question

Upvotes
Accepted
Horace avatar image
1 ●0 ●1 ●2

Why SEQNUM is in order but QUOTIM_MS is not?

Here is the log I receive:

  1. 2016-12-09T22:23:25,711 [NQZ6],{NO_ASKORD1=5, SPARE_TS1=14:23:25:000:000:000, SEQNUM=3.4544904E7, ASKSIZE=34.0, ASK_COND_N=1, ASK=4879.75, ASK_TIME1=14:23:25:000:000:000, ASK_TIM_MS=51805581, SEQNUM_QT=3.4544904E7, QUOTIM_MS=51805581}
  2. 2016-12-09T22:23:25,711 [NQZ6],{NO_BIDORD1=7, BID_TIME1=14:23:12:000:000:000, SPARE_TS1=14:23:12:000:000:000, SEQNUM=3.4544907E7, BID_COND_N=0, BID=4879.25, BIDSIZE=9.0, BID_TIM_MS=51792696, SEQNUM_QT=3.4544907E7, QUOTIM_MS=51792696}

May I ask why SEQNUM(2>1) is in order but QUOTIM_MS(2<1) is not?

Thanks!!

elektronrefinitiv-realtimeelektron-sdkrrtjavaeta-apielektron-transport-apisearchtime-stamp
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Jonathan Haruni - Refinitiv avatar image Jonathan Haruni - Refinitiv

We're assuming this data is coming from TR's Elektron real time feed, and we've asked the specialists for CME content to look at this question. Please let us know if this is from another source.

Nipat Kunvutipongsak avatar image Nipat Kunvutipongsak

I'm not the data or content expert, but if referring to the field description,

SEQNUM shows the message sequence order while QUOTIM_MS is the bid/ask quote update. It might be possible that the original source of that update provided that particular tick late. It is just my assumption anyway.

Did this problem happen only once or it happens frequently?

1 Answer

Upvote
Accepted
Jirapongse avatar image
38.1k ●71 ●35 ●53

I have verified the data in the tick history and found the same data as yours on 9 Dec 2016 at 14:23:25 GMT, as shown below.

I have contacted the content team to verify the data. The case number is 05126039.


nqz6.png (34.4 KiB)
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

s.tang avatar image s.tang

This is happening to us as well for quote subscription to JYEN Future and S&P Midcap 400 Future. Any progress?

Jirapongse avatar image Jirapongse

The data team has confirmed that the Bid time represents the time of Bid was quoted. At 14:23:25 the last bid was quoted at 14:23:12 hence it was displaying this time.

Click below to post an Idea Post Idea