Page History

Timestamps are expressed as nanoseconds since the UNIX Epoch (midnight of January 1st, 1970
UTC). Where the source resolution is limited to milliseconds, the nanoseconds portion defaults to 0.

All timestamps are expressed in universal time coordinates (UTC). To interpret the timestamps locally, timezone adjustments need to be made.

The following timestamps are used by the MFAPI:

• • timeExchange as provided by the Venue to the same precision as their native message format.
  

...

• 
  
• timeArrival set by the FeedServer component within the Whisperer server, when the message is received from the Trading Venue. 
  

...

• 
  
• timeHandler set by the FeedServer in the Whisperer server, when the message has been processed by the FeedServer. 
  

...

• 
  
• timeEnhanced set at the output of the market-data enhancement component. 
  

...

• 
  
• timeApiServer set in the MFAPI Server client handler within Whisperer, when the

...

• message is received from an MFAPI Client.

...

•  
  
  
• timeApiClient set in the client MFAPI (on the Customer Application).

timeEnhanced is captured at the same point as timeHandler and only corresponds to a message generated internally by the FeedServer. An example is when an aggregated feed loses connectivity to one of its constituent venues. A series of quotes will be removed from the book and these updates will have timeEnhanced rather than timeHandler set.

Not all messages have all timestamps set. For example, if the Whisperer APIServer rejects an order, timeExchange will not apply and will be set to zero.