Trade reporting lag?

I appreciate both your replies, but since they don't really agree with eachother I'm still unsure. It would be awesome if someone with a different feed subscription could collect some similar statistics so we could definitively determine if my feed is abnormal or not.
 
cruisecontrol said:
I appreciate both your replies, but since they don't really agree with eachother I'm still unsure. It would be awesome if someone with a different feed subscription could collect some similar statistics so we could definitively determine if my feed is abnormal or not.
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I've checked my IQFeed historical tick data for AAPL on June 7th and I don't see any gap.
 
Thanks but looking at the historical data doesn't tell us what we need to know. The polygon historical data appears 100% in order too. The problem is that it's not in order when it comes through the realtime feed.
 
cruisecontrol said:
Thanks but looking at the historical data doesn't tell us what we need to know. The polygon historical data appears 100% in order too. The problem is that it's not in order when it comes through the realtime feed.
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I know, but we cannot go back in 'real-time mode' to confim this.
 
If someone has saved real-time tapes then they can. DaveV said he has NxCore, which supports this.

Alternatively it can just be checked the next time the market is open. It doesn't have to be for June 7th.
 
It's important to understand what the timestamp represents. Are you saying it's Nasdaq's exchange time? I doubt it. Most likely it's vendor's local time.
 
Kinda surprised that no one here gave a definitive answer. I didn't think it was that hard of a question for elite traders :p

I'm starting up a bug report with Polygon since even though I'm not sure based on this thread, I'm now leaning towards what rb7 said, I don't think this many OOS trades can be normal.
 
cruisecontrol said:
Kinda surprised that no one here gave a definitive answer. I didn't think it was that hard of a question for elite traders
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Here it is - under normal operation (on the vendor side), everything should be coming in in-sequence. There should not be even one instance where timestamp goes back! There are lots of things that can happen to have the problem you describe. You never answered my question about the timestamps. If you were getting the feed directly from exchange, unless you screw up reading the data (or occasional system hiccup), the timestamps will be ALWAYS increasing.
 
Ok, cool. Then I did the right thing creating a bug report and I will try to lobby for them to improve it to the point where not even one instance is out of order :)

Sorry to not answer about the timestamps but I wasn't sure. I've now confirmed that it is the exchange time by comparing with other data.
 
Do you know the source of the data? Is it level1 data from SIPs (UTDF, CTS)? There are lots variables and a 100% definitive answer is hard to give in all honesty. Anything that deals with technology is very rarely definitive.
 
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