I need to import tick data (both trades and bid-ask) to NT7. I remember reading somewhere here, that NT7 doesn't support milliseconds in timestamp.
The question is: and how we can be sure about synchronization of ticks(trades) and bid-ask's?.
OK, let's think. I've got bid-ask in 1 file and trade ticks in another. I can import it, because I was able to wrote CustomImport Type for my Reuters historical data, which I shared in General Programming forum.
Can you explain how the import process works, please? I guess when we import bid-ask (and we do it separately for each, don't we?) NT just takes the number of quotes and separate the second equally in the number of those changes. Correct?
But how does it work for ticks? Especially, again, considering that we import each type: bid, ask, trade - separately, one thing at a time. I don't see the problem for bid-ask separate import, because there will be same number of them both.
The main concern is - synchronization of bid-ask with trades. In almost any market the number of bid-ask changes (mainly volume) will be much higher than actual trades-ticks. Suppose, we have 300 bid-ask changes and 100 actual trades-ticks. How will NT7 deal with that synchronization during the import?
I ask, surely, because due to my development i want to assess both bid-ask and ticks-trades at the same moment.
Thank you.
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