Time Stamp in nano seconds ?

[faustf]

hi guys i print a value by onmarketdata

LastTot=string.Format("{0:HH:mm:ss:fff} | last: {1:0.00}, ask: {2:0.00}, bid: {3:0.00} | volume: {4}", marketDataUpdate.Time, marketDataUpdate.Price, marketDataUpdate.Ask, marketDataUpdate.Bid, marketDataUpdate.Volume);
Print (LastTot);

is possible have also nano seconds in time ?
why this question , Because when i print i have many volume valuse with the same time stamp , and i would distinguished each other

[NinjaTrader_ChrisL]

Hello faustf, thanks for your question.

The lowest decimal place for the millisecond timestamp will be the thousands place, there is no further time information after this significant figure.

Please let me know if I can assist any further.

[faustf]

and how is possible distinguished each other , if i have this
12:34:27:000 | last: 1.15, ask: 1.15, bid: 1.15 | volume: 1
12:34:27:000 | last: 1.15, ask: 1.15, bid: 1.15 | volume: 1
12:34:27:000 | last: 1.15, ask: 1.15, bid: 1.15 | volume: 1

i have the same time but is 3 differences quotations , not exist some method for give a univocal token ? or somthing similar?
thankz

[NinjaTrader_ChrisL]

Hello, thanks for your reply.

The ticks will appear in the order they are received, a queue data structure could be used to organize that information. We have this example that replicates the T&S window, note how the ask and bid updates are separated:

https://ninjatrader.com/support/forum/forum/ninjatrader-8/add-on-development/97522-time-and-sales?p=785841#post785841

[TAJTrades]

You need to know how the trades are being reported.
From the Exchanges you need to know:
What is the Timestamp? Are trades report down to the millisecond? How are Trades Grouped if at all (mutliple trades grouped as one trade with 1 timestamp).

From your data provider you need to know:
Understand how you data provider is pushing out the data. Some data providers group by price change, some buy timestamp, who knows what else. Basically you need to know if the data provider is collating data to save bandwidth.

And then there are probably differences between futures, stocks, forex, coins . There is a lot you need to know about quotes before the data even reaches NT. NT does nothing more other than to handle the quotes it receives.


As an example I was told a few years ago that the manner in which the CME reports trades can be a little misleading.

10 traders with 1 Lot Bids and 1 Trader with a 10 Lot Ask will be reported as 10 trades of 1 Lot each with an identical timestamp or very close to it when dealing with millisecond
as opposed to
1 Trader with a 10 Lot Ask and 1 Trader with a 10 Lot Bid will be reported as 1 trade for 10 Lots.

Obviously this was the big boys getting the CME to "hide" their big trades. This may have changed though since I last inquired.

I did create a custom bar type based on the Time Stamps with each bar having an identical timestamp (ie not volume, tick or minute bars) in an effort to find the true whale trades. Never found much use for it. Not saying there isn't, just saying I could not find it.