How do I correlate fills and execution with specific ticks?

[carnitron]

Is this even possible?

Each tick is supposed to be a trade, and if I am getting one or more fills and/or executions, then one or more of those ticks must be me.

But I cannot find any kind of tick id in the OrderEventArgs or ExecutionEventArgs structures. (This is from within an AddOn, btw.)

Comparing times seems perilous b/c:

01 BarsSeries.GetTime() returns time with no milliseconds, and there are often many trades on the same second, so if we are using times rounded to the second, this is ambiguous. (For better or worse, I actually store times in my engine with a "Beat Count" on the same second to tell them apart.)

02 If we somehow can get times with milliseconds, can we really be sure they are the same across backends and my client? Put another way, do I know that the ExecutionEventArgs.Time (for instance, since it has ms in the time), is a unified, authoritative server time?

Any clarifications here would be most helpful.

Cheers

[NinjaTrader_Jesse]

Hello carnitron,

There would not be a way to associate trades with ticks, the data that is published by the dataprovider does not contain that type of information. The times you get using GetTime relates to the bar series being used, to have milliseconds a 1 tick series would need to be used.

[carnitron]

Yeah, I was kind of suspicious that maybe the market infrastructure didn't really offer a way to correlate fills and executions to ticks, given some quick Copilot research.

But wait. I am using a 1 second series. Are you saying that if I used a tick series, the milliseconds associated with the tick might be server authoritative in some way?

[NinjaTrader_Jesse]

Hello carnitron,

The timestamps on data comes from the data provider or in some cases the PC clock depending on the provider used, most use server times. Individual ticks have the timestamp from when that tick happened, other types like 1 minute bars would be the close of bar time which are in intervals of 1 minute with 0 seconds or milliseconds.

[carnitron]

So, with tick data, theoretically the timestamp with milliseconds from the server could be the same as the time that comes in with OrderEventArgs and/or ExecutionEventArgs, and you could correlate them?

This would, of course, require:

01 That the milliseconds came from the server, not my PC.
02 That the service provider passed the time from the tick over to the fill and execution messages.
03 That no more than one tick could happen per time with a given HH:mm:ss:fff (where f is milliseconds).

Has anyone proven this actually all works with any of the providers, such that one could successfully correlate ticks and one's own fills and/or executions?

(This question is basically academic at this point, though I am still curious.)

[NinjaTrader_Jesse]

Hello carnitron,

Its possible to have the same times but there would be no correlation between those two events. The order events you get back from orders you produce come from your individual broker, the tick data comes from the exchange which is relayed through the data provider. It would be impossible to determine if one of the ticks you observe was from an order you submitted, there is no unique identifier associated with the data to match a trade.

[carnitron]

Ok, thank you for clarifying and confirming. I appreciate the help! Cheers.