OnMarketData. How to know all trades with the same timestamp processed?

[liberal]

If time resolution of records enough all trades with the same timestamp generated instantly as a single event inside exchange's kernel. In order to know my strategy recieved all trades of this block of trades, I wait for a first trade with a timestamp greater than previous. Can I avoid the delay and to know that the current trade which I recevied inside OnMarketData is the last trade of this single timestamp block? And the same question for any other single timestamp events. Fore example for qoutes recieved by OnMarketDepth.

PS. I suppose that MarketDataEventArgs.Time is the time when a trade generated inside exchange's kernel and not time when OnMarketData recived this information. Is it correct for CQG?

[NinjaTrader_ChelseaB]

Hello liberal,

I'm not aware of a way to receive individual trade information. NinjaTrader is only receiving market updates from the data provider. It's not directly from the exchange. Some data providers aggregate data, some don't. Some data providers include non-qualifying-trades some don't.

In order to know my strategy recieved all trades of this block of trades, I wait for a first trade with a timestamp greater than previous

There can be many ticks or market updates (which could be completely separate trades) in the same second and even with the same millisecond, which is the finest granularity NinjaTrader has available.

Can I avoid the delay and to know that the current trade which I recevied inside OnMarketData is the last trade of this single timestamp block?

I would not think it would be possible to know any market update is one specific trade, but every market update would be at least one trade..
As far as the delay, are you referring to waiting for a new time stamp? I don't quite understand why you are waiting for a new timestamp. Just process every market update as a separate block of trades.

I suppose that MarketDataEventArgs.Time is the time when a trade generated inside exchange's kernel and not time when OnMarketData recived this information.

This would be the time stamp of the market data event on the data providers servers when data is sent out, which could be slightly different from the exact exchange trade times, especially if the data provider aggregates data.

Is it correct for CQG

Unfortunately, I would not be able to say too much about the specifics of how CQG's internal servers process the data.. but from my understanding CQG does not aggregate data.

[liberal]

Hello liberal,
As far as the delay, are you referring to waiting for a new time stamp? I don't quite understand why you are waiting for a new timestamp. Just process every market update as a separate block of trades.

Because this block of trades is not separate, physically it's a single event, and to make a trading decision I need to know the total volume of all this ticks inside the event (total traded volume of the current timestamp).