Even if the book data doesn't change from 11:01 to 11:02, JBT should still record the 11:02 snapshot in the data file. If you don't see it, the most likely explanation is that you have some sort of time synchronization software running, and the sync mechanism kicked in between 11:01 and 11:02. You may have noticed that JBT uses its own highly precise clock (precision is about 1 microsecond), but if any external time sync service is running, it may interfere with JBT time- keeping mechanism.
On Sep 22, 2:25 pm, hdeng <[email protected]> wrote: > when downloading historical data using JST (i think this would apply > to live market depth data recording in JBT also), i do see that there > are some samples missing the time series. for example, data at 11:01 > would be present followed by 11:03 instead of 11:02. did anyone > encounter these problems? is it a software glitch at JBT/ JST or IB > itself provides discontinuous data or something lost in the network? > > problem is that these discontinuities throw off my strategies and give > un-reliable results. are there any strategies that could be followed > in order to avoid discontinuities? thanks. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
