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Exchanges operate with various timestamps.
It was observed that the mapping from exchange messages was not consistent across gateways and message types.
In order to better capture the different timestamps, a new field sending_time_utc has been added to market data messages.
sending_time_utc
The interpretation is now
exchange_time_utc should be the (UTC) timestamp from a matching engine, aka. transaction time.
exchange_time_utc
sending_time_utc should be the (UTC) timestamp attach to the message from an exchange service external to the matching engine.
The field named exchange_sequence may be a sequence number from the matching engine or from the sending service. This remains exchange-specific.
exchange_sequence
The text was updated successfully, but these errors were encountered:
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Exchanges operate with various timestamps.
It was observed that the mapping from exchange messages was not consistent across gateways and message types.
In order to better capture the different timestamps, a new field
sending_time_utc
has been added to market data messages.The interpretation is now
exchange_time_utc
should be the (UTC) timestamp from a matching engine, aka. transaction time.sending_time_utc
should be the (UTC) timestamp attach to the message from an exchange service external to the matching engine.The text was updated successfully, but these errors were encountered: