question about nasdaq basic chain quote time field

iscas.wang
iscas.wang
in EMA

Hello, everyone,

When decoding nasdaq basic chain, I want to extract the quote real time from field dictionary. From the following document nasdaq basic RICs, I can find FID: 3855 named QUOTIM_MS in RefreshMsg and UpdateMsg with values like

image

So How can I interpret the UInt value here ? And How can I convert the QUOTIM_MS time to real time representation? Many thanks, expecting all's reply.

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Best Answer

  • Lars-at-Addicticks
    Lars-at-Addicticks
    Answer ✓

    It is a time-of-day value. It is milliseconds since midnight, UTC. In other words: a value between 0 and 86400000.

    In theory, the value may be from another day than the current. However, according to the document you've referenced, the value gets blanked out at market close. Therefore you can always safely assume that the value refers to the current UTC day.

Answers

  • iscas.wang
    iscas.wang

    Hi, @Lars-at-Addicticks

    Thanks for your reply. Now I can understand how to interpret the field.

    But I have two more question. The first is about the field 'TRADE_DATE' 

    FieldEntry fid="16" name="TRADE_DATE" dataType="Date" value="22 MAR 2019"

    is it also a UTC date?

    Second, I found in logs that QUOTIM_MS's value could be quite small, like this:

    FieldEntry fid="3855" name="QUOTIM_MS" dataType="UInt" value="73"

    if far less than the offset in milliseconds between timezone EST and GMT.

    So if field TRADE_DATE with value "22 MAR 2019" and QUOTIM_MS with value "73", what is the corresponding EST time ? Is it "2019-03-21 20:00:00" or "2019-03-22 00:00:00" ?

    Expecting anyone that may help, thank you.

  • Lars-at-Addicticks
    Lars-at-Addicticks

    Your 4 hours difference got me confused until I realized that the US east coast is already using summer time.

    Your example: If you are in New York on March 21st 2019 and observe that the QUOTIM_MS field has a value of '73' then it effectively means "2019-03-22T00:00:00.073Z".

    I don't know if you can marry QUOTIM_MS and TRADE_DATE. Better ask that as a new question. I'm not sure those two fields would always update in unison. If anything I would expect that QUOTIM_MS can be married to QUOTE_DATE.

    But personally I don't see the need to marry QUOTIM_MS with anything. Current UTC day is implied.

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