,TIMACT_MS,83688151,
,,,,FID,6516,,BOOK_STATE,3,X
,,,,FID,6517,,HALT_REASN," ",
,,,,FID,6614,,TRD_STATUS,1,"N "
,,,,FID,14269,,TIMACT_NS,23:14:48.151798000, <<<<<< The same as LV_TIM_NS
,,,,MapEntry,,UPDATE,,,,,,76900000A,8
,,,,FID,3427,,ORDER_PRC,7690,
,,,,FID,3428,,ORDER_SIDE,2,ASK
,,,,FID,4356,,ACC_SIZE,2300,
,,,,FID,3430,,NO_ORD,7,
,,,,FID,6527,,LV_TIM_MS,83688151,
,,,,FID,6529,,LV_DATE,2018-01-14,
,,,,FID,3886,,ORDER_TONE," ",
,,,,FID,14268,,LV_TIM_NS,23:14:48.151798000,
,,,,MapEntry,,UPDATE,,,,,,79900000A,8
,,,,FID,3427,,ORDER_PRC,7990,
,,,,FID,3428,,ORDER_SIDE,2,ASK
,,,,FID,4356,,ACC_SIZE,65500,
,,,,FID,3430,,NO_ORD,40,
,,,,FID,6527,,LV_TIM_MS,83688151,
,,,,FID,6529,,LV_DATE,2018-01-14,
,,,,FID,3886,,ORDER_TONE," ",
,,,,FID,14268,,LV_TIM_NS,23:14:48.151798000,
7203.T,Market By Price,2018-01-14T23:14:58.370949512Z,+9,Raw,UPDATE,UNSPECIFIED,,,,4742,,1824,0
,,,,Summary,,,,,,,,,6
,,,,FID,17,,ACTIV_DATE,2018-01-14,
,,,,FID,4148,,TIMACT_MS,83688151,
,,,,FID,6516,,BOOK_STATE,3,X
,,,,FID,6517,,HALT_REASN," ",
,,,,FID,6614,,TRD_STATUS,1,"N "
,,,,FID,14269,,TIMACT_NS,23:14:48.151798000, <<<<<< 10 secs in the past
,,,,MapEntry,,ADD,,,,,,B-M+C,8
,,,,FID,3427,,ORDER_PRC,,
,,,,FID,3428,,ORDER_SIDE,1,BID
,,,,FID,4356,,ACC_SIZE,100,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,6527,,LV_TIM_MS,83698299,
,,,,FID,6529,,LV_DATE,2018-01-14,
,,,,FID,3886,,ORDER_TONE,MA,
,,,,FID,14268,,LV_TIM_NS,23:14:58.299739000,
7203.T,Market By Price,2018-01-14T23:14:58.826936990Z,+9,Raw,UPDATE,UNSPECIFIED,,,,4742,,1840,0
,,,,Summary,,,,,,,,,6
,,,,FID,17,,ACTIV_DATE,2018-01-14,
,,,,FID,4148,,TIMACT_MS,83688151,
,,,,FID,6516,,BOOK_STATE,3,X
,,,,FID,6517,,HALT_REASN," ",
,,,,FID,6614,,TRD_STATUS,1,"N "
,,,,FID,14269,,TIMACT_NS,23:14:48.151798000, <<<<<<<<< Still 10 sec in the past, no other timestamp to be used for DELETE update
,,,,MapEntry,,DELETE,,,,,,B-M+C,0
7203.T,Market By Price,2018-01-14T23:15:02.263153413Z,+9,Raw,UPDATE,UNSPECIFIED,,,,4742,,1856,0
