The market depth increments in 2 second time stamps.
I checked several future contracts.
The level 1 time stamps seem to increment every 1 second.

First I thought it was a problem in Ninja Trader, then I used the C# sources with the API and
it seems that the data that arrived was correct.

Is this is the way the exchange sends the data? or is it a time stamp generated by IQ Feed?


U @NQZ11 MD01 2334.5 2334.75 13 4 11:13:40 21/10/2011 20 52 43 11:13:40 T T
U @NQZ11 MD01 2334.5 2334.75 16 4 11:13:40 21/10/2011 20 52 43 11:13:40 T T
U @NQZ11 MD01 2334.5 2334.75 14 4 11:13:42 21/10/2011 20 52 43 11:13:40 T T
U @NQZ11 MD01 2334.5 2334.75 14 7 11:13:42 21/10/2011 20 52 43 11:13:42 T T


Thanks,

Here is a part from a log from today, this is for the 6E for the Europe session:

You can see that the time stamp message progress correctly (05:26:38, 05:26:39),
while the time stamp for the market depth message jumps from 05:26:36 to 05:26:38



U,@EUZ11,MD02,1.384,1.3844,54,44,05:26:36,2011-10-24,20,52,110,05:26:36,T,T,
U,@EUZ11,MD04,1.3838,1.3846,73,79,05:26:36,2011-10-24,20,52,110,05:26:36,T,T,
U,@EUZ11,MD03,1.3839,1.3845,58,59,05:26:36,2011-10-24,20,52,110,05:26:36,T,T,
U,@EUZ11,MD03,1.3839,1.3845,66,59,05:26:36,2011-10-24,20,52,110,05:26:36,T,T,
T,2011-10-24 05:26:38
U,@EUZ11,MD04,1.3838,1.3846,74,79,05:26:36,2011-10-24,20,52,110,05:26:36,T,T,
U,@EUZ11,MD03,1.3839,1.3845,65,59,05:26:36,2011-10-24,20,52,110,05:26:36,T,T,
U,@EUZ11,MD01,1.3841,1.3843,27,26,05:26:36,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD01,1.3841,1.3843,27,25,05:26:36,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD03,1.3839,1.3845,65,60,05:26:36,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD01,1.3841,1.3843,18,25,05:26:38,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD02,1.384,1.3844,53,44,05:26:38,2011-10-24,20,52,110,05:26:36,T,T,
U,@EUZ11,MD04,1.3838,1.3846,74,78,05:26:36,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD02,1.384,1.3844,53,45,05:26:38,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD04,1.3838,1.3846,75,78,05:26:38,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD01,1.3841,1.3843,18,26,05:26:38,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD02,1.384,1.3844,53,53,05:26:38,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD02,1.384,1.3844,53,45,05:26:38,2011-10-24,20,52,110,05:26:38,T,T,
T,2011-10-24 05:26:39
U,@EUZ11,MD01,1.3841,1.3843,19,26,05:26:38,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD01,1.3841,1.3843,19,34,05:26:38,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD02,1.384,1.3844,52,45,05:26:38,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD01,1.3841,1.3843,18,34,05:26:38,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD01,1.3841,1.3843,18,33,05:26:38,2011-10-24,20,52,110,05:26:38,T,T,
U,@EUZ11,MD05,1.3837,1.3846,75,78,05:26:36,2011-10-24,20,52,110,05:26:38,T,T,

Hello Trender,

Thank you for the question. This is going to take a little research on our part, but
we will get back with an answer.

Thanks again.

Trender, what you are currently seeing is expected.

We are currently in the process of migrating some backend processing for all futures exchanges and those changes will change the futures (and thier respective market depth).

Unfortunately CME is one of the only futures exchanges left that has not yet been migrated. We are currently scheduled to migrate CME sometime mid November.

Thanks for the answer,

How should I relate to the time stamps than?
Is the time stamp occurs in 2 seconds intervals?

I am trying to understand the new behavior that I will see when it will be fixed,
Please help me understand the change you are going to do to the depth message.
I am currently recording data and probably would need to make some changes to this data in order to make it compatible with future recordings.

Thanks,
Trender

The only change you should start seeing once CME is migrated is seeing odd numbered seconds in the bid time/ask time fields. All other data is correct.

The timestamps simply are not rolling to the next 2s interval until the next interval starts.

Unfortunately, there won't be any way for you to accurately back adjust data since there is no way for you to know when the 2nd half of the 2s interval starts. The timestamp messsages you get in the feed can be used as an approximation but since the times in the timestamp messages are created by our servers and not sent from the exchange, they won't be 100% reflective of when the data (as you can see in your data sample, a few messages came through timestamped 05:26:36 even after the Timestamp message rolled to 05:26:38).

Thanks for the answer, I will work with the data with this issue for now,
I am looking forward to November update,

Thanks,
Trender