Equity data in milliseconds.

Unknown

Hello,

Is it possible to download the data for Equities (the Timestamp) so that it will show the miliseconds? We have the data, as you can see in the Time & Sales application.

I am checking right now VOD.L in the Time Sales app and I see the miliseconds.

Thanks and Regards,

Dawid

Alex Putkov.1

Hi Dawid,

You're right, it seems to be not quite as straightforward as I thought. It appears that for UK stocks in order to get the timestamps including milliseconds you need to include extended hours trades in the request. If you need to filter out extended hours trades, you can do it by setting up time restrictions for your request using From and To methods of ITimeSeriesDataRequestSetup interface. Here's an example code snippet.

private void RequestTimeseriesData()
{
	_timeSeriesRequest = _timeSeries.SetupDataRequest("VOD.L")
        	.WithInterval(CommonInterval.Tick)
                .WithFilter(filter => filter.IncludeOutOfSessionRecords(true))
                .WithNumberOfPoints(250)
                .OnDataReceived(ProcessReceivedData)
                .CreateAndSend();
}

private void ProcessReceivedData(DataChunk chunk)
{
	_trades.AddRange(chunk.Records.ToTickRecords());
        if (chunk.IsLast)
        {
        	foreach (var trade in _trades)
                {
                    DateTime timestamp = trade.Timestamp.Value;
                    double? lastprice = trade.Value;
                    double? volume = trade.Volume;
                    Console.WriteLine(timestamp.ToString("dd-MMM-yy HH:mm:ss:fff") + " " + lastprice.ToString() + " " + volume.ToString());
                }
	}
}

I hope this helps.

Alex

Alex Putkov.1

Hi Dawid,

Yes, it is possible. Using Eikon .NET SDK the timeseries of price history for stocks are returned with timestamps down to millisecond. For documentation and code samples see respective section on this portal.

Unknown

Hello Alex,

We tried to make a code, but it only showed at the end .000 (miliseconds). We got times like 14:42:42.000 on all the available data.

Could you show us maybe a example code or something?

Thanks and Regards,

Dawid