[Quickfix-developers] Re: All timestamps, including DB

[Daniel M. <Dan...@ma...>]

The current CVS quickfix version (soon to be 1.7.0) has support for
milliseconds in timestamps. You must set the=20
config setting MillisecondsInTimeStamp=3DY, and it will only add
milliseconds to the SendingTime field
if the message header is FIX.4.2 or greater.=20
If you want to simply generate a UtcTimeStamp and format it with
milliseconds for
your own use other than the SendingTime field in a FIX message, you do
not need to set the
MillisecondsInTimeStamp config.  The UtcTimeStampConvertor() allows you
to control this:

	UtcTimeStamp now;
	std::cout << "With Milliseconds " <<
UtcTimeStampConvertor::convert(now,true) << std::endl;=20
	std::cout << "Without Milliseconds " <<
UtcTimeStampConvertor::convert(now,false) << std::endl; =20
      std::cout << "Without Milliseconds " <<
UtcTimeStampConvertor::convert(now) << std::endl; =20

When I made the changes, I used ftime(), which under WIN32 only has a
resolution of
10ms on a single processor, or 15ms on a multiprocessor machine.  This
precision has been well documented
by Microsoft, so I will not get into the details here.  I do not know
how ftime() is implemented in
the *nix, or what the precision is.  There are of course higher
microsecond resolution timers in
WIN32 (GetPerformanceCounter) but these can not be easily converted to
the actual time of day.


Daniel


--__--__--

Message: 2
From: "Dr. David A. Janello" <dja...@ar...>
To: John Muehlhausen <jg...@jg...>, John Muehlhausen <jg...@jg...>
Cc: Evan Price <ep...@ra...>,
<qui...@li...>,
        Mike Eichin <mi...@ra...>, David Janello
<dja...@ar...>,
        George Thiruvathukal <gj...@ra...>
Date: Mon, 22 Dec 2003 13:33:06 -0500 (EST)
Subject: [Quickfix-developers] Re: All timestamps, including DB


The default for the Available Shares Service is to use hundredths, let
me know if this is a good unit to use for the sub-second interval.

Hyperfeed uses this so hundredths makes sense.

--Dave


---- John Muehlhausen <jg...@jg...> wrote:
>=20
> As a follow-on to this, I want to put the sub-seconds in every FIX=20
> message that we generate.
>=20
> I think that is supported in later FIX versions, otherwise we use a=20
> custom tag.
>=20
> On Dec 20, 2003, at 7:31 PM, John Muehlhausen wrote:
>=20
> >
> > All, just a reminder that ALL timestamps must be in sub-seconds,=20
> > including all MySQL records.
> >
> > We are going to be selling stock a split second after we buy it and=20
> > we need to be able to prove that if it ever comes up.
> >
> > -John
> >
>=20
>=20
>=20