I assume you are talking about grouping TickByTick real time data into 1second candles?
You would not use your tick arrival timestamp, but the 1second resolution timestamp IBKR provides with each TickByTick update you receive. So you'd simply group the ticks bz the same timestamp. I work under the assumption that ticks arrive in order (I have never detected anything that pointed to the contrary) so that it is straight forward to make an OHLVC candle for each group of ticks.,
HistoricalTickByTick data also come with a 1second resolution timestamp, but may contain additional "non reportable" trades compared to the real-time feed for the same period. But they are tagged to that you could filter those out.
闯ü谤驳别苍
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On Tue, Jan 28, 2025 at 10:54 AM, Sdoof wrote:
Very insightful discussion, when rounding to the 1 second, does it means that any tick with a "real" timestamp with be rounded to the second based on of +/-500ms or is it more of a ceiling/floor/truncation method?
In other words assuming 2 ticks scenario:
if a real tick timestamp is 11h05mn48.5001 (hh:mn:ss.ms) will the corresponding IBKR timestamp be 11h05mn49s? (1st arrival)
if a real tick timestamp is 11h05mn49.4999 (hh:mn:ss.ms) will the corresponding IBKR timestamp be 11h05mn49s? (2nd arrival)
