: 'Quote packet structure'


On the 'Quote packet structure', please advice the difference between item : 44 - 48 int32 Last traded timestamp and item : 60 - 64 int32 Exchange timestamp
The Last traded timestamp remains the same for a range of a few seconds for the Exchange timestamp.

An example is attached.

The cause of concern is the fact that the difference between the two is HUGE, more than 2 MINUTES, for the attached example ! Why and/or what is this difference please ?
    SRIJAN edited August 2022
    Exchange timestamp is the timestamp when the tick was sent by the exchange.

    Last traded timestamp,as the name suggests,is the timestamp when the last trade happened.

    There can be new ticks without any trades happening,due to change in market depth.
    Sometimes,the exchange can send the same tick again,this normally happens after market hours.

    So, exchange timestamp can change without any change in the last traded timestamp

    Although,this huge difference like you said,2 minutes,during market hours,can only happen in illiquid instruments. As you can also see,the price and last traded quantity, were constant,suggesting that no trade happened.

    I checked your instrument,this is GOLD22DECFUT,a illiquid instrument.
    And the timeperiod in your image is
    22:38:36-22:40:33 .The price is 52530,the last traded quantity is 2.

    You can go to Kite to verify.
    Open the chart and you will see ,this price and quantity are from the last trade during 22:36 minute candle,after that there was no trade until 22:42,as the volume was 0 during this time period.

    But,the market depth would be changing,and the exchange sent those ticks, thus the exchange timestamp kept changing,but not the last traded timestamp.

    Hope this makes it clear. :)
  • vcb
    Hello SRIJAN,

    Thanks you for the nice and clear explanation !

    Considering how the exchange is sending ticks, it would be more reliable to check the change in the 16 - 20 int32 Volume traded for the day , along with the 44 - 48 int32 Last traded timestamp , to identify tick for a new trade. This is on the assumption that the Volume traded for the day will increase by the Last traded quantity for a new trade tick. The same tick repeated again with the same value for Volume traded for the day would mean that no actual trade has occurred, only the market depth or other parameters have changed. Such tick(s) can be safely ignored for identifying new trade tick.

    Would this be correct ?
    SRIJAN edited August 2022
    Yes,you can compare the volumes of the latest tick and the tick just before that.

    If both the volumes are equal,it means the latest tick is due to a change in market depth,and not a trade.
  • vcb
    OK, thanks Srijan, this thread can be closed. Thanks !
This discussion has been closed.