Hello,

I would like to know what fields can become updated due to an 'o'-type message:
o - Some other type of update occurred
Likewise, a settlement (normally an 'o' message) might come through included in a trade, bid, or ask message. Most data related issues with the feed are a result of not interpreting this field correctly.

Another question: is it possible to know the time of ask/bid update more precisely than:
* The one-minute period defined by the timestamp messages
* The time of message arrival

Can I rely on the fact that all update messages that arrive between two timestamp messages happened during the minute implied by these two timestamp messages?

Thank You!

Hello, an o message will contain an update to any field not accounted for in other messages types.

Unfortunately, since we do not send bid or ask time in the feed, there is no way to know exactly when a bid or ask update occured unless it transmitted along with a trade (when bid/ask fields update in the same message as a trade, then the timestamp will apply to both). Other than this, I would guess that time of message arrival would be the best estimation of a timestamp for bid/ask times.

> Hello, an o message will contain an update to any field not accounted for in other messages types.
What exactly a 'settlement' could affect? Last trade? Ask? Bid?

> Other than this, I would guess that time of message arrival would be the best estimation of a timestamp for bid/ask times.
Can I rely on the fact that all update messages that arrive between two timestamp messages happened during the minute implied by these two timestamp messages?

Thank You!

A settlement will be represented by a change in the Settle field.

The wording of your second question/assumption is not quite accurate. All update messages that arrive between two timestamp messages were received from the exchange during the minute implied by the two timestamp messages. However, that does not guarantee that the bid or ask actually happened at that time. Quote/trade timestamps (the timestamp in the update message) are provided by the exchange whereas timestamp messages are inserted into the incomming feed (from the exchange) by our servers. Occasionally the exchanges send data through the system out of order (chronologically). So, while I can guarantee that any data you receive between timestamp messages (inserted by our servers) was sent by the exchange during that time, I cannot guarantee that it actually occured during that time. This sort of thing doesn't happen often, however it does happen so you should be aware of it.