Equity data in milliseconds.

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