Databento reposted this
📋 Cheat sheet of errors in modern market data Exchange feeds are clean these days so long as (seqnum, channel ID) is gapless, so you're less likely to be concerned with outliers and inverted spreads like the old days. Here's better things to look out for in a modern electronic trading environment, arising from vendor normalization issues: 1️⃣ Loss of price precision. More likely for yen, fixed income and crypto instruments. 2️⃣ Loss of null semantics. When 0 or negative numbers are used to represent null, this could interfere with actual cases of negative prices, e.g. found in spreads, futures. 3️⃣ Coalescing. When the data is secretly conflated or aggregated for performance reasons. 4️⃣ Ex post cleaning. When the vendor corrects the data ex post, so the historical and real-time data are inconsistent. 5️⃣ Discarded or truncated timestamps. e.g. Includes tag 60 but not tag 52. Artificially truncated to second, millisecond, or microsecond precision. 6️⃣ Lossy schema. e.g. Only 5 levels of depth are shown when source feed provides 15. 7️⃣ Packet loss. This is hard to identify unless the vendor provides MBO/L3 data, sequence number and channel ID. 8️⃣ Irreversible or inaccessible symbology mappings. e.g. #Nasdaq, #NYSE CMS symbols are different and vendors often pick one. Futures data vendors often like to provide you with continuous symbology or limit symbology to common outrights, causing more obscure instruments like UDIs and UDSes to become completely inaccessible. #marketdata #api #apis #stocks #futures #trading #algotrading
Will those help myself and other for future employment opportunity
Software Engineer at 24 Exchange Bermuda LTD
1wwhat is tag 60 used for on MD ?