V7 feed timestamps - SpiderRock/SRDataFeed GitHub Wiki

In the V7 feed messages, we have altered the timestamps used. Here is the SIP Source background:

• The CTA (NYSE/AMEX listed securities) SIP timestamp is per block (you can have multiple messages per block) and is the time that the SIP processed/broadcast the block. The field is nanosecond precision, but CTA is currently only broadcasting on the microsecond boundaries (they plan to upgrade to nanosecond precision later in 2018).

• The UTP (NASDAQ listed securities) timestamp is per message and is the time that the SIP broadcast the message. They are in full nanoseconds.

• The OPRA timestamps is per block and is the time that OPRA broadcast the block. They are in full nanoseconds.

Here's what the different V7 timestamps represent now in our messages:

StockBookQuote-

• srcTimestamp is the value from the CTA/UTP feed and are in nano-seconds since epoch (Jan 1, 1970).
• netTimestamp is the packet PTP timestamp and represents the time the packet was received by the card/switch depending on the hardware setup and is in nano-seconds since epoch. This timestamp is currently not correct in V7. Please ignore until corrected.

StockPrint-

• prtTimestamp is the value from the CTA/UTP feed and are in nano-seconds since epoch (Jan 1, 1970).
• timestamp is the date/time that we processed the print message in our feed publishing server. This is in Microsoft DateTime format. See: https://docs.microsoft.com/en-us/dotnet/api/system.datetime.ticks?redirectedfrom=MSDN&view=netframework-4.8#System_DateTime_Ticks
• netTimestamp is the packet PTP timestamp and represents the time the packet was received by the card/switch depending on the hardware setup and is in nano-seconds since epoch. This timestamp is currently not correct in V7. Please ignore until corrected.

OptionNbboQuote-

• srcTimestamp is the value from the OPRA feed and are in nano-seconds since epoch (Jan 1, 1970).
• bidTime/askTime is the time of the last bid/ask price change, calculated from the srcTimestamp and represented as milliseconds since midnight
• netTimestamp is the packet PTP timestamp and represents the time the packet was received by the card/switch depending on the hardware setup and is in nano-seconds since epoch. This timestamp is currently not correct in V7. Please ignore until corrected.

OptionPrint-

• prtTimestamp is the value from the OPRA feed and are in nano-seconds since epoch (Jan 1, 1970).
• timestamp is the date/time that we processed the print message in our feed publishing server. This is in Microsoft DateTime format. See: https://docs.microsoft.com/en-us/dotnet/api/system.datetime.ticks?redirectedfrom=MSDN&view=netframework-4.8#System_DateTime_Ticks
• netTimestamp is the packet PTP timestamp and represents the time the packet was received by the card/switch depending on the hardware setup and is in nano-seconds since epoch. This timestamp is currently not correct in V7. Please ignore until corrected.

IN SUMMARY: netTimestamp is a work in progress currently in V7. Until it is fixed across the board, we recommend using the other timestamps available.