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[roq-api] Add sending_time_utc to market data messages #326

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thraneh opened this issue Mar 13, 2023 · 0 comments
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[roq-api] Add sending_time_utc to market data messages #326

thraneh opened this issue Mar 13, 2023 · 0 comments
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thraneh commented Mar 13, 2023

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 field named exchange_sequence may be a sequence number from the matching engine or from the sending service. This remains exchange-specific.

@thraneh thraneh added this to the 0.9.3 milestone Mar 13, 2023
@thraneh thraneh closed this as completed Mar 14, 2023
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