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ilan has contributed to 1 posts out of 21191 total posts (0.00%) in 2,626 days (0.00 posts per day).

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Data and Content Support » Eurex timestamp lag Feb 27, 2017 06:04 AM (Total replies: 1)

Hello.

From what I've understood from searching the forums, the timestamps of historical data in most, if not all, cases, are provided by the exchanges or third party vendors. For Eurex data, I've noticed a consistent and substantial lag (40ms) when comparing to a data set that I received from the Eurex/Deutsche Borse Market Data shop.

Could you please advise as to where/when exactly the timestamps are coming from? It appears that the data is being timestamped when it's received (or redistributed) in the US. Perhaps it's the timestamps of a third party that DTN is obtaining the data from? or if you're getting it directly from Eurex, are you connecting to Eurex in Frankfurt? or their PoP in the US (which perhaps timestamps the data upon is distribution from the PoP, as opposed to Frankfurt)?


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