Substantive clearing???? - page 6
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Can't match because Vladimir's times don't match (see above)
Tried to match by aska and bid, no match
Requested quotes from the Exchange, but I don't think they will give it.
Compared LAST with Finam quotes - everything matches
This is a real account.
The data is taken from FORTS_COMMON_REPL table common and MCXSPOT_MDCOMMON_REPL table COMMON threads.
The time in the database is the write time from these tables mod_time_ns, given in milliseconds. Time is in GMT format, you need to add 3 hours to get Moscow time.
Data is collected on all record changes in these tables, excluding record deletions.
As I need the correspondence of futures and spot quotes, the time period from 10.00 to 23.45 Moscow time (7.00 - 20.49 GMT) is collected, including the clearing time.
So the futures quotes may not start from 7.00 Moscow time (4.00 GMT)
Can't match because Vladimir's times don't match (see above)
Tried to match by aska and bid, no match
Requested quotes from the Exchange, but I don't think they will give it.
Compared LAST with Finam quotes - everything matches
Today I will collect full data on futures bid, ask, last, volume, time
Today I will collect full data for bid, ask, last, volume, time futures
Thanks, but can the data not be displayed if bid and ask have not changed?
Added
Time is not the same
15.10.2021 07:00:00.000 is 1634281200000.
Your start time is163427107892 + 3 hours is 10800000 = 163437907892,
which is significantly later than 07:00:00
Added by
If you will be withdrawing Last, please indicate the direction of the transaction.
This is the actual count.
The time in the database is the write time from these mod_time_ns tables, given in milliseconds. Time is in GMT format, you have to add 3 hours to get Moscow time.
You are mistaken, mod_time_ns is the date and time the record was modified (UNIX time in nanoseconds according to UTC)
You are mistaken, mod_time_ns is the date and time the record was modified (UNIX time in nanoseconds according to UTC)
The mod_time_ns always contains the time, regardless of whether the record is new or modified. In the database the times are specifically listed in milliseconds.
The quoted data starts with 2021-10-15 04:11:47.892, (by Moscow time 2021-10-15 07:11:47.892), because I am not interested in quotations till 10.00.
This time I will collect data only for futures from 7:00 to 23:49.
I will write time as it is in nanoseconds.
I will not save the records without any changes of collected data.
As for last - it can be obtained only from orders_log, I have subscribed to this flow.
Last will be without direction.
The mod_time_ns always contains the time, regardless of whether it is a new or modified entry. In the database, the time is specifically given in milliseconds.
The data will start with 2021-10-15 04:11:47.892, (as per Musc 2021-10-15 07:11:47.892), because I am not interested in quotations till 10.00.
This time I will collect data only for futures from 7:00 to 23:49.
I will write time as it is in nanoseconds.
I will not save the records without any changes of the collected data.
As for last - it can be obtained only from orders_log, I have subscribed to this flow.
Last will be without direction.
Ok, looking forward to it...
OK, looking forward to it...
No luck?
It didn't work?
Done.
Field names correspond to the fields of the common thread table FORTS_COMMON_REPLDone.
Field names match the fields in the common thread table FORTS_COMMON_REPLThank you
Done.
The name of the fields corresponds to the fields of the common flow table FORTS_COMMON_REPLVladimir!
Are you sure you have done everything correctly.
The thing is that in MT5 and in Finam Quotes, the same trades and quantity and price and volume.
I understand that they can combine trades because of timekeeping, but in the first second
MT5
Finam
You have.
You have a volume of 3, MT5 and Finam have a price of 37285. Your volume is also 3 but your price is 37390.
And you are missing trades in the beginning.
There's a volume of 39, so Finam and MT 5 have twice as many trades, up to that volume
Added
Forgot to ask.
How do you record the data in the file?
By trades or by quotes?