Posted: May 30, 2008 @ 09:30 AM             Msg. 1 of 4

It would be nice to include current bid and offer price when you send Tick Data. So, the table for tick data will have Time, Price, Volume, Bid Price, Ask Price

Also it would be nice to have time come in date, hours, minutes, seconds format where seconds will be up to millisecond level.

Posted: May 30, 2008 @ 09:34 AM             Msg. 2 of 4

Unfortunately, it is not possible. We do not provide historical bid/ask prices - only ticks.

Milliseconds are also not available for exchange timestamps.

Posted: Jun 16, 2009 @ 12:00 AM             Msg. 3 of 4

Serge,

I'd like to second the request for millisecond timestamps (which in a DateTime field is only accurate to about 15 msec, but that's okay). You said a year ago that exchange timestamps were not available, but 1) the current FIX protocol now provides for millisecond timestamps, so maybe that is changing? and 2) I understood your timestamps were stamped by you or your data provider, NOT by the exchange. ??

Thanks,
Dale

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Dale

Posted: Jun 16, 2009 @ 12:00 AM             Msg. 4 of 4

1. our current provider does not have milliseconds in the tick timestamps
2. as per provider, tick data timestamped by exchange.
OEC time stamps only used in orders/fills.