Will timestamp for a particular instrument always arrive in a ascending sequence? Lets say time right now is 9:15:50, We receive a quote with timestamp of 9:15:45. This is fine. But after this, if we receive a quote with timestamp for 9:15:30. Is that possible? What will happen to volume calculation then where we are building candle volumes which completely depends on proper sequence of ticks.
We just stream whatever exchange publishes. All the ticks should be sequential.