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Quantitative Finance · Begrippenlijst

Wat is Exchange and receive timestamps?

Ook bekend als: exchange timestamp · receive timestamp

Definition 28.5 Markets I: The Ecosystem and Exchange-Traded Markets · Hoofdstuk 28 — Reading Market Data

The exchange timestamp is written by the publisher’s matching engine or gateway when the event occurs. The receive timestamp is written by the recipient’s capture system when the message arrives. The first orders events within one venue; only the second says what the recipient could have known, and when.

The chapter’s sample feed, replayed with a receive time equal to the exchange time plus 200 microseconds plus an exponential jitter. Sorting by receive time misorders 1% of messages at a jitter of 100 microseconds and a third at 5 milliseconds. Within one feed, order by sequence number, never by either clock. Data: the tutorial.
Figure 28.3. The chapter’s sample feed, replayed with a receive time equal to the exchange time plus 200 microseconds plus an exponential jitter. Sorting by receive time misorders 1% of messages at a jitter of 100 microseconds and a third at 5 milliseconds. Within one feed, order by sequence number, never by either clock. Data: the tutorial.
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