The timestamp is only in seconds so when there are multiple ticks
per second you have no way to determine the order of events.
For active instruments there will be multiple ticks per second so
your approach will not work.
On 9/3/2018 6:37 AM, hannnnny via
Groups.Io wrote:
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I'm thinking of a
kind of lookup algorithm based on timestamp to slot the trade
ticks into the bid/offer ticks, I was just hoping someone has done
this already but do you know some reason why this can't be done??
