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muneish.adya avatar image
9 ●4 ●3 ●8

time stamp differences between trth v1 and trth v2.

Hi Team,

we are observing some time stamp differences of few milli seconds when sourcing data from trthv2 vis a vis trthv1. what is the possible explanation of these differences?

Examples of timestamp differences between trth v1 and trth v2.

  1. First quote of the day:

    Trthv1

    143 VOD.L,05-JAN-2016,07:00:00.038,+0,Raw-TAS,83,UPDATE_PC,,,,5625,0,56912,10004,VOD.L,7

    144 ,,,,FID,22,,BID,215.1,,,,,,,

    145 ,,,,FID,30,,BIDSIZE,5000,,,,,,,

    146 ,,,,FID,134,,MID_PRICE,215.1,,,,,,,

    147 ,,,,FID,135,,MID_NET_CH,-0.925,,,,,,,

    148 ,,,,FID,275,,SEC_ACT_1,215.1,,,,,,,

    149 ,,,,FID,1025,,QUOTIM,07:00:00,,,,,,,

    150 ,,,,FID,1071,,COLID_2,16," 16",,,,,,

    Trthv2

    254 VOD.L,Market Price,2016-01-05T07:00:00.098133193Z,Raw,UPDATE,QUOTE,,,,5625,,56912,12

    255 ,,,FID,3855,,QUOTIM_MS,25200022,,,,,

    256 ,,,FID,1025,,QUOTIM,07:00:00.000000000,,,,,

    257 ,,,FID,22,,BID,215.1,,,,,

    258 ,,,FID,30,,BIDSIZE,5000,,,,,

    259 ,,,FID,291,,NO_BIDMMKR,1,,,,,

    260 ,,,FID,6544,,NO_BIDORD1,1,,,,,

    261 ,,,FID,6579,,BID_COND_N,0,,,,,

    262 ,,,FID,3386,,QUOTE_DATE,2016-01-05,,,,,

    263 ,,,FID,1071,,COLID_2,16, 16,,,,

    264 ,,,FID,275,,SEC_ACT_1,215.1,,,,,

    265 ,,,FID,134,,MID_PRICE,215.1,,,,,

    266 ,,,FID,135,,MID_NET_CH,-0.925,,,,,

  2. First trade of day:

    Trthv1

    11895 VOD.L,05-JAN-2016,08:00:29.115,+0,Raw-TAS,83,UPDATE_PC,,,,5625,0,10766,38503,VOD.L,44

    11896 ,,,,FID,6,,TRDPRC_1,220,,,,,,,

    …

    11909 ,,,,FID,178,,TRDVOL_1,1475142,,,,,,,

    …

    11939 ,,,,FID,3900,,TRADE_ID,"1357584007169463",,,,,,,

    Trthv2

    16856 VOD.L,Market Price,2016-01-05T08:00:29.147526561Z,Raw,UPDATE,TRADE,,,,5625,,10766,63

    …

    16886 ,,,FID,6,,TRDPRC_1,220,,,,,

    16887 ,,,FID,178,,TRDVOL_1,1475142,,,,,

    …

    16890 ,,,FID,3900,,TRADE_ID,1357584007169463,,,,,

  3. Randomly selected trade 1

    Trthv1

    17266 VOD.L,05-JAN-2016,08:01:26.346,+0,Raw-TAS,83,UPDATE_PC,,,,5625,0,16222,58985,VOD.L,27

    …

    17267 ,,,,FID,6,,TRDPRC_1,219.5,,,,,,,

    …

    17276 ,,,,FID,178,,TRDVOL_1,4000,,,,,,,

    …

    17293 ,,,,FID,3900,,TRADE_ID,"1357584007169935",,,,,,,

    Trthv2

    24802 VOD.L,Market Price,2016-01-05T08:01:26.386952789Z,Raw,UPDATE,TRADE,,,,5625,,16222,45

    …

    24824 ,,,FID,6,,TRDPRC_1,219.5,,,,,

    24825 ,,,FID,178,,TRDVOL_1,4000,,,,,

    …

    24828 ,,,FID,3900,,TRADE_ID,1357584007169935,,,,,

  4. Randomly selected trade 2

    Trthv1

    23044 VOD.L,05-JAN-2016,08:03:09.223,+0,Raw-TAS,83,UPDATE_PC,,,,5625,0,22446,31439,VOD.L,27

    …

    23045 ,,,,FID,6,,TRDPRC_1,220.7,,,,,,,

    …

    23054 ,,,,FID,178,,TRDVOL_1,3371,,,,,,,

    …

    23071 ,,,,FID,3900,,TRADE_ID,"1357584007170262",,,,,,,

    Trthv2

    33250 VOD.L,Market Price,2016-01-05T08:03:09.251158690Z,Raw,UPDATE,TRADE,,,,5625,,22446,45

    …

    33272 ,,,FID,6,,TRDPRC_1,220.7,,,,,

    33273 ,,,FID,178,,TRDVOL_1,3371,,,,,

    …

    33276 ,,,FID,3900,,TRADE_ID,1357584007170262,,,,,

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2 Answers

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Jirapongse avatar image
38.1k ●71 ●35 ●53

The time stamp in the message type's row is the server's time stamp representing the time when the data was retrieved or recorded by the server. It doesn't represent the trade time or quote time.

The actual trade time or quote time is in the correspondent FIDs, such as 1025 or 3855 in the message. The application shouldn't rely on the server's time stamp in the message type's row for trade time or quote time.

Regarding the value of FID 1025, it states in the Tick History v1 - v2 Comparison (June 2017) that in Tick History v2.0, all FID timestamps are presented to nanosecond granularity (HH:MM:SS.sssmmmuuu), regardless of the granularity of the FID in which the data was published on ERT. This is why the value of QUOTIM (1025) is 07:00:00.000000000.

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muneish.adya avatar image
9 ●4 ●3 ●8

so FID 3855 is for quote, what are the corresponding FIDs for trade and depth?

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muneish.adya avatar image muneish.adya

are these FIDS (3855 and others) available on all quote /trade/depth messages across symbols in different exchanges.

Jirapongse avatar image Jirapongse

@muneish.adya

Refer to Thomson Reuters Data Model Discovery, FID 3885 is "Time of quote in milliseconds". FID 3854 (SATIM_MS) is "Time of the last trade with precision in milliseconds". I couldn't find any field regarding depth.

The available fields are different among exchanges. You can use this tool (Thomson Reuters Data Model Discovery) to verify the description of each field in the exchange. Otherwise, you use submit a new case to the content team to verify the data via My Account.



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