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Methods to improve accuracy and precision of timestamps for financial data
Methods to improve accuracy and precision of timestamps for financial data
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机译:提高财务数据时间戳准确性和准确性的方法
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摘要
A method for producing a timestamped series of price data of a financial instrument from its prices. The timestamped series includes a timestamp associated with each price. Each timestamp has a timestamp precision of one millisecond or less and a timestamp accuracy equal to or shorter than the timestamp precision. At least one timestamping processor is provided to receive the prices. The internal clock of each timestamping processor is synchronized to a universal time with a time precision and accuracy equal to or shorter than half of the timestamp precision. Each price is applied to a timestamping processor with a predetermined time delay after quotation. Each time delay has a time delay precision and accuracy equal to or shorter than half of the timestamp precision. The timestamp is determined for each applied price based on the corresponding delay time and internal time when the price is applied.
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