We are using Elektron Message API C++ edition, and have some issues with interpreting the exchange date and timestamps from the provided fields. Currently we are using the following fields to read the date and time from received messages:
- QUOTE_DATE (Field ID 3386)
- ACTIV_DATE (Field ID 17)
- QUOTIM_MS (Field ID 3855)
- SPARE_TS1 (Field ID 1697) (for NYMEX exchange instruments)
The issue we are having is that around midnight UTC, when the date field changes to next day the time field(s) values are still before midnight (for example 23:59) and causing errors in our data feed to timestamp the received data correctly.
Do you know the reason for this, or can you provide us the correct behavior for reading the exchange date and time from the provided fields in the received messages?