time stamp differences between trth v1 and trth v2.

muneish.adya
muneish.adya Explorer
in TRTH

Hi Team,

we are observing some time stamp differences of few milli seconds when sourcing data from trthv2 vis a vis trthv1. what is the possible explanation of these differences?

Examples of timestamp differences between trth v1 and
trth v2.

  1. First quote of the day:

    Trthv1

    143
    VOD.L,05-JAN-2016,07:00:00.038,+0,Raw-TAS,83,UPDATE_PC,,,,5625,0,56912,10004,VOD.L,7

    144
    ,,,,FID,22,,BID,215.1,,,,,,,

    145 ,,,,FID,30,,BIDSIZE,5000,,,,,,,

    146
    ,,,,FID,134,,MID_PRICE,215.1,,,,,,,

    147
    ,,,,FID,135,,MID_NET_CH,-0.925,,,,,,,

    148
    ,,,,FID,275,,SEC_ACT_1,215.1,,,,,,,

    149
    ,,,,FID,1025,,QUOTIM,07:00:00,,,,,,,

    150
    ,,,,FID,1071,,COLID_2,16," 16",,,,,,

    Trthv2

    254 VOD.L,Market Price,2016-01-05T07:00:00.098133193Z,Raw,UPDATE,QUOTE,,,,5625,,56912,12

    255
    ,,,FID,3855,,QUOTIM_MS,25200022,,,,,

    256
    ,,,FID,1025,,QUOTIM,07:00:00.000000000,,,,,

    257
    ,,,FID,22,,BID,215.1,,,,,

    258
    ,,,FID,30,,BIDSIZE,5000,,,,,

    259
    ,,,FID,291,,NO_BIDMMKR,1,,,,,

    260
    ,,,FID,6544,,NO_BIDORD1,1,,,,,

    261
    ,,,FID,6579,,BID_COND_N,0,,,,,

    262
    ,,,FID,3386,,QUOTE_DATE,2016-01-05,,,,,

    263
    ,,,FID,1071,,COLID_2,16, 16,,,,

    264
    ,,,FID,275,,SEC_ACT_1,215.1,,,,,

    265 ,,,FID,134,,MID_PRICE,215.1,,,,,

    266
    ,,,FID,135,,MID_NET_CH,-0.925,,,,,

  2. First trade of day:

    Trthv1

    11895
    VOD.L,05-JAN-2016,08:00:29.115,+0,Raw-TAS,83,UPDATE_PC,,,,5625,0,10766,38503,VOD.L,44

    11896
    ,,,,FID,6,,TRDPRC_1,220,,,,,,,

    …

    11909 ,,,,FID,178,,TRDVOL_1,1475142,,,,,,,

    …

    11939
    ,,,,FID,3900,,TRADE_ID,"1357584007169463",,,,,,,

    Trthv2

    16856
    VOD.L,Market Price,2016-01-05T08:00:29.147526561Z,Raw,UPDATE,TRADE,,,,5625,,10766,63

    …

    16886
    ,,,FID,6,,TRDPRC_1,220,,,,,

    16887 ,,,FID,178,,TRDVOL_1,1475142,,,,,

    …

    16890
    ,,,FID,3900,,TRADE_ID,1357584007169463,,,,,

  3. Randomly selected trade 1

    Trthv1

    17266
    VOD.L,05-JAN-2016,08:01:26.346,+0,Raw-TAS,83,UPDATE_PC,,,,5625,0,16222,58985,VOD.L,27

    …

    17267
    ,,,,FID,6,,TRDPRC_1,219.5,,,,,,,

    …

    17276 ,,,,FID,178,,TRDVOL_1,4000,,,,,,,

    …

    17293
    ,,,,FID,3900,,TRADE_ID,"1357584007169935",,,,,,,

    Trthv2

    24802
    VOD.L,Market Price,2016-01-05T08:01:26.386952789Z,Raw,UPDATE,TRADE,,,,5625,,16222,45

    …

    24824
    ,,,FID,6,,TRDPRC_1,219.5,,,,,

    24825 ,,,FID,178,,TRDVOL_1,4000,,,,,

    …

    24828
    ,,,FID,3900,,TRADE_ID,1357584007169935,,,,,

  4. Randomly selected trade 2

    Trthv1

    23044
    VOD.L,05-JAN-2016,08:03:09.223,+0,Raw-TAS,83,UPDATE_PC,,,,5625,0,22446,31439,VOD.L,27

    …

    23045
    ,,,,FID,6,,TRDPRC_1,220.7,,,,,,,

    …

    23054
    ,,,,FID,178,,TRDVOL_1,3371,,,,,,,

    …

    23071
    ,,,,FID,3900,,TRADE_ID,"1357584007170262",,,,,,,

    Trthv2

    33250
    VOD.L,Market Price,2016-01-05T08:03:09.251158690Z,Raw,UPDATE,TRADE,,,,5625,,22446,45

    …

    33272
    ,,,FID,6,,TRDPRC_1,220.7,,,,,

    33273
    ,,,FID,178,,TRDVOL_1,3371,,,,,

    …

    33276
    ,,,FID,3900,,TRADE_ID,1357584007170262,,,,,

Tagged:

Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    The time stamp in the message type's row is the server's time stamp representing the time when the data was retrieved or recorded by the server. It doesn't represent the trade time or quote time.

    The actual trade time or quote time is in the correspondent FIDs, such as 1025 or 3855 in the message. The application shouldn't rely on the server's time stamp in the message type's row for trade time or quote time.

    Regarding the value of FID 1025, it states in the Tick History v1 - v2 Comparison (June 2017) that in Tick History v2.0, all FID timestamps are presented to nanosecond granularity (HH:MM:SS.sssmmmuuu), regardless of the
    granularity of the FID in which the data was published on ERT. This is why the value of QUOTIM (1025) is 07:00:00.000000000.

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