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I spent a lot of time looking into this a while ago and the news was not very good.
I found that the time stamps by the exchanges were not accurate and not synchronized with a standard. That may have changed in the interim.
And trades from multiple exchanges have to be merged if the symbol trades on multiple exchanges.
And exchanges have quite a while between when the trade occurs and when it has to be reported.
If a delayed trade was time-stamped with the actual trade time, then the time would be out of order causing all the problems you cite.
So it appeared that the best strategy for a data vendor was to simple take the trades in the order they received them, add new time-stamps to the merged stream, try to filter out the outliers, and send it on to their clients.
This has the advantage that if you miss data and refresh from their server, then you get the same trades you had plus the ones you missed. This causes minimal changes in your charts and system results.
TS2000i did not do that. It actually time-stamped the trades with the time of your computer clock as trades were received. This was VERY bad in that when you downloaded refresh data, that new data had the time-stamps of their server, which could be far off of the data you collected real-time.
TS8.x seems to do a better job. You can actually measure the difference in time between when you receive the data and the time stamp to see what the lag is. If the Internet is congested, you can often miss a bunch of trades that will then arrive later as a burst. Not the greatest, but at least you usually get the trades with the correct time-stamp, even if you get them late. Refresh data has exactly the same time stamp as the real-time data so no problems there.
Bob Fulks
At 07:59 AM 11/6/2007, John Bowles wrote:
>Hi All,
>
>Are there any programs, brokers, data feeds which when brought together in combination can be used to get precise charts using exchange based time stamps (a time stamp that is applied, at the exchange, at the time of the trade and done properly as a result of the exchange computer clock being accurate as a result of regular atomic clock updates during the day using a program like "Dimension4" for example).
>
>Example1 : Interactive Brokers (according to their technical people) is using exchange based time stamps with their feed but can the software that is taking their feed actually use it properly for back fill and real time bars too?
>
>Example2: Qcharts (which I no longer use) was scheduled to be taking exchange based time stamps with the new Esignal feed. However, when Qcharts was being used with quote.com it was getting a random server time stamp and the charts would vary depending on the server feeding your chart at the moment. Also Quote.com was going back at night and making their data have matching time stamps across servers so a printout the next day would actually be different than a print out right after the market hours were over.
>
>Put another way:
> What exchanges provide these accurate time stamps?
> What feeds have these time stamps?
> What software can use them properly?
>
>Also, are there any charting software that report the difference between the exchange time stamp time and the PC clock time at the exact time of arrival of the tick for the purpose of alerting the trader of any internet delays and how large they may be. I became sensitive to this when, a times, Qcharts on the Quote.com feeds would actually lag by 10 seconds to 60 seconds (an auto notification would have been nice).
>
>Thanks,
>John.
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