Re: historical and live recording of tick data
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Hi Hannnny,
Duplicates are certainly possible, there are many other events in the IB api that produce duplications and omissions of messaging, so you're better off preparing for them than not. As for removing duplicates, the traditional thing to do would be to use a hash over some relevant part of the data to identify whether it is a duplicate, whatever you chose for that will have to be able to tell the difference between the duplicates and two identical trades. I'm sorry I can't help much, I've not traveled that particular journey, I think you are in an area of the IB api that most people don't venture into. Best wishes, M
On 3 September 2018 at 17:18, hannnnny via Groups.Io <hannnnny@...> wrote: was responding to Mark, didnt see your answer somehow, easy fella...
Now live recording is up, next question,?I apply a unix timestamp on my side whenever a volume ticktype 5 comes through and comparing to time and sales of wts there are about usually 5-6 duplicates to each T_S reported trade.?
Is the IB server sending out multiple messages of the same trade? Is there a easy way to filter out the duplicates??
Also a lot of trades seem to be removed from time and sales, i assume due to status, is there a way for me to remove also from live stream market data?
thanks guys
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