Time resolution of quote and trade

[morleyc]

Hi all. I am noticing quotes are batched and have the same time stamp I presume due to resolution.

This is an issue as I am replaying the order book and reconstructing it and matching a tick with the bid/ask spread at that time.

Is anyone else seeing this?

Does anyone know what the minimum time stamp resolution is per the NT platform?

[NinjaTrader_Jesse]

Hello morleyc,

What broker/data provider are you using?

[morleyc]

Thanks for the fast reply Jesse.

I am subscribed to:

CMEGROUP_DOM
Depth of Market (Level 2)

My broker is NinjaTrader.

Here is a snip from my debug logs, can see multiple quotes with same timestamp.

[NinjaTrader_Jesse]

Hello morleyc,

The data in the image that you have shown shows that the data provider is streaming all level 2 events as they are observed on their end. Because you are seeing same timestamps that would mean its not bundled, its just that those actions were observed at that time and their engine to send the data is sending all updates or changes which could have similar timestamps. Just as an example the first 2 operations in the image are at the same time but they are separate events, a remove and an add event. You could see many update events where the price updates or stays the same depending on the market.