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Some questions about tape-reading CME data
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Some questions about tape-reading CME data

  #21 (permalink)
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Note sure if I'm answering your question correctly, but the data is there if you want it... if you are writing to an API. If you wanted a timestamp from R|API but only needed 1 second accuracy for say a Time and Sales window you coded, you would use the SSBOE field and be done with it. If you were writing tick data to a collection for later write to a database, you would probably want to keep the usec field as well.

Ninja doesn't natively support subsecond time stamps but does preserve the order in which ticks come in, I believe. If you need subsecond time stamps, Ninja is not the right tool.

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  #22 (permalink)
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Big Mike View Post
I noticed you replied to a thread that was over a year old to make this post. Are you in any way affiliated with this trading room or service?

Mike

No Mike, I just appreciate what these people is doing and wanted tape reading users to know about it. I am a customer and actually received the indicator today, since I purchased it.

I apologize if I violated any rule of promoting others sites here.

Regards,

Gerardo Cabrera

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  #23 (permalink)
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MXASJ View Post
Note sure if I'm answering your question correctly, but the data is there if you want it... if you are writing to an API. If you wanted a timestamp from R|API but only needed 1 second accuracy for say a Time and Sales window you coded, you would use the SSBOE field and be done with it. If you were writing tick data to a collection for later write to a database, you would probably want to keep the usec field as well.

Ninja doesn't natively support subsecond time stamps but does preserve the order in which ticks come in, I believe. If you need subsecond time stamps, Ninja is not the right tool.

I agree - I don't actually use the timestamps. I originally thought it was something I could use but then realised I didn't need it. Still, it could make life easier in the future..

At first I got excited that Ninjas Marketdata had the precision in the data but then deflated that it wasn't populated!

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  #24 (permalink)
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Something I have been trying to figure out, wonder if anyone has any insight.

As we know CME changed trade reporting in OCT 09 such that now a market order is "broken up" depending on the limit orders in the book the market order trades against.

Say a 100 lot buy market order hits the ask and there are 5 different 20 lot sell limit orders sitting there, it will report this as (5) 20 lot market buys on the Tape.

Does anyone know whether those (5) trades would have the exact same timestamp to within a 1 millisecond resolution, or if the resolution would typically be more or less than that?

Thanks for your consideration.

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  #25 (permalink)
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JohnBly View Post
Something I have been trying to figure out, wonder if anyone has any insight.

As we know CME changed trade reporting in OCT 09 such that now a market order is "broken up" depending on the limit orders in the book the market order trades against.

Say a 100 lot buy market order hits the ask and there are 5 different 20 lot sell limit orders sitting there, it will report this as (5) 20 lot market buys on the Tape.

Does anyone know whether those (5) trades would have the exact same timestamp to within a 1 millisecond resolution, or if the resolution would typically be more or less than that?

Thanks for your consideration.

They may well do

But then other trades could have the same timestamp too

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