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CME DataMine T&S vs IQFeed's millisecond Time Stamps
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CME DataMine T&S vs IQFeed's millisecond Time Stamps

  #11 (permalink)
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Robert Carrillo View Post
Hi @Cashish,

The CME sell sheet you posted showing second time stamps is not current. There is no date on it, but this one from CME Group showing millisecond time stamps is copyrighted 2012, well before we began providing millisecond time stamps in IQFeed:



Not sure what your point is with this post. I have no doubt that the CME has the capability of time stamping their data to the millisecond. The fact is, they do not time stamp the DataMine Time and Sales data to the millisecond, they use sequence numbers within a 1 second period.

DataMine,,,"Trades that happen in the same second are each given a specific sequence number and are ordered in the same sequence that they were sent out over the market data feed."

I thought I had made the purpose and intention of this thread and my efforts clear, I wanted to compare the sequence numbers of CME DataMine Time and Sales data which is considered the un-disputable final word of trades traded and the sequence that they were sent out over the market data feed... To, the millisecond time stamped Time and Sales data from IQFeed.


It appears to me at the end of the day there is no alignment between the two, at the sub-second level.


Last edited by Cashish; January 20th, 2014 at 04:21 PM.
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  #12 (permalink)
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Cashish View Post
I thought I had made the purpose and intention of this thread and my efforts clear, I wanted to compare the sequence numbers of CME DataMine Time and Sales data which is considered the un-disputable final word of trades traded and the sequence that they were sent out over the market data feed... To, the millisecond time stamped Time and Sales data from IQFeed.


It appears to me at the end of the day there is no alignment between the two, at the sub-second level.

I didn't see the DataMine portion of the thread title. I thought you just meant T&S in general. I have no clue about DataMine.

There has been discussion about correctly bundling ticks together in this thread I believe:
https://futures.io/elite-circle/22235-aggregated-time-sales.html

I also have heard @DionysusToast say he has called the CME before and was given advice on how to bundle them, IIRC.

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  #13 (permalink)
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Absolutely @Big Mike

The CME are extremely helpful and not only that they are really responsive. I sent 2 emails to them yesterday both in the middle of the Bangkok day time. I was amazed to get replies to both queries in 20 minutes, in both cases giving me exactly the information I needed.

In the first instance I would email gcc@cmegroup.com- they appear to have that manned 24 hours. As long as you state your question clearly, the people that answer that email will understand, figure out what you need and give you the information or tell you it's not available.

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